股利政策、信息不对称与股市流动性关系研究

发布时间：2019-03-22 13:08

【摘要】：经过二十年来的建设与发展，，我国股票市场已成为人们经济生活的重要组成部分，在经济建设中发挥着重要作用。然而，我国股市的健康发展长期以来也遭受着高投机性和高波动等问题的困扰。导致我国股市过度投机的原因很多，上市公司股利政策的无约束和不规范性是其中的原因之一。上市公司分红派息少甚至不分红导致公司普遍缺乏长期投资价值，投资者的收益主要来源于投机带来的资本利得。根据证监会的最新规定，企业在申请IPO时，需公告其股利政策，并把相关执行状况列为监管内容。为此，股利政策在我国股市发展中开始初步具有了规范性趋势。市场流动性是衡量股票市场质量的一个重要指标。良好的市场流动性对于改善企业的融资环境，维持证券市场稳定以及保护中小投资者的利益有着极为重要的意义。金融市场微观结构理论认为，上市公司通过高质量的信息披露能有效地改善其股票交易的流动性。股利政策作为公司披露的重要信息，是否也会影响到公告前后市场投资者的交易行为和公司股票流动性？为此，国外曾有学者针对报价驱动市场上股利政策发布前后投资者的投资组合和股票交易情况进行了研究。国内这方面的研究非常少，我国股票市场又是一个不同于报价驱动的指令驱动市场，具备一定的特殊性。为此，本文基于金融市场微观结构理论关于信息不对称以及股市流动性的前沿度量方法，以现阶段实施不同股利政策的上市公司为研究样本，考察股利政策作为企业对外的一种信息发布，能否传递企业未来的发展信息，降低信息不对称，进而对股票市场流动性带来积极影响。本文内容主要包括以下几个方面：第一部分，提出了本文的研究背景和研究意义，并对国内外的研究情况进行了总结，列举了相关的文献综述，阐述了本文的研究内容、技术路线和创新点。第二部分，阐述了本文研究的相关理论基础。本文先对股利政策、信息不对称及市场流动性的相关知识作了解释说明，然后分别阐述了股利政策与信息不对称的理论研究和信息不对称与市场流动性的理论研究。股利政策与信息不对称的理论基础主要是信号传递理论，股利信号假说认为，股利对股票价格有一定的影响，是管理者向外界传递企业信息的一种途径。信息模型表明，降低信息不对称程度有利于提高股市流动性。第三部分，对我国上市公司股利政策、信息不对称与股票流动性之间的关系进行了实证研究。首先，我们以LSB（1995）价差分解中的逆向选择成分和有效价差作为信息不对称的衡量指标，对沪市A股派发现金股利的上市公司股利公告前后的情况做了比较分析。通过对公告前后的值和有效价差进行配对的t检验和Wilcoxon秩和检验，发现高股利样本组公告后的信息不对称程度降低，而低股利样本组未能显著降低，这与中国的股利分配现状有关。其次，我们用换手率和非流动性比率作为衡量流动性的指标，实证研究了上市公司信息不对称对其股票流动性的影响。在控制了成交量、市净率、公司规模、资产负债率及股权集中度等指标后，我们发现，信息不对称程度与流动性水平负相关。最后我们用配对的t检验和Wilcoxon秩和检验直接比较流动性在股利公告前后的均值发现股利公告后的流动性反而降低了，这不符合理论预期，随后文章对出现这种情况的原因做了相关分析。最后一部分，为本文的对策建议。为了证券市场的良好运行和投资者收益最大化目标的实现，为了降低市场信息不对称程度和改善流动性水平，本文基于上述的实证研究结论，提出以下几点政策建议：规范上市公司股利政策，发挥其信号传递作用；通过改革税制完善现金股利分配政策；发展长期投资者，减少市场投机；完善信息传导机制，加强股市监管；健全上市公司治理结构，发挥公司内部监管机制等。
[Abstract]:After two decades of construction and development, China's stock market has become an important part of people's economic life and plays an important role in economic construction. However, the healthy development of China's stock market has long been plagued by high speculative and high volatility. The reason for the over-speculation in China's stock market is that the restraint and non-regulation of the dividend policy of the listed company are one of the reasons. The dividend payout of the listed company and the non-profit sharing result in the general lack of long-term investment value of the company, and the investor's income is mainly from the capital gains from the speculation. According to the latest regulations of the SFC, when applying for an IPO, the enterprise shall announce its dividend policy and list the relevant performance status as the regulatory content. To this end, the dividend policy has a normative trend in China's stock market development. The liquidity of the market is an important means to measure the quality of the stock market The good market liquidity is of great importance to improve the financing environment of the enterprise, to maintain the stability of the securities market and to protect the interests of the small and medium-sized investors The micro-structure theory of the financial market is of the view that the listed company can effectively improve the flow of its stock exchange through high-quality information disclosure The dividend policy, as the important information of the company's disclosure, will also affect the trading behavior and stock flow of the market investors before and after the announcement Sex? For this reason, foreign scholars have conducted a research on the investment portfolio and stock exchange of the investors before and after the issuance of the dividend policy on the price-driven market. The research in this area is very small, and the stock market in our country is a kind of command-driven market which is different from the driving of the quotation, which has certain special characteristics. Based on the theory of the micro-structure of the financial market and