上市公司信息披露质量对股价极端波动的影响研究
Study on the Impact of Information Disclosure Quality of Listed Companies on Extreme Stock Price Fluctuations
周金蒨 1孟佳欣 1蒋文江1
作者信息
摘要
本文以 2017-2021 年深圳证券交易所A股上市公司为样本,运用联合泊松混合模型,从暴涨和暴跌两个角度探究信息披露质量对股价极端波动的影响情况.研究发现,二者之间存在显著的负相关性,并且当股票价格受信息披露质量的影响出现极端波动时,相对于暴涨,出现暴跌的风险更高.此外,本文还基于联合泊松混合模型中的随机效应,探究了信息披露质量对股价极端波动影响在不同行业之间的差异.通过分析这种差异性,选择适合的股票来构建投资组合,能够帮助不同类型的投资者选择相应投资策略,实现更有效的风险管理.
Abstract
Using a sample of A-share listed companies on the Shenzhen Stock Exchange from 2017 to 2021,this paper employs a joint Poisson mixture model to investigate the impact of information disclosure quality on extreme stock price fluctuations from both surge and plunge perspectives.The study finds a significant negative correlation between the two,and when stock prices experience extreme fluctuations due to the quality of information disclosure,the risk of a plunge is higher compared to a surge.Based on the random effects in the joint Poisson mixture model,this paper explores the industry-specific differences in the impact of information disclosure quality on extreme stock price fluctuations.By analyzing these differences,suitable stocks can be selected to construct investment portfolios,thereby providing corresponding investment strategies for different types of investors to achieve more effective risk management.
关键词
信息披露质量/股价极端波动/联合泊松混合模型/板块随机效应/投资策略Key words
Information disclosure quality/Extreme stock price fluctuations/Joint Poisson mixture model/Sector random effects/Investment strategy引用本文复制引用
出版年
2024
NETL
NSTL
万方数据