股利政策对股票价格波动性的影响研究

发布时间：2018-01-06 07:34

本文关键词：股利政策对股票价格波动性的影响研究　出处：《西南财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：我国股票市场自20世纪90年代初诞生以来,伴随着经济建设的不断深化而迅速发展；近年来,由于广大民众投资理财意识的逐渐形成,股票市场也开始成为各方面关注的焦点之一。由于我国股票市场发展未臻成熟,其中各种积患也屡现丛生,特别受人诟病的一点在于股票市场中炒作情绪严重,有碍投资者理性投资观念的树立以及市场本身的健康发展。有学者将这一情况归因于上市公司股利发放不畅,长期存在利润不分配、分配少的情况,忽视了股利在传递公司基本面信息并引导股票价格反映公司内在价值过程中所能扮演的作用,使股价脱离公司本身非理性波动；此状况还导致了投资者无法通过股利获取合理投资回报,不得不寄期望于在股价的短期波动中频繁换手以获得回报,助长了股价的剧烈波动。基于此,本文将围绕上市公司股利政策和股票价格波动性之间的关系展开研究,试图验证该观点的正确性,即探讨股利政策是否确实能对股价的波动性产生影响。本文在对既有研究成果的综述基础之上,首先从久期视角和收益率/增长率视角为出发点,从理论方面证明了股利对股票价格波动性的影响。紧接着,本文将研究重点转向我国股票市场的研究之中,在正式开始这一部分的研究之前,将首先剖析我国上市公司股利政策现状,并对造成这一状况的原因进行进一步的分析。在此之后将正式转入针对我国上市公司股利政策对其股票价格波动性影响的实证研究之中,具体言之,本文将采用面板数据的计量方法,对2001年到2010年十年间按照一定标准选取的695支股票的相关数据进行实证研究。该研究分成三个层次,首先比较不同股利发放政策的公司股票波动性之间的区别；其次将股利政策作为虚拟变量进行实证研究,试图发现股利的发放是否会对股价波动性产生影响；最后将对按股利政策进行分组后的各组公司展开计量回归,以便发现进一步的信息。通过以上三个层次的研究,本文发现在我国股票市场中,现金股利和股票股利的发放都与股票价格的波动负相关,即上市公司发放股利有助于稳定股票价格的波动；对于现金股利发放程度较高的股票,其股价波动性与公司基本面信息联系显著,而现金股利发放程度较低的股票,其股价波动性几乎与公司基本面信息完全脱节,表明现金股利有助于抑制股票价格脱离公司价值非理性波动。对于股利政策和股价波动性的研究由来已久,但关于二者之间关系的研究尚不多见。本文就股利政策和股价波动间关系的研究的创新之处包括以下两点： 1)在考察现金股利的同时也考察了股票股利对其价格波动性的影响。在我国股票市场中股票股利甚为常见,但针对股票股利的研究并不多见,本文的研究将股票股利纳入研究范围并发现股票股利对稳定股价波动也具有重要作用。 2)在本文的研究中同时将股利政策作为自变量和分组依据。在该研究方法下,一方面研究了一次性发放股利对股价波动的影响,另一方面也对比了不同股利发放风格股票各自的特征。本文研究的结论认为发放股利有助于稳定股价波动,该结论为督促上市公司健全投资者回报机制提供了论据,也为稳定股价波动倡导理性投资提供了一种解决思路。
[Abstract]:China's stock market since the beginning of 1990s was born, with the deepening of economic construction and rapid development; in recent years, due to the gradual formation of the public awareness of financial investment, the stock market has become the focus. Due to the development of China's stock market is not mature, the product have repeatedly with special suffering to the point that speculation in the stock market mood is serious, hinder the healthy development of the concept of rational investors and establish the market itself. Some scholars will be the situation due to the listed company dividend distribution is not smooth, there is long-term distribution of profits, less distribution situation, ignoring the dividend in the transmission company fundamental information and guide the stock prices reflect the intrinsic value of the company can play a role in the process, the stock from the company itself irrational fluctuations; this situation has also led to investment Investors can not obtain the reasonable investment return through dividends, to look forward to in the short-term fluctuations in stock exchange frequency propagation to obtain returns, contributing to price volatility. Based on this, this paper will focus on the development of the relationship between dividend policy and stock price volatility research, trying to verify the correctness of the view, i.e. to investigate whether dividend policy can really affect the volatility of the stock price.
In this paper, on the basis of the existing research results, first from the perspective of duration and rate of return / growth perspective as a starting point, from the aspect of theory and proves the effect of dividend on stock price volatility. Then, this paper will shift the focus of the research of China's stock market, at the beginning of the formal study of this part before, will first analyse the current situation of dividend policy of Listed Companies in China, and further analysis of the reasons for this situation. After this will be officially transferred to the dividend policy of Listed Companies in China An Empirical Study on the volatility of stock price impact, in other words, this paper will use the econometric method of panel data the empirical research, related data of 695 stocks in 2001 to 2010 ten years were selected according to certain standards. The study is divided into three levels, first compare the different dividend policy of public The difference between our stock volatility; secondly, the dividend policy as a dummy variable for empirical research, trying to find out whether the dividend payment will affect the stock price fluctuation; then the grouped according to the dividend policy after each company carried out regression, in order to find further information.
Through the study of the above three levels, this paper finds that in our stock market, cash dividends and stock dividends are negatively related to stock price volatility, namely the listed company dividends can help stabilize the fluctuation of stock price; for cash dividend stocks with higher level of basic information, the stock price volatility with the company's significant, and low level of Cash Dividend Stocks, the stock price volatility and fundamental information almost completely out of touch, show that the cash dividend helps to suppress the stock price from the value of the company irrational fluctuations.
The research on dividend policy and stock price volatility has been going on for a long time, but there are few studies on the relationship between the two.
1) in the study of cash dividend and stock dividend on the effects of price fluctuation in China's stock market. Stock dividends is common, but the research on stock dividend does not see more, this study will be included in the study and found that stock dividend stock dividend also has an important effect on the stability of stock price fluctuation.
2) in this paper, we take dividend policy as independent variable and group basis. On the one hand, we study the impact of one-off dividend on stock price fluctuation, and compare the characteristics of different dividend payout styles.
The conclusion of this paper is that dividend payment helps stabilize stock price volatility. This conclusion provides evidence for supervising listed companies to improve investor return mechanism, and also provides a solution for stabilizing stock price volatility and advocating rational investment.

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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