社保基金持股信息的市场反应——基于中国资本市场数据

The Market Reaction of Social Security Fund Investment Information:Based on the Data from China Capital Market

在阐释社保基金及其投资情况和相关理论的基础上,采用超额收益法和多元回归分析法,分析我国资本市场对2009年四个季度和2010前两个季度公布的社保基金持股信息的反应。研究结果显示,资本市场对社保基金持股信息具有强烈的市场反应,被社保基金持股的上市公司股价超额收益非常明显。造成这种现象的原因除了社保基金管理者对股市精准把握外,我国资本市场的效率不足、信息不对称及社会保险基金会计信息披露的缺陷也是重要原因。因此,我国应加强公司治理,提高资本市场效率,规范社保基金会计信息披露。

This paper first introduces the social security fund and its investment and the associated theoretical analysis; then uses the excess earnings method and multiple regression analysis with the social security fund holdings information as an object of study; and next makes an analysis of a total of six quarters of social security fund holdings information response of China＇s capital market during the four quarters of 2009 and the first two quarters of 2010. The results show that the capital market has a significant positive response with social security fund holdings information, and prove that the market reaction is indeed owned by the disclosure of information of the social security fund through multiple regression method; and finally, explores such underlying reasons as inefficiency of capital market, asymmetry of information and inappropriate disclosure of accounting information of social security fund and makes some suggestions in response to the above questions.