上市公司信息披露“预警制度”的实证分析——兼论我国证券市场的有效性和过度反应

A Empirical Analysis on the “Alarming System" of the Listed Companies' Information Revealing ——Concurrently on the Effectiveness and Overreact of our Stock Market

本文主要是对上市公司信息披露新规则颁布实施后上市公司的市场表现所作的实证分析 ,旨在说明这一新规则是否按照监管当局的意图向市场传递了有效信息 ,以及市场对这一新规则的反应和表现是否合理 ,并且通过市场对这一新的信息披露规则的表现尝试从另一个侧面考察我国证券市场的效率问题。本文的研究表明 ,监管当局为了加强信息披露和保护投资者利益而新规定的预警披露制度很有实际意义 ,并且市场反映强烈 ,其设计具有有效性 ;我国的股票市场还没有达到半强式有效。

This paper aims at illustrating whether the new rules and regulations on the listed companies' information revealing transmit effective information to the market in the light of the supervision authority's intention and whether the reaction and manifestation to the rules is rational. And meanwhile, tentatively from the other side, it examines the efficiency issue of our stock market. Through discussion, it is clearly shown that the alarming system newly stipulated by the supervision authority to strengthen the information revealing and protect investors' interests is of practical significance, and has met strong market reaction, and its design is of effectiveness. The level of our stock market effectiveness has not yet got up to semi strong type.