产品市场势力与持股者交易行为

发布时间：2018-08-28 11:51

【摘要】：股票市场一直是中国学术界关注的焦点之一,行为金融理论的兴起使得众多研究尝试从行为偏差的角度对持股者的交易行为及其影响进行研究,从而解释中国股票市场的效率问题。本文沿着Campbell et al.(2001)、Pastor and Veronesi (2003)、Gasper and Massa (2006)、Tookes (2008). Peress (2010)的研究思路从产品市场势力的角度进行了探讨,分析产品市场势力对于持股者交易行为的影响。本文第一部分首先分析了产品市场势力对于持股者交易行为影响的基础机制,并证实产品市场势力的提高能显著降低股票收益率的公司特质波动,从而降低交易时面对的不确定性。同时产品市场势力还导致了异质信念水平的提高,原因可能在于产品市场势力降低了不确定性的同时也增强了持股者的信心,因而更加相信自己的判断。在第一部分研究的基础上,本文继续分析了产品市场势力对持股者交易的积极性、交易中的羊群行为、处置效应的影响。基于投资者是风险厌恶的和异质信念促进交易的假设以及前面的研究结论,本文推断并证实产品市场势力能够显著地促进交易,这种促进不仅表现在交易量的扩大上,还表现在每笔交易量的提高上。而对于羊群行为的分析是建立在信息不对称导致羊群行为的假设下,当产品市场势力减轻股票收益率的公司特质波动时信息不对称程度下降,而交易水平的提高也意味着市场交易对信息传递的作用增强,这些都使得交易的信息环境改善,从而减少羊群行为。同时异质信念水平的提高意味着交易时会更多根据自己的判断进行决策,而不是从众。因此本文认为产品市场势力的提高能够降低交易中的羊群行为,第三部分的实证研究也提供了相应的证据。而对处置效应的研究则是基于由前景理论所得到的不确定性与处置效应之间的联系,即交易时面对的不确定性程度越高越可能发生处置效应等行为偏差,而产品市场势力能够降低交易时面对的不确定性,因而可以减轻处置效应。对此第四部分的研究给出了相关证据。最后,本文分析了产品市场势力通过持股者的交易行为而对股票价格信息含量以及股票市场流动性产生的影响,结果发现产品市场势力因为促进交易、信息传递等降低了市场的信息不对称水平,最终提高股票价格的信息含量和市场流动性。产品市场势力的影响在控制公司治理水平的情况下依然显著,并与公司治理之间存在交互关系。
[Abstract]:The stock market has always been one of the focal points of Chinese academic circles. The rise of behavioral finance theory makes many researches try to study the trading behavior and its influence of shareholders from the angle of behavior deviation. So as to explain the efficiency of China's stock market. Campbell et al. (2001) Pastor and Veronesi (2003) Gasper and Massa (2006) Tookes (2008). The research idea of Peress (2010) is discussed from the point of view of product market power, and the influence of product market power on the trading behavior of shareholders is analyzed. The first part of this paper first analyzes the basic mechanism of the influence of product market power on the trading behavior of shareholders, and proves that the increase of product market power can significantly reduce the volatility of stock returns. Thus reducing the uncertainty of the transaction. At the same time the product market power also leads to the improvement of heterogeneous belief level, which may be due to the fact that the product market power reduces uncertainty and strengthens the shareholders' confidence, so they believe in their own judgment. On the basis of the first part, this paper analyzes the influence of product market forces on the positivity of shareholders, herd behavior and disposal effect. Based on the hypothesis that investors are risk-averse and heterogeneous beliefs to promote trading, and the previous research conclusions, this paper inferred and confirmed that product market power can significantly promote trading, which is not only reflected in the expansion of trading volume, Also in the performance of each volume of transactions on the rise. The analysis of herding behavior is based on the assumption that information asymmetry leads to herding behavior. When the product market power reduces the volatility of the stock returns, the degree of information asymmetry decreases. The improvement of the trading level also means that the effect of market transaction on information transmission is enhanced, which can improve the information environment and reduce herding behavior. At the same time, the improvement of heterogeneous belief level means that more decisions are made according to one's own judgment, rather than following the crowd. Therefore, this paper argues that the increase of market power can reduce herding behavior in trading. The third part of the empirical study also provides the corresponding evidence. The study of disposal effect is based on the relationship between uncertainty and disposal effect obtained from foreground theory, that is, the higher the degree of uncertainty in transaction, the more likely is the behavior deviation such as disposal effect. And product market power can reduce the uncertainty of the transaction, so it can reduce the disposal effect. The fourth part of the study gives the relevant evidence. Finally, this paper analyzes the influence of product market power on stock price information content and stock market liquidity through the trading behavior of shareholders. Information transmission reduces the level of information asymmetry in the market, and ultimately increases the information content and market liquidity of stock prices. The influence of product market power is still significant in the case of controlling corporate governance level, and there is an interactive relationship between product market power and corporate governance.
【学位授予单位】：复旦大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F224;F274;F832.51

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