随机事件冲击下的金融预期事件分析:模型与实证  

Analysis of Financial Expected Events under Random Event Shock:Model and Empirical Study

作　　者：周伟 罗丹雪 ZHOU Wei;LUO Danxue(School of Finance,Yunnan University of Finance and Economics,Kunming 650221,China)

机构地区：[1]云南财经大学金融学院,云南昆明650221

出　　处：《南京审计大学学报》2022年第5期63-70,共8页Journal of Nanjing Audit University

基　　金：国家自然科学基金项目(72071176;71840001)。

摘　　要：为了全面研究金融市场的随机事件以及准确分析后续预期事件,从随机事件和预期事件全样本角度出发,首先,构建了统一框架下的双断点回归模型,并从理论分析的角度阐述了新模型的可行性、优越性和广义性;然后,以“长生疫苗”和“长生退市”为对象,进行两次断点回归和双断点回归的拟合实证,结果分别从拟合效果、参数趋势、稳健性、实际内涵上展示了新模型在预期事件研究中的优越性,表明中国医药市场属于成熟型市场,适合理性投资者关注。研究结论为相关投资者和监管者未来进一步处理随机事件对金融市场的冲击提供了参考。To fully research random event on financial markets and then accurately analyze the following event,namely expected event,a double regression discontinuity model is proposed from the whole sample perspective.It is pointed out that this new model and its conclusions are in the unified modeling framework.Then,taking the“Changsheng vaccine”and“Changsheng delisting”event as examples,twice regression discontinuity calculations and the double regression discontinuity calculations are performed.The results show the superiority of the proposed model in the study of expected events from the aspects of fitting effect,parameter trend,robustness,and practical connotation.It also shows that China s pharmaceutical market is mature,suggesting more attentions from rational investors.These conclusions provides references for relevant investors and regulators to deal with random events on financial markets in the future.

关 键 词：随机事件 预期事件 双断点回归模型 长生疫苗事件 长生退市事件 

分 类 号：F830.9[经济管理—金融学]