CAJ | 학술논문

股票价格的变动是市场对信息反应的外在表现. 本文利用高低价等极值价格信息将市场对利好消息和利空消息的反应进行了区分, 并对这两类反应的时序动态性质进行了实证研究. 基于向量自回归模型的脉冲响应分析显示, 中国股市对利好和利空消息的反应表现出非常明显的非对称性： 1）与利好消息相比, 市场对利空消息的反应表现出更强的持续性特征, 说明市场对坏消息的反应相对较慢; 2）市场对利空消息的反应会显著地影响到市场对利好消息的反应预期, 反之则不成立. 本文的实证研究结论表明中国股票市场对信息的反应并非完全理性的, 历史的价格信息会影响到未来资产价格预期的形成. 同时, 本文的实证研究结论不仅可以解释中国股票市场牛短熊长的特征, 而且表明在中国的股票市场中, 与利好消息相比, 利空消息更容易造成资产价格的大幅波动.
고표개격적변동시시장대신식반응적외재표현. 본문이용고저개등겁치개격신식장시장대리호소식화리공소식적반응진행료구분, 병대저량류반응적시서동태성질진행료실증연구. 기우향량자회귀모형적맥충향응분석현시, 중국고시대리호화리공소식적반응표현출비상명현적비대칭성： 1） 여리호소식상비, 시장대리공소식적반응표현출경강적지속성특정, 설명시장대배소식적반응상대교만; 2）시장대리공소식적반응회현저지영향도시장대리호 소식적반응예기, 반지칙불성립. 본문적실증연구결론표명중국고표시장대신식적반응병비완전이성적, 역사적개격신식회영향도미래자산개격예기적형성. 동시, 본문적실증연구결론불부가이해석중국고표시장우단웅 장적특정, 이차표명재중국적고표시장중, 여리호소식상비, 리공소식경용역조성자산개격적대폭파동.
Stock price changes are due to news being reflected. By decomposing the stock returns into reactions to good news and bad news, this paper investigates the dynamic properties of these two different reactions with a vector autoregressive （VAR） model. The results show that Chinese stock market reacts asymmetrically to different news： 1） Compared to the reaction to good news, bad news seems to cause higher persistent shock to stock market; 2） The reaction of market to bad news plays an important role in reshaping the expectations of the reaction of market to good news, but not vice versa. These findings hint that Chinese stock market does not fully and rationally react to news, and that historical price can reshape the expectation on asset price. Also, these findings can well explain the Short-Bull and Long-Bear characters of Chinese stock, and show that bad news, compared to good news, causes larger market volatility.