虚设还是威慑:退市制度市场效应研究
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引用本文:晏艳阳,赵民伟.虚设还是威慑:退市制度市场效应研究[J].财经理论与实践,2014,(3):31-36
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作者单位
晏艳阳,赵民伟 (湖南大学 金融与统计学院湖南 长沙410079) 
中文摘要:通过建立动态博弈模型分析股市摘牌的作用机理,实证研究“ST预警—摘牌”退市体系的市场认可程度。结果发现,虽然退市预警制度在短期内能较好地向市场传达风险信号,但在中长期里给予了投资者投机炒作的空间,这有助于解释为何以往理论研究与市场观察结果相悖;即便我国股市摘牌强度相对较低,但市场能识别摘牌强度的信号并对其做出显著反应,摘牌起到了“杀鸡儆猴”的威慑作用。
中文关键词:ST预警  股市摘牌  市场效应  ST投资策略  动态博弈
 
Nominal or Deterrent:Market Effect of Delisting System
Abstract:This paper builds a dynamic game model to analyze the mechanism of delisting, and conducts an empirical study on the public acceptance of special treatment and delisting system. The empirical analysis shows that although the special treatment can release the delisting risk in the short term, it encourages speculation in the medium and long term. This can explain the difference between the theoretical research and market watch. Despite the inefficient delisting system, the market can identify the delisting signal and make significant reactions, so delisting can act as a deterrent.
keywords:Special treatment  Delisting  Market effect  ST investment strategy  Dynamic game
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