| This paper studies on the reaction of China's stock price and turnoveron annual financial account and annual financial account forenotice oflisted company. The study focuses on these problems. How to react on thedifferent information? What degree of the reaction? What does thereaction mean? How to explain and analyze these problems? At last, whatmeasures can be taken by investors? And what measures can be taken oninformation showing by supervising department? According to Efficient Market Hypothesis(EMH), the arriving of newinformation is the unique cause to the stock price changing, andinformation should be open and random. EMH divides market into threetypes on market efficiency, weak form efficiency market, semi-strongform efficiency market, and strong form efficiency market. Generally, itis thought that strong form efficiency market can not be achieved, so themarket efficiency is mainly tested by weak form efficiency andsemi-strong form efficiency. And to test whether a market getssemi-strong form efficiency or not, an important way is to test whether itis reasonable and punctual reaction of stock price on the news events ofsample companies.The way can be called the case study. The annual account of listed company composed of the mostimportant company's running information in the last years under thesustainable running situation. By applying of the case study, this papertest the reaction of stock price on the profit datum showed in account, andtell whether china's stock market achieve semi-strong form efficiency.And from the analysis of the related datum of china's stock market, thereare five conclusions 1) The profit datum in annual account can convey much effectiveinformation. 2) There are problems of information giving out in China's stockmarket. 3) The cumulative abnormal profit drifts with the information beforethe publishing of profit bullet. It is called Post-Earning-AnouncementDrift in foreign study. 4)In all, China's stock market overreacts on the good profit datum,and underreacts on the bad profit datum. 5)China's stock market doesn't achieve semi-strong form efficiency. These conclusions are the same in short term, long term, and turnover study, and can prove within each other. The innovations of this paper are as follows. Integrally study on the effect of annual account. The used study issporadic and the opinions and the time views are not in accordance. So the results were multiple. This paper studies from the perspective of long term (18 months) and short term (15 days), testing the stock price and turnover reactions on the account published, and get five conclusions which prove within each other. It enhances the credibility of this paper's description. It also innovates on the datum analyzing, especially on the turnoverdatum. Based on the stock price reaction on information in EMH, thispaper draws the possible turnover reactions on information, and provesthem in case study. At the same time, HYCD is designed to test howactive the turnover is. This paper is composed of four parts. The first part introduces the meaning of account effect of China'sstock market and the market situation, and points out the aim and ways ofthis study. The second part gives an overview of annual account effect study. The third part is the core of this paper. It's about the case study. Itanalyzes the effect of the account's profit datum on the stock price andturnover. All the results support the five conclusions. The fourth is another core of this paper. it's also divided into threeparts. Based on the third part, this paper introduces the orthodox explain tothe bizarre phenomenon, and then gives explain to behavioral finance.And analyzes and explains on the bizarre phenomenon in China's stockmarket. Based on the case studying results, this paper suggests momentuminvesting strategy of buying portfolio which has a good beginning andthrowing portfolio which has a bad beginning. Suggest on the problems of the information giving out. Theinformation showing mechanic will... |
PDF Full Text Request