财务年报的交易量反应与投资者“跟风”现象:沪市A股实证研究

The Reaction of Stock Market Trading Volume to Annual Financial Report Announcement and Tracing Phenomenon:A Study on A Share in Shanghai Stock Exchange

本文采用事件研究的方法 ,对财务年报公告后市场上的交易量反应进行了研究。发现在财务年报公布前后存在着超常交易量 ,说明财务年报确实具有一定的信息含量 ,超常交易量的产生就是由于投资者依据这些新信息对公司价值做出不同判断的结果。同时 ,我们还发现即使在财务年报公布期间 ,市场交易量仍对个股交易量具有显著的影响 ,说明中国股市上“跟风”现象严重。另外 ,我们也证实了超常交易量与超额收益率之间存在着不对称关系 ,即超额收益率大于 0时的超常交易量远大于超额收益率小于 0时的超常交易量。

This paper analyzes the reaction of stock market trading volume to annual financial report announcement in China's stock market. First, it is shown that there is abnormal trading volume before and after the announcement, and the annual report does contain some valuable information and that the abnormal trading volume resulted from investors' different judgement on stock price according to this information. Second, it is also found that even during the annual report announcement period, the market trading volume has significant influence on specific stock's trading volume, showing that Tracing phenomenon is very obvious. Finally, there is an asymmetry between abnormal trading volume and excess return, i.e. the abnormal trading volume was much bigger when the excess return is positive than that when the excess return is negative.