摘要
Using the method of Event study and market model modified by GARCH which takes volatility cluster into consideration,this paper investigates how the market would react to the news of “put in ST” and “cancel ST”,tests the semi-strong efficiency of China stock market and summarizes the market reaction pattern of such kind of news.Our results show that the semi-strong form of the EMH does not hold in China stock market.Meanwhile,there is delay reaction and converse reaction to good news and overreaction to bad news.These phenomena show the existence of leverage effect.
Using the method of Event study and market model modified by GARCH which takes volatility cluster into consideration, this paper investigates how the market would react to the news of ＂put in ST＂ and ＂cancel ST＂, tests the semi-strong efficiency of China stock market and summarizes the market reaction pattern of such kind of news. Our results show that the semi-strong form of the EMH does not hold in China stock market. Meanwhile, there is delay reaction and converse reaction to good news and overreaction to bad news. These phenomena show the existence of leverage effect.
出处
《统计研究》
CSSCI
北大核心
2006年第11期43-47,共5页
Statistical Research
基金
国家自然科学基金(项目批准号70573034)资助
