摘要
基于打黑规制政策对供需格局及价格变化的预期影响,采用事件研究法实证分析了稀土产业打黑政策对相应资本市场的冲击效果。研究发现股票市场对稀土产业打黑政策的出台反应不足,打黑政策需要进一步细化与修订。在影响因素层面进一步研究了投资者、分析师关注以及打黑政策强度的代理变量对事件窗口期累计超额收益率的影响,发现投资者对打黑规制政策表现出了“抵触”情绪,其更愿意跟随机构关注、注意力效应去获得事件窗口期的超额累计收益。研究结论对于打黑政策的“常态化”、“精细化”等修订具有启示意义。
Based on the influence of Anti-Mafia regulation policy on supply and demand pattern and price change,the study empirically analyzed the impact of the rare earth industry’s anti-mafia policy on the corresponding capital market by using the event study method.The results show that the policies for dealing with illegal mining and processing caused volatility for the related stock prices are all under reaction,which are tested by market model,three-factor model,and fivefactor model.Furthermore,the influencing factors of cumulative abnormal return between event windows of policy released by considering of investor attention,analyst attention,and proxy variable of policy strength were studied.It was found that investors have collide emotion when the policies released and they would like pay much attention on investor attention and analyst attention to get positive cumulative abnormal return.
作者
边璐
刘朝晖
张江朋
BIAN Lu;LIU Zhaohui;ZHANG Jiangpeng(School of Economics and Management,Inner Mongolia University of Science&Technology,Baotou 014010;Chinese Academy of Fiscal Sciences,Beijing 100142)
出处
《科技促进发展》
2022年第4期452-461,共10页
Science & Technology for Development
基金
2019年国家自然科学基金(71864028):考虑美日欧稀土战略的稀土产品最优价格模型及策略研究,负责人:边璐
2018年内蒙古自然科学基金委(2018MS07010):考虑多因素、非线性关系的稀土产品价格预测问题研究,负责人:边璐。
关键词
稀土
政策出台
事件研究
影响因素
rare earth
policy released
event study
influence factors
