中国资本市场投资者与上市公司信任关系的有效性评价

The Effectiveness Evaluation on the Trust Relationship between Investors and Listed Corporations in Chinese Capital Market

以受到中国证监会公开处罚的上市公司作为失信公司的样本,利用事件研究法,通过观察资本市场价格变化来推断投资者行为,对1994～2010年期间上市公司受到公开处罚后引起的平均异常收益和累计平均异常收益进行检验,以判断投资者是否对上市公司行为做出了正确的反应,据此评价投资者与上市公司之间信任关系的有效性。结果表明,总体上说,投资者并没有有效利用"用脚投票"的方式对上市公司的失信行为进行惩罚,投资者与上市公司之间没有形成有效的信任关系。投资者信任问题的存在会带来多方面的危害,必须及早对这一问题加以解决。政府在促进投资者与上市公司之间建立有效信任关系方面,可重点解决以下三个方面的问题:一是建立一个值得投资者信赖的制度环境;二是建立投资者与上市公司之间平等对话与沟通的畅通渠道;三是加强与现代资本市场相关的文化建设与意识培养。

This paper evaluated the effectiveness of the trust relationship between investors and listed corporations in Chinese capital market based on the investors＇ response to the dishonest behavior of the listed corporations.Taking the listing companies public punished by the China Securities Regulatory Commission as the dishonesty behavior sample,using event study method,this paper infers investors＇ behavior by observing changes in the price of capital market and evaluates the effectiveness of the trust relationship between the investors and the listed companies by testing average abnormal return and cumulative average abnormal returns induced by the public punishment during 1994 to 2010.The results show that generally speaking,the investors didn＇t use ＂voting with their feet＂ effectively to punish the listed companies＇ dishonest behavior.There haven＇t formed an effective trust relationship between the investors and the listed companies.The investors＇ trust issues will bring many hazards,and we must solve the problem as soon as possible.The government could solve three aspects problem to establish an effective trust relationship between investors and listed companies.Firstly,the government should establish an institutional environment worthy of the trust of investors.Secondly,a smooth flow of the equality dialogue and communication channels between investors and listed companies should be established.Thirdly,we must strengthen the cultural construction and awareness training for modern capital markets.