中国沪市股价信息含量的影响因素研究

发布时间：2018-01-03 20:00

本文关键词：中国沪市股价信息含量的影响因素研究　出处：《重庆大学》2012年硕士论文　论文类型：学位论文

【摘要】：股价信息含量是股价中包含的公司特质信息量的大小，是股票价格波动过程中不受市场层面和行业层面信息影响（系统性信息）而仅仅由公司层面信息解释的那部分信息的比重。股价中包含的公司特质信息量越多，则股价越接近于企业的实际价值，越能有效地引导市场资源实现优化配置，股价信息含量是衡量一个国家资本市场运行效率的重要标志。为此，众多学者开始研究股价信息含量的影响因素。大量学者从宏观制度层面对股价信息含量的影响因素进行实证分析，而对微观层面影响因素的研究却较少，即从公司内部治理机制的角度来研究股价信息含量的文献相对较少，就一国证券市场内部而言，是微观层面因素决定了股价信息含量的高低。因此，本文在已有文献研究的基础上，立足于中国特有的市场环境、公司特质和制度背景，从公司内部治理机制的角度考察股价信息含量的影响因素，以期为转轨经济中的中国证券市场制度改革提供经验证据和理论支持。本文以中国沪市A股上市公司为样本，以Roll提出的股价波动非同步性指标1-R~2为检验指标，从独立董事比例、国有股比例、年度内董事会会议次数与交叉上市这四个方面来研究股价信息含量的影响因素。本文得到如下结论：第一，中国沪市A股上市公司股价波动中公司基本面信息所解释的比例平均为32.66%左右，与成熟的证券市场相比，中国上市公司股价信息含量指标的数值还比较低，中国资本市场的股价联动效应还是非常显著的。从股价信息含量的变化趋势看，除2008年外，股价信息含量逐年提高，市场整体联动性在不断减弱。第二，国有股比例较高的上市公司其股价信息含量较低，股价波动同步性较强，即国有股比例对股价信息含量具有显著的负向影响，因此，，股权结构的改善有利于提高上市公司的股价信息含量。第三，独立董事比例对股价信息含量有显著影响，独立董事比例的提高有助于提升股票价格中包含的公司特质信息。独立董事比例越高的公司，其股价与市场波动的同步性越低，股价信息含量越高。第四，交叉上市的公司其股价与市场同步性较低。发行B股或H股都会对股价信息含量产生正向影响，但交叉上市对股价信息含量的影响虽然显著，但影响力度并不是很强。
[Abstract]:The stock price information content is the size of the company trait information contained in the stock price. It is the proportion of stock price fluctuation which is not affected by market level and industry level information (systematic information) but only explained by firm level information. The more information of company characteristics is contained in stock price. The more close the stock price is to the actual value of the enterprise, the more effectively it can guide the market resources to realize the optimal allocation. The information content of the stock price is an important symbol to measure the efficiency of a country's capital market. For this reason, many scholars began to study the factors that affect the information content of stock price. A large number of scholars empirically analyzed the factors affecting the information content of stock price from the macro institutional level. However, there are few researches on the influence factors of micro-level, that is, there are relatively few documents to study the information content of stock price from the angle of corporate internal governance mechanism, as far as the internal stock market of a country is concerned. It is the microcosmic factors that determine the information content of stock price. Therefore, based on the existing literature, this paper is based on the unique market environment, company characteristics and institutional background in China. In order to provide empirical evidence and theoretical support for the reform of China's securities market system in the transitional economy, this paper examines the factors affecting the information content of stock price from the perspective of the internal governance mechanism of the company. This paper takes the A-share listed companies in Shanghai Stock Exchange as the sample, taking the non-synchronous index of stock price fluctuation proposed by Roll as the test index, from the proportion of independent directors to the proportion of state-owned shares. This paper studies the influencing factors of information content of stock price from four aspects: the number of board meetings and cross-listing. This paper draws the following conclusions: First, the proportion explained by the fundamental information in the stock price fluctuation of A-share listed companies in Shanghai Stock Exchange is about 32.66% on average, compared with the mature stock market. The price information content index of listed companies in China is still low, and the stock price linkage effect of Chinese capital market is still very significant. From the trend of information content of stock price, except 2008. The share price information content increases year by year, the market overall linkage is unceasingly weakens. Second, the listed companies with high proportion of state-owned shares have low information content of stock price and strong synchronism of stock price fluctuation, that is, the proportion of state-owned shares has a significant negative impact on the information content of stock price, so. The improvement of stock structure is helpful to increase the information content of stock price of listed company. Third, the proportion of independent directors has a significant impact on the information content of stock prices. The increase of the proportion of independent directors helps to improve the company characteristics information contained in the stock price. The higher the proportion of independent directors is, the higher the proportion of independent directors is. The lower the synchronism between the stock price and the market fluctuation, the higher the information content of the stock price. In 4th, the stock price of cross-listed companies is low synchronism with the market. Issuing B shares or H shares will have a positive impact on the information content of stock price, but the cross-listing has a significant impact on the information content of stock price. But the impact is not very strong.
【学位授予单位】：重庆大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

【引证文献】