| 摘要: |
| 金融市场有效性争议至今没有定论，中国股票市场有效性判断仍有争议。本文从突发性重大污染事件冲击角度，通过行业板块受突发事件冲击后股票价格在H股与A股两个市场应急反应的对比分析，考察我国股票市场的有效性状况，发现H股表现出的反应不足甚于A股，表明我国股票市场已存在短期动量效应，能在一定程度上对当前公开信息作出反应；但这种反应是不足和滞后的，还未达到半强式有效。可见，我国股票市场处于发育初期，公司治理结构政府主导和环境管制不力等综合因素导致了行业板块股价的特殊走势。 |
| 关键词: 市场有效性 重大污染事件 突发事件 行业板块股价 市场应急反应 动量效应 半强式有效 事件研究法 |
| DOI： |
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| Analysis of Emergency Reaction to Industry Block Share Price Fluctuations Suffered from Major Pollution Incidents |
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PAN Xiao-jun
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| Abstract: |
| The controversy on financial market validity is continuously conducted and the judgment on the validity of China’s stock market does not attain the goal. From the perspective of emergency event of pollution, through comparison and analysis of the emergency reaction of stock prices in H-share market and A-share market to the momentum of emergency events, this paper examines validity situation of China’s stock market and finds that the reaction extent of H-share is less than that of A-share, which shows that China’s stock market has short-term momentum effect and can reveal current public information to some extent, however, this reaction is not enough, lags behind and does not reach semi-strong form efficiency. Thus, China’s stock market is still in initial stage of development, and the comprehensive factors such as weak company management structure, inadequate government supervision, insufficient environment regulation and so on result in special fluctuations of industry block share prices. |
| Key words: market validity significant pollution events emergency event industry block share price emergency reaction to market momentum effect semi-strong form efficiency event study |
