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本文运用事件研究法对特别处理公告前后30日内股票超额换手率进行研究,研究结果发现公告之前超额换手率为正,尤其是(-11,1)窗口期显著为正,说明该窗口期内超额换手率均值为0的均衡已经被打破。而在公告之后超额换手率显著为负,说明投资者对特别处理类股票投资倾向减弱,特别处理制度抑制投机效应明显。
This article uses the event research method to study the excess stock exchange rate within 30 days before and after the special treatment announcement. The result shows that the excess turnover rate is positive before the announcement, especially the (-11,1) window period is significantly positive, indicating that the window period Equilibrium with a mean of 0 in the excess turnover ratio has been broken. However, after the announcement, the excess turnover ratio was significantly negative, indicating that the investor’s investment tendency in special handling stocks weakened, and the special handling system inhibited the speculative effect obviously.