|
| 文章编号：1672-3104(2018)03-0106-09 |
| |
|
保险资金举牌扰乱股票市场价格了吗?——基于险资A股市场举牌的证据 |
| |
陈宪，卢思远，陈勇 |
| |
|
（中南大学商学院，湖南长沙，410083） |
| |
| 摘 要： 选取2014—2016年保险资金A股市场举牌案例数据，通过建立PSM-DID模型，对举牌信息公告日当期及提前1—10期的股票价格变动进行研究，发现保险资金举牌公告没有造成上市公司股票收益率的显著异常提升，上市公司股价的异常提升出现在公开信息发布日前7个交易日左右，且在公开信息发布日前4个交易日投资可获得最大短期收益。保险资金举牌导致价格变化的短期效应强于长期效应，超额收益可由内幕信息知情者及部分险资获得。通过GARCH(1,1)模型进一步分析，发现保险资金举牌对上市公司股价波动性影响方向不一，不同保险资金投资风格存在差别。综合来看，保险资金举牌并没有扰乱股票市场价格，但举牌信息的提前泄露让部分投资者获得短期超额收益。 |
| |
| 关键词： 保险资金；举牌；股票价格；股价波动 |
| |
|
| |
Does the acquisition of insurance funds disturb stock market prices? Based on the acquisition of insurance funds in A-share market |
| |
CHEN Xian, LU Siyuan, CHEN Yong |
| |
（School of Business, Central South University, Changsha 410083, China） |
| |
| Abstract: The present study, by choosing as research objects the cases of acquisition by insurance funds in A-share market during 2014-2016, and by employing PSM-DID model, conducts research on the fluctuation of the share prices on the announcement date of acquisition or 1-10 days ahead of the date, finding that the announcement date does not cause a significant increase in the stock returns of listed companies., that the abnormal increase of the stock price of the listed companies tend to occur around 7 trading days before the announcement date, and that the maximum short-term accumulated returns are obtained on the 4 trading days before the announcement date. The short-term effect of the change in the price is stronger than the long-term effect, and the excess earnings can be obtained by trading insiders and some insurance funds. Through the GARCH(1,1) model, it is found that the impact of insurance funds of listed companies is different, which indicates a difference in style. In summary, the placards of insurance funds do not disturb the stock market prices, but the advance disclosure of the placard information make some investors obtain excess short-term returns. |
| |
Key words: insurance funds; stock price; acquisition; stock price volatility |
| |
|
|
