ST公布和ST撤销事件的市场反应研究

——来自沪深股市的实证检验

An investigation of the market reaction to the news of “put in ST” and “ancel ST ”:

Empirical test based on Shanghai and Shenzhen stock market

唐齐鸣[1] 黄素心

华中科技大学经济学院

摘要：本文运用事件研究法，通针对中国股市波动聚集性现象，采用GARCH修正模型，研究ST公布和ST撤销事件的市场反应来检验中国股市的半强式有效性，并总结了市场对该类消息的反应模式。本文没有采用估计窗口与事件窗口完全分开的最传统的事件研究法，而是令估计窗口的长度保持不变，让估计窗口的具体日期随时间的向前而不断更新，这更符合投资者的行为和心理特征。检验结果表明，中国股市非半强式有效。同时，股市对好消息反应延迟且逆向反应，对坏消息反应过度，这反映出中国股市“杠杆效应”的存在。

关键词：特别处理 半强式有效 事件研究法

Abstract

Using the method of Event study, investigating how the market would react to the news of “put in ST” and “cancel ST ”, this paper test the semi-strong efficiency of China stock market and summarize the market reaction pattern of such kind of news. The most traditional event study method, in which the estimation window is completely separated of the event window, is not used in this paper. Instead, an estimation window with a constant length, which is updating continually with the date，is introduced. Such kind of window setting fits the behavior habit and psychology of the investor better. Our results show that the semi-strong form of the EMH does not hold in China stock market. Meanwhile, there is delay reaction and converse reaction to good news and overreaction to bad news. These phenomena show the existence of leverage effect. In the aspect of return-generating model, compared to the traditional market model, market model modified by GARCH is more convictive since it takes volatility cluster into consideration.

Key words: Special treatment   Semi-strong efficiency   Event study method

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