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本文以2012年1月4日至2013年12月31日之间的共481个交易日作为样本期间,以样本期间上交所发布的“上证180”成分股中的上市公司的经营公告、财务报告及证券分析师根据上述信息披露的股评三种信息为主要研究对象,从验证方法选择、高频数据选取、信息考察窗口优化及基于面板数据多元Logistics回归模型构建等四个方面将跳跃与不同信息相联系,分析股价波动与不同信息披露的关系。研究结果表明,当信息范围为公司特定的经营公告、财务报告及分析师建议时,经营公告是最具影响力的信息披露渠道,而分析师建议并不是引起股价异常波动最重要的信息。同时,本文研究揭示仅有20%的跳跃与此类信息披露相关,当解释变量覆盖代表宏观信息“系统性事件”和行业、板块信息的“行业事件”时,也仅40%的价格跳跃发生和信息披露有关。本文的研究不仅表明哪一种信息可能更具有投资价值,而且揭示在此研究基础上继续探究引起股价异常波动的其他起因事件可能更具有重要意义。
Based on a total of 481 trading days between January 4, 2012 and December 31, 2013, the paper takes the listed company’s operating announcements in SSE 180 issued by SSE during the sample period, According to the information disclosed above, the report and securities analysts mainly study the three types of information, including jumping from the four aspects of verification method selection, high frequency data selection, information inspection window optimization, and panel data multiple logistics regression model construction Information is linked to analyze the relationship between stock price volatility and different information disclosure. The results show that when the scope of information for the company’s specific business bulletins, financial reports and analyst recommendations, business bulletin is the most influential channel of information disclosure, and analyst recommendations are not the most important information that causes unusual price fluctuations. At the same time, this study reveals that only about 20% of the jumps are related to such information disclosure. When the explanatory variables cover only the “industry events” that represent the macro information “systemic events ” and the industry sector information, only 40% The price jump occurred and information disclosure. The research in this paper not only shows which kind of information may be more investment value, but also reveals that based on this research, it may be more important to continue to explore other causative events that cause abnormal fluctuations in stock prices.