负面产品质量消息对于股价的影响

发布时间：2018-07-02 20:35

本文选题：事件研究 + 产品质量新闻　；参考：《上海交通大学》2012年硕士论文

【摘要】：7.23温州动车事故造成了大约200人的死亡，同时也对相关上市公司的股价造成了巨大的下跌。在那次事故之后，有关和谐号的制造及维护的一系列公司都经历了股价的大幅下挫，他们中的一些甚至遭遇了跌停。这次事件的例子很好的体现了产品质量相关的负面消息对股市的影响。然而，这一题目在学术界仍然是个崭新的论题，很少有人专门研究这一类消息对股价的影响，尤其是在中国几乎没有前人做过类似的研究。本文总结了2011年5月至2012年2月间发生的166件产品质量相关的新闻，采用30天的事件窗口研究负面新闻与之后的股价变动之间的关系。本文采用假设检验的方法，论证了产品质量相关的负面新闻与股价下跌之间的显著联系；通过回归模型进一步阐述影响范围广的新闻会带来更大的股价下跌。研究结果表明，一旦出面产品质量相关的负面消息，股价会有一个持续4天左右平均0.60%的显著下跌；对于累积超额收益而言，其显著负值的持续时间会更长，大约是14个交易日，总共的股价下跌约1.7%。除此之外，更多的搜索量、更大的媒体覆盖率会导致更为严重的股价下跌。以上两个现象强有力地证明了产品相关的负面消息与之后股价下跌的因果关系。除了上述的因果关系之外，本文还发现搜索量和公司产品种类的丰富程度是决定负面产品质量新闻对股价影响的重要因素，越大的搜索量、越单一的产品种类，新闻对股价的影响就越大。
[Abstract]:The Wenzhou crash killed about 200 people and caused a huge drop in the shares of listed companies. In the wake of the accident, a series of companies involved in the manufacture and maintenance of Harmony have experienced sharp falls in their share prices, some of which have even fallen by a limit. The example of this event is a good example of product quality related negative news on the stock market. However, this topic is still a new topic in academic circles, and few people have studied the influence of this kind of news on stock price, especially in China. This paper summarizes 166 news items related to product quality from May 2011 to February 2012, and uses a 30-day event window to study the relationship between negative news and subsequent stock price movements. In this paper, the hypothesis test is used to demonstrate the significant relationship between the negative news related to product quality and the decline of stock price, and the regression model is used to further explain that the news with a wide range of influence will bring about a bigger decline of stock price. The results show that once the negative news about product quality comes forward, the stock price will have a significant decline of 0.60% on average for about 4 days, and the negative value of the stock price will last longer for the cumulative excess return. About 14 trading days, a total of about 1.7 shares fell. In addition, more search volume, greater media coverage will lead to a more serious decline in stock prices. These two phenomena strongly demonstrate the causal relationship between the negative news related to the product and the subsequent stock price decline. In addition to the above causality, this paper also finds that the quantity of search and the richness of the company's product types are the important factors that determine the impact of negative product quality news on the stock price. The larger the search volume, the more the single product category. The greater the impact of news on stock prices.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F273.2;F832.51

【相似文献】