欧洲内幕交易和市场操纵法规对波兰股市波动性和异常回报的影响

IF 2.5 Q2 ECONOMICS
Janusz Kudła, Barbara Gajus
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引用次数: 0

摘要

本文提出的问题是,《欧洲内幕交易和市场操纵条例》(MAR)是否影响了投资者在最终财务报告公布日前后的行为。欧洲内幕交易和市场操纵条例》是欧盟最近出台的一项法规,与之前的《市场滥用指令》相比,它规定了更严格的信息披露规则。我们可以预期,该法规应能改善公司向投资者提供的信息流,从而降低最终报告公布日前后股票回报率的波动性和异常回报率。为了验证这一假设,我们对 2013-2018 年在华沙证券交易所上市的 60 家大中型公司的股票价格进行了面板回归和方差分析。分析表明,条例的实施增加了股票价格的平均波动性,而年度财务报告公布期前后的价格则未受影响。这表明,尽管向公众提供的信息增加了,但所提供信息的质量却降低了。因此,反滥用条例要求修改适用于小型股票市场的规则,因为这些规则不符合其目标。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
The impact of the European Insider Trading and Market Manipulation Regulation on the volatility and abnormal returns of the stock market in Poland

This article raises the question of whether the European Insider Trading and Market Manipulation Regulation (Market Abuse Regulation—MAR) affected the behaviour of investors around the date of the final financial report announcement. The MAR is a relatively recent regulation in the European Union and provides stricter rules for information disclosure than the previous Market Abuse Directive. One can expect that this regulation should improve the information flow from companies to investors, lowering the volatility of stock returns and abnormal rate of return around the date of the final report. To verify this hypothesis, the panel regressions and ANOVA analysis were applied to the stock prices of 60 medium and large-size companies listed on the Warsaw Stock Exchange in the years 2013–2018. The analysis demonstrates that implementing the regulation has increased the average volatility of stock prices, whereas prices in the period before and after the publication period of annual financial reports remained unaffected. It indicates that the information provided was of lower quality, despite the increase in the information available to the public. Therefore, the anti-abusive regulation requires a modification of rules applied to small stock markets as they do not meet their objectives.

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来源期刊
CiteScore
6.00
自引率
2.90%
发文量
24
期刊介绍: The mission of Eurasian Economic Review is to publish peer-reviewed empirical research papers that test, extend, or build theory and contribute to practice. All empirical methods - including, but not limited to, qualitative, quantitative, field, laboratory, and any combination of methods - are welcome. Empirical, theoretical and methodological articles from all fields of finance and applied macroeconomics are featured in the journal. Theoretical and/or review articles that integrate existing bodies of research and that provide new insights into the field are highly encouraged. The journal has a broad scope, addressing such issues as: financial systems and regulation, corporate and start-up finance, macro and sustainable finance, finance and innovation, consumer finance, public policies on financial markets within local, regional, national and international contexts, money and banking, and the interface of labor and financial economics. The macroeconomics coverage includes topics from monetary economics, labor economics, international economics and development economics. Eurasian Economic Review is published quarterly. To be published in Eurasian Economic Review, a manuscript must make strong empirical and/or theoretical contributions and highlight the significance of those contributions to our field. Consequently, preference is given to submissions that test, extend, or build strong theoretical frameworks while empirically examining issues with high importance for theory and practice. Eurasian Economic Review is not tied to any national context. Although it focuses on Europe and Asia, all papers from related fields on any region or country are highly encouraged. Single country studies, cross-country or regional studies can be submitted.
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