问询监管的市场反应——基于深交所数据的实证分析

问询函是证券交易所常用的信息披露监管措施和工具,问询函公告后,被问询上市公司股票的市场反应值得研究.以深圳证券交易所2015年问询监管事件为样本,通过事件研究法和回归分析,研究了问询监管的市场反应.实证研究表明:问询监管对被问询公司总体的累计平均超额收益率有显著影响,在问询公告前,累计平均超额收益率显著为负;在问询公告后,累计平均超额收益率显著为正.而每天的平均超额收益率在问询公告前为负且不显著,在问询公告之后显著为正.因而,证券交易所应严格规范上市公司的信息披露行为,优化问询监管流程,加大对信息披露违规行为的惩处力度,以实现对上市公司信息披露行为的有效监管.

Market Reaction to Inquiry Regulation:An Empirical Analysis Based on the Data on Shenzhen Stock Exchange

As the information disclosure regulation measure and tool,inquiry letters are commonly used by stock exchanges. After an inquiry letter is announced,the market response to the inquired listed company'stock is worth studying. Based on the in-quiries and regulatory events on Shenzhen Stock Exchange in 2015,this paper uses the event study method and the regression a-nalysis to study the impact of inquiry regulation on the market reaction. The empirical research shows that:inquiry regulation has significant impact on the inquired company's overall cumulative average abnormal return rate, which is significantly negative be-fore the announcement and significantly positive after the announcement; meanwhile, the daily average abnormal return rate is negative but insignificant before the inquiry announcement and is significantly positive after the announcement. Therefore, the stock exchange should regulate the information disclosure behavior of listed companies strictly, optimize the inquiry supervision process,and strengthen the punishment for the violation of the inquiry system,so as to achieve effective supervision of the infor-mation disclosure behavior of listed companies.