我国上市银行市场势力与股票价格变动的关系研究

发布时间：2018-03-11 12:06

本文选题：市场势力　切入点：收益率　出处：《浙江工业大学》2012年硕士论文　论文类型：学位论文

【摘要】：我国银行业目前处于垄断竞争的改革变化过程中。研究银行业的一个角度是对市场势力的研究,而研究股价波动更多的是围绕银行管理与相关影响的财务数据,但二者的研究缺乏有效的联系,本文将市场势力与股价波动的研究结合起来,研究两者的相关关系,从市场势力角度来分析和解释股价波动,试图勾勒其间的关系。首先使用超越对数成本函数构建了勒纳指数的测度模型,测度了2003—2011年我国主要14家上市银行的市场势力,分析数据发现上市银行整体垄断程度不断下降,市场竞争比以往更加激烈,市场势力呈现震荡下降的趋势,国有银行普遍市场势力较大,而城市商业银行普遍市场势力较小,全国性股份制商业银行则数值居中。第二,用收益率与真实波幅作为衡量股价波动率的指标,以非系统性波动作为衡量上市银行股价波动与市场波动非同步程度的指标,测度了2008—2011年上市银行的收益率和真实波幅与非系统性波动。研究发现国有控股银行股价普遍波动性较小,且与市场同步性较高；城市商业银行普遍波动性较大,且与市场非同步性程度较高,全国性股份制商业银行程度居中。第三,本文对当年市场势力,滞后一阶市场势力,滞后二阶市场势力分别与收益率,真实波幅,非系统性波动进行了回归分析,得到了以下结论：当期市场势力、滞后一阶市场势力及滞后二阶市场势力分别与银行股价的收益率、真实波幅、非系统性波动存在显著的负相关关系。市场势力越大,银行股价的波动率就越小,银行股波动与市场波动的同步程度就越高,反之就相反；而这种影响会随着市场势力与股价波动性两者间隔时间的变长而逐渐减弱。最后本文以深圳发展银行为研究案例,回归分析了1993—2011年市场势力与股价波动的相关关系,证明了当期市场势力与股价波动存在显著的负相关关系,但是并未发现滞后一阶市场势力与股价波动存在显著的相关关系。
[Abstract]:The banking industry of our country is in the course of the reform and change of monopoly competition at present. One angle of studying the banking industry is the study of the market power, and the research on the fluctuation of the stock price is more about the financial data about the bank management and the related influence. However, there is a lack of effective connection between the two studies. This paper combines the research of market power and stock price volatility, studies the correlation between the two, analyzes and explains the stock price volatility from the perspective of market power, and attempts to outline the relationship between them. Firstly, the measurement model of Lerner index is constructed by using logarithmic cost function, and the market power of 14 main listed banks in China from 2003 to 2011 is measured. The analysis shows that the overall monopoly degree of listed banks is declining. The market competition is more intense than before, and the market power shows a trend of concussion and decline. The state-owned banks have a large market power, while the urban commercial banks have a smaller market power, while the national joint-stock commercial banks are the middle value. Secondly, we use the return and the real volatility as the index to measure the volatility of the stock price, and the non-systemic volatility as the index to measure the degree of non-synchronization between the volatility of the stock price and the volatility of the market. This paper measures the return rate and real volatility and non-systemic volatility of listed banks from 2008 to 2008.The research shows that the stock prices of state-owned holding banks are generally less volatile and more synchronized with the market, while urban commercial banks are generally more volatile. And the degree of non-synchronism with the market is high, the degree of national joint-stock commercial banks is in the middle. Thirdly, this paper makes regression analysis of the market power, the first order market power, the second order market power and the return rate, the real volatility, the non-systematic fluctuation, and obtains the following conclusion: the current market power, the second order market power and the return rate, the real volatility and the non-systematic fluctuation respectively. The lag first order market power and the lag second order market power have the significant negative correlation with the bank stock price return, the real fluctuation amplitude, the non-systematic fluctuation respectively. The bigger the market power, the smaller the bank stock price volatility. The higher the synchronization between the volatility of bank shares and the market, the opposite, and this effect will gradually weaken as the interval between market power and stock price volatility becomes longer. Finally, taking Shenzhen Development Bank as a case study, this paper analyzes the correlation between market power and stock price volatility from 1993 to 2011, and proves that there is a significant negative correlation between current market power and stock price volatility. But there is no significant correlation between the first order market power and stock price fluctuation.
【学位授予单位】：浙江工业大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.3;F832.51

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