摘要
在引起股票市场波动的众多因素中,消费价格指数CPI日渐引起人们的关注。本文采用事件研究法,以上海证券市场为例,重点研究CPI这一宏观经济信息的公布对中国股票市场的短期影响效应。结果发现,在CPI公布前较短的时间内,股票市场出现显著的异常收益,这表明中国股市有效性不足,重要的经济信息发布前可能存在泄露问题,事后股市对信息的消化吸收也相对缓慢。在稍长的事件期内,CPI信息的发布对股市的累积公告效应较小,市场主体预期的调整和多空双方力量的对比抵消了各事件日内股市受到的信息的冲击。
Among the factors leading to the fluctuation of stock market, CPI has aroused more and more attentions. This paper applies the Event study, taking SH Stock Market as an example, and mainly studies the short-term effect of the issuance of CPI on China＇s stock market. Results indicate that within a short period of CPI issuance, there is an obvious abnormal return in the stock market. This indicates that the efficiency of China＇s stock market is not enough, there exist the possibilities of disclosure of the information before the issuance, and the issuance effect absorbed by the stock market is slow. uith a longer period, the CPI information has little accumulative impact on the market, and the comparison between the modification expected by the market subiect and various market forces can counterbalance the information impact on stock market in event days.
出处
《统计教育》
2009年第7期42-45,50,共5页
Statistical education
