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从信息流的角度,研究了深市停发新股前后我国证券市场信息引导格局的变化.实证结果表明,在深市停发新股之前,深市A股收益、收益波动单向引导着沪市的收益和收益波动;但在深市停发新股之后,深市A股的收益对沪市A股收益的引导关系变得不再显著,沪市A股收益和收益波动开始显著地引导着深市A股的收益波动.研究结论表明,2000年10月深市停止发行新股对沪深两市在中国证券市场中的相对地位有着决定性的影响,投资者弃深投沪的趋势已经开始显现.此外,研究还发现,随着中国股市的逐渐规范,交易量里开始含有未来收益与收益波动的有用信息.
From the perspective of information flow, this paper studies the changes of information guidance pattern in China’s securities market before and after the suspension of new shares in Shenzhen.The empirical results show that the volatility of A-share returns and earnings volatility in Shenzhen lead the Shanghai stock market Income and earnings volatility; However, after the suspension of new shares in Shenzhen, the Shenzhen A-share return on the Shanghai A-share earnings led the relationship becomes no longer significant, Shanghai A-share earnings and earnings volatility began to significantly lead the Shenzhen A shares of the earnings volatility.Research conclusions show that in October 2000 to stop the issuance of new shares in Shenzhen on the relative position of Shanghai and Shenzhen stock markets in China have a decisive impact, investors abandon Shenzhen and Shanghai investment trend has begun to appear.In addition , The study also found that with the gradual standardization of China’s stock market, trading volume began to contain useful information about future earnings and earnings volatility.