产品市场竞争对股票市场影响研究

发布时间：2018-01-16 13:37

本文关键词：产品市场竞争对股票市场影响研究　出处：《西南财经大学》2012年博士论文　论文类型：学位论文

【摘要】：长久以来,金融学的文献将产品市场与金融市场视作两个相互隔离的市场进行研究,忽视了产品市场竞争对股票市场的影响。一般来说,企业在产品市场上相互竞争产生具有不确定性的现金流。而企业的市场力量(market power)会直接影响现企业现金流不确定性的大小,企业的市场力量越大,抵御风险、抗击冲击的能力越强,现金流的不确定性越小。相应地,在股票市场上,股票分析师对上市公司的现金流进行预测,并通过各种媒介传递给股票投资者,股票投资者根据对上市公司未来现金流的预期对股票进行定价,因此产品市场竞争对股票市场应该有重要影响。本文从产品市场竞争的视角,系统性地研究了产品市场竞争对股票市场的影响,发现产品市场竞争是影响股票市场的一个重要因素。本文的研究结果弥补了现有文献的不足,在一定程度上加深了我们对产品市场竞争与股票市场关系的认识。改革开放以来,我国逐步确立建立社会主义市场经济的目标,逐渐从计划经济体制向市场经济体制转型,市场经济逐渐成为资源配置的主要方式,经济的市场化程度不断提高。在国企改革过程中,民进国退,国有企业逐渐退出竞争性行业和领域,民营企业不断进入新的行业和领域,民营经济比重不断提高。2002年我国加入世界贸易组织,进口关税大幅降低,大量国外商品进入国内市场。同时国外产业资本以QFII形式大量流入,这进一步加剧了产品市场的竞争。但与此同时,部分行业与领域存在一定的行政性垄断,民营企业面临较高的进入门槛,市场竞争程度较弱。与之相呼应的是,我国的股票市场自20世纪90年代成立以来发生巨大的变革与发展,截至2010年我国股票市场总市值居世界第二位。股权分置改革从根本上解决了非流通股东与流通股东之间的利益冲突,显著地提高了我国股票市场的流动性。成立创业板,逐步形成了主板、中小企业板块与创业板的多层次资本市场体系。但与此同时,我国股票市场中还存在种种不规范行为,内幕交易、信息披露不规范以及基金“老鼠仓”等行为时有发生。一方面我国经济的市场化程度不断提高,产品市场竞争日趋激烈；另一方面我国股票市场也取得了巨大的发展。本文研究了在我国经济体制转型的大背景下,产品市场竞争对股票市场的影响。本文采用行业的市场集中度(HHI)和企业的勒纳指数(Lerner index)来衡量产品市场的竞争程度与企业的市场力量。一方面,市场集中度和勒纳指数反映了产品市场的竞争程度,产品市场竞争越激烈,行业的市场集中度越低、企业的勒纳指数越小；反之,产品市场竞争的程度越弱,行业的市场集中度越高、企业的勒纳指数越大。另一方面,市场集中度和勒纳指数反映了企业的市场力量,市场集中度越高、企业的勒纳指数越大,企业的市场力量越大；反之,市场集中度越低、企业的勒纳指数越小,企业的市场力量越小。产品市场竞争的程度和企业的市场力量如同一枚硬币的两个方面,共同反映了产品市场的竞争结构。本文共分为七章,具体的章节结构安排如下。第一章是导论,介绍本文的研究背景,提出研究问题与研究内容,并指出本文研究的理论意义与现实意义。第二章是文献综述,分别从股票的收益率、股票异质性波动率、股票分析师预测和股票价格信息含量等四个方面梳理了相关的英文和中文文献,并对文献进行简单的述评。第三章研究了产品市场竞争与股票收益率的关系。我们发现在控制住其他因素后,行业的市场集中度越高、企业勒纳指数越大,股票收益率越低。在考虑上市公司的控股类型和国有股比例的影响后,市场集中度与勒纳指数的系数估计值仍然显著为负,这说明我们的研究结果并不是由上市公司的所有制性质引起的。稳健性检验的结果表明,无论是股改前还是在股改后,我们的发现均成立；并且我们的结果不受市场集中度指标选择的影响。第四章研究了产品市场竞争与股票异质性波动率的关系。根据红利贴现模型,股票价格等于企业未来不确定现金流的期望值贴现后的加总。产品市场竞争越激烈,企业现金流的不确定性越大,在股票市场上表现为较高的股价波动。实证结果表明,行业的市场集中度越高、企业的勒纳指数越大,股票的异质性波动率越小。考虑到股票上市与退市有可能会对系数的估计值产生影响,我们只保留1998至2007年一直交易的股票,回归结果与前面的结果基本一致。稳健性检验的结果表明,我们的实证发现不受模型回归方法、股票异质性波动率构造方法和市场集中度指标选择的影响,这说明我们的实证结果具有一定的稳健性。由于股票的异质性波动率代表了股票的异质性风险,在不完全信息的股票市场上,股票的异质性风险会影响到股票的收益率,因此第四章的结果为第三章提供了实证基础。第五章研究了产品市场竞争对股票分析师盈余预测的影响。产品市场竞争越激烈,股票分析师盈余预测的难度越大,分析师盈余预测的难度又会影响到分析师预测的表现。我们发现行业的市场集中度越高、企业的勒纳指数越大,股票分析师盈余预测的准确度越高,乐观性偏差越小。这说明当分析师的预测任务难度较大、不能准确预测上市公司的每股盈余时,分析师倾向于做出过于乐观的盈余预测来取悦上市公司管理层,以便于在以后的预测中从上市公司管理层获取内部消息。稳健性检验的结果进一步支持了我们的发现。同时,由于股票分析师的盈余预测代表了股票投资者的盈余预期,第五章的实证结果为第六章提供了传导机制。第六章研究了产品市场竞争对股票价格信息含量的影响。我们采用事件研究方法,以上市公司盈余公告日作为事件发生日,用上市公司盈余公告产生的累计异常收益率来衡量股票价格的信息含量。股票的累计异常收益率越高,说明股票价格的信息含量越小；反之,股票的累计异常收益率越低,说明股票价格的信息含量越大。我们发现行业的市场集中度越高、上市公司的勒纳指数越大,股票的累计异常收益率越低,股票价格的信息含量越大。但是在考虑了去趋势的换手率与样本的聚类相关后,市场集中度的系数不再显著。稳健性检验的结果进一步支持了我们的发现。在我国,上市公司的分红预案通常与中报、年报的盈余公告一起公布,由于分红预案确定的股利是股票投资者获取投资收益的重要渠道,因此上市公司的分红信息可能会产生一定的噪音进入股票价格中。在我国股票市场上存在大量不分红的上市公司,这为我们研究分红信息对股票价格的影响提供了天然的实验。我们将全部样本分为不分红样本与分红样本后,发现在不分红样本中,市场集中度与勒纳指数的系数估计值全部显著为负；在分红样本中,市场集中度与勒纳指数的系数符号都不再显著。这说明分红信息确实作为噪音信息影响了股票价格,使得市场集中度与勒纳指数对股票累计异常收益率的作用机制不再显著。第七章是本文的结论,从总体上对整篇文章进行总结,同时阐明研究的缺陷与不足,并指出进一步研究的方向。目前关于产品市场竞争对股票市场影响的研究刚刚起步,相对于已有的文献,本文的贡献与创新之处在于,首先,已有的研究大多着眼于一个方面,从某个特定的角度进行研究。本文从多个方面系统性地研究了产品市场竞争对股票市场的影响,并试图论证其中的传导途径与作用机制。其次,本文同时采用行业的市场集中度和企业勒纳指数来衡量产品市场的竞争程度与企业的市场力量,能够更加全面地反映产品市场的竞争结构。再次,我们在计算行业的市场集中度时,使用了国家统计局的工业企业数据,该数据涵盖了所有国有企业和主营业务收入在500万以上的非国有企业,占全部工业企业总产值的90%以上,基本上反映了我国各行业产品市场竞争程度的差异,有效地避免了度量误差对实证结果的影响。由于水平有限,本文没有从理论上构建一般均衡理论模型来阐述产品市场竞争对股票市场的影响。本文使用国家统计局工业企业数据计算市场集中度,可以更加准确的衡量行业的市场集中度。但是,由于该数据只包括工业企业,不包括农业、服务业等行业,在将工业企业计数据计算的市场集中度与股票数据进行匹配时,农业、服务业等行业的上市公司数据无法匹配,这使得我们损失一部分数据样本,降低了模型估计的效率。这些都是本文研究的不足之处。产品市场竞争在多个方面对股票市场产生影响,本文仅选取股票收益率、异质性波动率、股票分析师预测、股票价格的信息含量四个方面进行了研究。在其他方面,如公司治理、股票流动性、现金流持有等方面,都可以作为进一步研究的主题。
