政策信息对相关上市公司股价波动的影响——以“专精特新小巨人”企业为例

The Impact of Policy Information on Stock Price Fluctuations of Related Listed Companies—Taking the “Specialized, Refined, Unique, and Innovative Little Giant” Enterprise as an Example

摘要: 政策信息如何影响相关上市公司股价波动？本文从事件研究法出发，选取2021年4月23日关于开展第三批专精特新“小巨人”企业培育工作的通知作为“专精特新”政策信息事件，基于238家“专精特新小巨人”上市公司的股价数据，检验了“专精特新”政策信息的发布与“专精特新小巨人”企业股价波动的因果关系。本文还构建了截面回归，探讨股价波动的其他影响因素。研究结果显示：“专精特新”政策信息对相关上市公司股价波动具有显著的正向影响，企业成长性与研发投入对企业的累计超额收益率具有显著正向影响，政府补贴对企业的累计超额收益率影响显著为负。此外，政策信息对相关上市公司股价波动的影响还存在行业和政府补贴差异。最后，基于以上的研究结果从政府、市场和投资者三个方面分别提出了相应的政策建议。

Abstract: How does policy information affect stock price fluctuations of related listed companies? Starting from the event study method, this article selects the notice on April 23, 2021 regarding the cultivation of the third batch of specialized, refined, and innovative “little giant” enterprises as the “specialized, refined, unique, and innovative” policy information event. Based on the stock price data of 238 listed companies of “specialized, refined, unique, and innovative little giant”, the causal relationship between the release of “specialized, refined, unique, and innovative” policy information and the stock price fluctuations of “specialized, refined, unique, and innovative little giant” enterprises is tested. This article also constructs a cross-sectional regression to explore other influencing factors of stock price volatility. The research results show that the policy information of “specialization, refinement, uniqueness, and novelty” has a significant positive impact on the stock price fluctuations of related listed companies. The growth of enterprises and R&D investment have a significant positive impact on their cumulative excess return, while government subsidies have a significant negative impact on their cumulative excess return. In addition, there are industry and government subsidy differences in the impact of policy information on the stock price fluctuations of related listed companies. Finally, based on the above research results, corresponding policy recommendations were proposed from three aspects: government, market, and investors.