the frontier measure of the stock market liquidity, this paper, based on the theory of the micro-structure of the financial market, on the information asymmetry and the liquidity of the stock market, takes the listed companies with different dividend policies as the research samples at the present stage, and investigates the dividend policy as a kind of information of the enterprise. B. Can you transfer the future development information of the enterprise, reduce the information asymmetry, and then bring a positive image to the liquidity of the stock market In response, the contents of this paper mainly include the following parties: In the first part, the research background and significance of this paper are put forward, and the research situation at home and abroad is summarized. The point of innovation. The second part expounds the phase of the research in this paper. Based on the theory of dividend policy, information asymmetry and market liquidity, this paper makes an explanation of the related knowledge of dividend policy, information asymmetry and market liquidity, and then expounds the theoretical research and information asymmetry and market liquidity of the dividend policy and information asymmetry, respectively. The theory of dividend policy and information asymmetry is mainly the signal transmission theory, and the dividend signal hypothesis holds that the dividend has a certain effect on the stock price, which is the transfer of the enterprise information from the manager to the outside world. The information model shows that the degree of information asymmetry can be improved. The relationship between dividend policy, information asymmetry and stock liquidity of Chinese listed companies in the third part The empirical study is carried out. First, we use the reverse selection component and the effective price difference in the LSBs (1995) price difference to measure the information asymmetry, and it is the case of the dividend announcement of the listed company in the A-stock market of Shanghai. By matching t-test and Wilcoxon rank and test to the value and the effective spread before and after the announcement, it is found that the information asymmetry of the high-dividend sample group is reduced, and the low-dividend sample group is not significantly reduced, which is similar to that of China Secondly, we use the exchange rate and the non-liquidity ratio as an index to measure the liquidity. After controlling the indexes such as volume, net rate, company size, asset-liability ratio and equity concentration, we find that the degree of information asymmetry and flow In the end, we used the paired t-test and the Wilcoxon rank and the test to compare the liquidity of the liquidity on the dividend announcement before and after the dividend announcement. The liquidity of the dividend announcement was reduced, which did not meet the theoretical expectations. As a result of the analysis. The last part In order to reduce the asymmetry of market information and improve the liquidity, the following policy suggestions are put forward in order to reduce the asymmetry of market information and improve the liquidity level. The dividend policy of the listed company should play its signal transmission role; improve the cash dividend distribution policy through the reform of the tax system; develop long-term investors and reduce the market speculation; improve the information transmission mechanism and strengthen the stock market supervision; and improve the governance structure of the listed company and play the role
【学位授予单位】：山东财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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