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研究生:葉山綺
研究生(外文):Shan-Chi Yeh
論文名稱:中國特別處理(ST)股票的宣告效應
論文名稱(外文):The Announcement Effect of Special Treatment Designation in Chinese Stock Market
指導教授:張瑞芳張瑞芳引用關係王雍智王雍智引用關係
指導教授(外文):Jui-Fang ChangGeorge Y. Wang
口試委員:周建新王瑪如
口試委員(外文):J-H ChouMa-Ju Wang
口試日期:2014-07-21
學位類別:碩士
校院名稱:國立高雄應用科技大學
系所名稱:國際企業系碩士在職專班
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2014
畢業學年度:102
語文別:中文
論文頁數:55
中文關鍵詞:特別處理ST股事件研究法異常報酬資訊傳遞效果
外文關鍵詞:Special TreatmentST StocksEvent StudyAbnormal ReturnsCumulative Abnormal ReturnsInformation Transmission
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中國滬深證券交易所在1998年4月22日宣佈,根據其新實施的股票上市規則,將對財務狀況或其他狀況出現異常的上市公司的股票交易進行特別處理,由於「特別處理」的英文是special treatment(ST),因此這些股票就簡稱為ST股,其性質與交易方式類似於台灣的全額交割股;特別處理的重點在對上市公司所處狀況向投資者揭示其市場風險。本研究以上海及深圳交易所的ST股為樣本,以事件研究法 (event study) 的方式,探討當股票被加註為ST時,其對股票產生異常報酬 (abnormal return) 的影響。由於加註ST有五種不同的原因,本研究發現不同的原因將產生不同程度的異常報酬;但整體而言,ST股的加註,對股票將產生顯著的負向累積異常報酬。本研究亦發現,在中國股市,有顯著的資訊溢出 (information leakage) 的現象,以致造成異常報酬提前反應。本研究的結論是,當股票被加註「特別處理」(ST) 時,因其對投資人產生資訊傳遞 (information transmission) 的效果,進而產生負向的異常報酬。
Chinese security authority in 1998 announced the new rules on the designation of special treatment (ST) stocks, which were basically the ones in danger of being delisted due to financial distress and/or abnormal trading activities. These stocks were designated to be ST stocks, which serve to signal the investors their market risks. This study utilized the method of event study, using the ST stocks listed on ShangHai Stock Exchange and ShenZhen Stock Exchange as sampler, and investigated how the announcement of ST designation on abnormal returns (AR). Although ARs might change with various designation reasons, this study found that there existe a significant announcement effect on the negative cumulative abnormal returns (CARs). Furthermore, this study also found the presence of information leakage, leading to negative CARs prior to the event date. In conclusion, information transmission of ST designation could cause the announcement effect of ST designation, which in turn resulted in negative CARs.
中文摘要 ------------------------------------------------------------------i
英文摘要 ------------------------------------------------------------------ii
誌謝 ------------------------------------------------------------------iii
目錄 ------------------------------------------------------------------iv
表目錄 ------------------------------------------------------------------v
圖目錄 ------------------------------------------------------------------vii
第一章 緒論---------------------------------------------------------------1
第一節 研究背景與動機-------------------------------------------------------1
第二節 研究目的------------------------------------------------------------4
第三節 研究流程與本文架構----------------------------------------------------5
第二章 文獻探討------------------------------------------------------------7
第一節 「特別處理」的設立機制-------------------------------------------------7
第二節 「特別處理」的相關研究------------------------------------------------11
第三節 以事件為效應的相關研究------------------------------------------------14
第三章 研究方法------------------------------------------------------------18
第一節 「特別處理」事件的研究設計---------------------------------------------18
第二節 研究資料------------------------------------------------------------20
第三節 事件研究法----------------------------------------------------------21
第四章 統計結果------------------------------------------------------------25
第一節 敘述性統計----------------------------------------------------------25
第二節 圖形分析------------------------------------------------------------28
第三節 統計檢定------------------------------------------------------------35
第四節 穩健度檢定----------------------------------------------------------46
第五章 結論與建議----------------------------------------------------------48
第一節 研究結論-----------------------------------------------------------48
第二節 研究限制與建議------------------------------------------------------50
參考文獻 -------------------------------------------------------------------51

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2.吳忠群、任志宏,2002,「ST類股票價格對公司財務狀況的反應」,經濟與管理研究,第6期,頁52-60。
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