股权分置改革背景下的上市公司并购信息披露与股价异动关系研究

Research on M&A Information Revelation of the On-market Companies and Unusual Stock Fluctuation Under Ownership-reform Background in Chinese Stock Market

改革开放三十年来中国证券市场取得了长足的进步,尤其是自股权分置改革以来,证券市场监管力度逐渐加强,通过对比股权分置改革前后并购信息披露的效率和质量,从而发现并购信息披露问题是否有所改善,改善程度如何,因此该背景下的并购事件是本文研究所关心的重点。但由于股权分置改革启动以来真正全流通市场化的收购案例依然较少,本文在此选取了收购价格接近目标上市公司股票市价的收购作为研究对象,分别采用了事件研究法、残差系数法和邹检验方法研究重大并购信息披露对市场走势影响,同时本文利用GARCH方法对具有代表性的个股进行了计量经济分析。本文的研究发现股票交易价格异常波动往往在实质利好消息出台的前几天或几星期之内就出现了,市场存在信息提前泄露的现象,这说明中国证券市场仍然存在着违规的信息披露、泄露。本文的研究旨在为进一步完善上市公司并购信息披露监管措施、提高监管效率、促进资本市场的健康发展提供有益的建议。

The Chinese stock market has made great progress since the reform thirty years ago.The corresponding monitoring and management is improving especially after the reform of non-tradable shares almost completed.This paper focuses on how the efficiency and quality the information revelation of the on-market companies and the unusual stock fluctuation is by comparing different time.This paper, using the dataset of Chinese listed companies after ownership-reform,investigates the relationship between information revelation and the unusual stock fluctuation with the case study,error coefficient and chou test method.At the same time, we examine the representative case with GARCH model.It is also found that there obviously existed the information leakage since the abnormal fluctuation often happened several days or weeks before the listed company gave out the important information disclosure.Illegal information disclosure is still the big problem of Chinese security market.This paper intends to provide the valuable suggestion to the security supervisor in order to reinforce their supervisory measure of listed company information disclosure,to increase the effieieney of supervisory and steady development of the Chinese security market.