| 基于GARCH模型的我国上市公司股票回购效应研究 |
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| 引用本文： | 刘京,陈兴. 基于GARCH模型的我国上市公司股票回购效应研究[J]. 西安电子科技大学学报(社会科学版), 2011, 0(5): 68-73 |
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| 作者姓名： | 刘京 陈兴 |
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| 作者单位： | 西安交通大学经济与金融学院,陕西西安,710061 |
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| 基金项目： | 西安电子科技大学基本科研业务费项目 |
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| 摘 要： | 随着相关制度的不断完善，股票回购逐步成为我国股票市场一种重要的资本运作手段，回购案例日益增多。本文运用基于GARCH模型的事件研究法，对从1994年至2010年的61例样本进行了实证研究。实证结果显示：信号传递理论对我国股票回购行为具有较强的解释力；我国股票回购信息泄漏现象明显；以及根据股票回购类型的不同，我国股票回购的市场效应呈现出差异。
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| 关 键 词： | GARCH模型 股票回购 市场效应 |
Effect of Stock Repurchase on Chinese Listed Company Based on GARCH Models |
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| LIU JING,,CHEN XING. Effect of Stock Repurchase on Chinese Listed Company Based on GARCH Models[J]. Journal of Xidian University (Social Sciences Edition), 2011, 0(5): 68-73 |
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| Authors: | LIU JING CHEN XING |
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| Affiliation: | LIU JING1,2,CHEN XING2(1.School of Economics and Finance,Xi'an Jiaotong University,Xi'an,710061,China,2.School of Humanities,Xidian University,710071,China) |
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| Abstract: | With the improving of the institution, stock repurchase gradually becomes an important means of capital operation in Chinese stock market. And the repurchase cases increase day by day. This paper makes empirical study on 61 samples from 1994 to 2010 by event study based on GARCH models. The empirical results show some implication. Firstly Chinese stock repurchase is explicable by signaling theory. Secondly the information leakage is in evidence. Finally the effect of stock repurchase is different due to the different style of the stock repurchase. |
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| Keywords: | GARCH models Stock repurchase Market effect |
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