非处罚性监管对股票价格行为的影响:基于问询函的证据  

The Impact of Non-punitive Regulation Effect on Stock Price Behavior:Based on the Evidence in Inquiry Letter

作　　者：邳明阳 PI Mingyang(College of Management and Economics,Tianjin University,Tianjin 300072,China)

机构地区：[1]天津大学管理与经济学部,天津300072

出　　处：《武汉理工大学学报（信息与管理工程版）》2020年第2期160-167,共8页Journal of Wuhan University of Technology：Information & Management Engineering

摘　　要：以2015—2017年收到问询函的上市公司为研究样本,通过PSM匹配形成对照组,采用事件研究法,从问询函公告后收函公司股票的风险和收益两个维度入手,综合利用高频数据和低频数据考察问询函对股价波动风险的影响和问询函的长短期市场反应。研究表明,在发函后0~20个交易日,问询函会对股价波动风险产生持续的加剧影响,发函后20~50个交易日该影响消失,说明问询函公告后收函公司的股价波动风险会显著增加,但其影响具有时效性;问询函对公司股票的累计超额收益在短期和长期均有显著的负向影响,说明问询函不仅在短期发挥了监管作用,还揭示了上市公司的长期经营风险,具有风险识别和风险提示作用。Taking the listed companies that received the inquiry letter from 2015 to 2017 as the research sample,forming a control group through PSM matching,using the event research method,starting from the two dimensions of the risk and return characteristics of the company′s stock after the inquiry letter announcement,it comprehensively uses high and low-frequency data to investigate the impact of the inquiry letter on the risk of stock price volatility and the long-and short-term market response of the inquiry letter.The study found that the inquiry letter will have a continuous aggravating impact on the risk of stock price fluctuations within 0 to 20 trading days after the letter was issued,the impact disappeared within 20 to 50 trading days,which indicating that the risk of stock price fluctuation of the receiving company will be significantly increased after the announcement of the inquiry letter,but its impact is time-effective;however,the inquiry letter has a significant negative impact on the cumulative excess return of the company′s stock in the short term and long term,which shows that the inquiry letter not only plays a regulatory role in the short term,but also reveals the long-term operational risk of the listed company,with the function of risk identification and risk prompt.

关 键 词：问询函 波动风险 市场反应 监管作用 事件研究 

分 类 号：F830[经济管理—金融学]