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本文采用事件研究法检验违规处分公告引起的市场反应,显著性检验结果显示市场对违规处分有一定程度的负面反应,滞后3个交易日,持续时间较短,总体有效性不强。本文将样本按处分主体、处分力度等因素进行划分,结果显示市场的负面反应程度与处分主体的权威性及处分力度的强度呈正相关,而对违规主体和违规原因不敏感。
In this paper, the incident research method is used to test the market response caused by the illegal disposal announcement. The significant test results show that the market has a certain degree of negative reactions to the violation sanctions. With lagged three trading days, the duration is short and the overall effectiveness is not strong. This article divides the samples according to the subject of punishment and the intensity of punishment. The results show that the degree of negative reaction in the market is positively related to the authority of the punishment subject and the strength of the punishment intensity, but not to the subject of the violation and the reason of violation.