[Abstract]:In the stock market , stock analysts estimate the cash flow of the listed companies and transfer them to stock investors through various media . The market power of the enterprises is the important factor that affects the stock market . The research results of this paper make up the shortage of the existing literature , and deepen our understanding of the market competition and the stock market relationship to some extent . Since the reform and opening - up , our country has gradually established the goal of establishing the socialist market economy , gradually from the planned economic system to the market economic system , the market economy has gradually become the main way of resource allocation , the market economy of the private enterprises has gradually increased . In the course of the reform of the state - owned enterprises , the state - owned enterprises have gradually withdrawn from the competitive industries and fields , and the private enterprises have continuously entered into the new industry and the field , and the private enterprises continue to enter the new industry and the field . At the same time , the private enterprises enter into the new industry and the field , which further aggravate the competition of the product market . At the same time , some industries and the field have certain administrative monopoly , and the private enterprises face a higher threshold of entry and the market competition is weak . In contrast , China ' s stock market has undergone tremendous change and development since its establishment in the 1990s . As of 2010 , China ' s stock market has been the second largest market value in the world . The reform of equity division basically solved the conflicts of interest between the East and the tradable shareholders of the Non - tradable shares . On the one hand , the market concentration and the Renner index reflect the competition degree of the product market and the market power of the enterprise . On the other hand , the higher the market concentration and the Renner index of the enterprise , the smaller the enterprise ' s profitability index . On the other hand , the lower the market concentration , the smaller the enterprise ' s profitability index , the smaller the enterprise ' s market power . On the other hand , the higher the market concentration and the enterprise ' s market power , the smaller the enterprise ' s market power . The market concentration and the enterprise ' s market power , like the two aspects of a coin , reflect the competitive structure of the product market . This article is divided into seven chapters , and the detailed structure arrangement is as follows . The first chapter is the introduction , introduces the research background , puts forward the research problems and the research contents , and points out the theoretical significance and practical significance of this paper . The second chapter summarizes the literature review from four aspects : the yield of stock , the volatility of stock heterogeneity , the forecast of stock analyst and the information content of stock price , and makes a brief review of the literature . In chapter 3 , the relationship between market competition and stock yield is studied . We find that the higher the market concentration degree of the industry , the lower the corporate lenner