我国上市公司高管犯罪公告的市场反应研究

China listed company manger executives crime public announcement's market reaction research

为了研究我国上市公司高管犯罪的经济后果,本文通过收集1998～2010年我国A股市场63个上市公司高管涉案犯罪的公告,将总体样本分为在职公告样本和离职公告样本,运用事件研究法,从实证的角度分析了上市公司高管犯罪公告的市场反应,通过分析事件窗口期[t-5,t+5]的11个交易日内个股的非正常收益,通过单样本均值t检验、配对样本t检验等显著性检验,发现高管犯罪公告当日产生了负的显著性非正常收益,并且在t和t+1日两天的非正常收益率存在显著性差异。

In order to study the economic consequences of listed executives crime , we have selected 63 announcement of listed company executives crime from 1998 to 2010 from Chinese A stock market. The sample is divided into working announcement samples and turnover announcement samples, used the event study method, from the perspective of empirical analysis of the listed company executives crime market reaction to the announcement. We analysed the 11 trading days the stock abnormal returns from the event window from t-5 to t＋5 , through the test of single sample mean t test, paired sample T test, and so on, we found that the day of the executives crime announced had a negative significant abnormal returns, and existed a significant＇differences between day t and t＋1 of the abnormal returns.