论文部分内容阅读
运用内容分析法收集2006年—2014年上市银行的市场传闻样本,应用事件研究法和回归分析研究市场传闻及澄清公告对银行系统性风险的影响。结果表明,在市场传闻发生前5天至澄清公告发布后2天,银行系统性风险呈显著上升趋势。进一步分析发现,市场传闻的来源与停牌策略会显著影响银行系统性风险,正面传闻对银行系统性风险的影响更大,传闻日当天采取停牌策略有利于减小银行系统性风险。而不管是权威媒体发布的还是非权威媒体发布的传闻,澄清公告详细与否都对银行系统性风险的影响不显著。研究结论检验了心理学理论在金融市场中的有效性,拓展了金融市场领域的研究范畴,同时为上市银行应对市场传闻提供了新的思路。
Using the content analysis method to collect market rumors samples of listed banks from 2006 to 2014, applying incident research method and regression analysis to research market rumors and clarifying the impact of public announcement on the systematic risk of banks. The results showed that there was a significant upward trend in the systemic risk of the banks two days after the market rumors five days prior to the announcement of clarification. Further analysis found that the source of market rumors and the suspension strategy will significantly affect the systematic risk of the bank. Positive rumors have a greater impact on the systemic risk of banks. Taking the suspension strategy on the rumor day will help to reduce the systemic risk of the bank. Regardless of the rumors released by authoritative media or released by non-authoritative media, it is not significant to clarify whether the announcement details or not all have an impact on the systematic risk of the bank. The conclusion of the study examines the effectiveness of psychology theory in financial markets, expands the research scope in the financial market, and provides a new way for listed banks to deal with market rumors.