index , the lower the value of the stock yield . After considering the influence of the holding type of the listed company and the proportion of the state - owned shares , our findings are not caused by the ownership nature of the listed companies . The results show that our findings are not influenced by the market concentration indicator . In the fourth chapter , we study the relationship between the market competition and the volatility of stock heterogeneity . According to the dividend discount model , the higher the stock price is equal to the expected value of the future uncertain cash flow , the more uncertain the market concentration of the enterprise , the greater the volatility of the stock . In chapter 5 , the impact of product market competition on the earnings forecast of stock analysts is studied . The more competitive the market competition is , the more difficult it is to predict the earnings of the analyst . The higher the earnings forecast of the analyst , the higher the earnings forecast of the stock analyst , the less the optimistic deviation is . This shows that when the analyst ' s forecast task is more difficult and the earnings forecast of the stock analyst cannot accurately predict the earnings per share of the listed company . In the sixth chapter , we study the effect of product market competition on stock price information content . In our country , the higher the earnings announcement date of listed companies , the higher the information content of stock price . Chapter 7 is the conclusion of this paper , summarizes the whole article in general , and expounds the defects and shortcomings of the study , and points out the direction of further research . At present , the research on the influence of product market competition on the stock market has just started . Compared with the existing literature , the contribution and innovation of this paper is that , firstly , the research on the market concentration and the enterprise ' s market power can reflect the competition structure of the product market . Secondly , we use the industry ' s market concentration and the enterprise Renner index to measure the competition degree of the product market and the market power of the enterprise . Because of the limited level , this paper does not theoretically construct the general equilibrium theory model to illustrate the influence of product market competition on the stock market . In this paper , the market concentration of the industry can be measured more accurately by using the data of the industrial enterprise data of the national statistical office . However , the data of the listed companies in the industry such as agriculture and service industry can not match when the market concentration calculated by the industrial enterprise data is matched with the stock data , which makes us lose some data samples and reduce the efficiency of the model estimation . These are the deficiencies of this paper . In this paper , we have studied the stock market , such as stock return rate , heterogeneity fluctuation rate , stock analyst forecast and information content of stock price . In other aspects , such as corporate governance , stock liquidity , cash flow hold , etc . , can be used as the subject of further study .

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

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