我国产品市场竞争与股票市场有效性研究

发布时间：2018-10-09 21:16

【摘要】：本文基于产品市场竞争原理及股票市场有效性理论,对我国股票市场目前的有效性进行度量,并对上市公司在产品市场的份额与在股票市场的有效程度的相关关系进行了研究。通过“事件法”研究发现,我国股票市场目前尚未达到半强式有效；上市公司股票在在市场公开信息公布后的10天里仍出现异常收益率。我国上市公司股票价格具有“反应不足”及“反应过度”的特征。通过多元线性回归的分析,本文得到：我国上市公司在股票市场的信息效率与在产品市场的份额呈正相关关系,即上市公司在产品市场的份额越高,其在股票市场的价格包含的信息量越大。这表明：由于市场份额较高的公司在产品市场中龚断地位较高,有较大的定价权,因此可以将其生产经营中产生的风险通过产品价格部分传递给消费者,因此公司的现金流和利润波动较小,从而公司股票价格波动也较小；并且由于投资者是风险厌恶的,具有信息的投资者更愿意投资市场份额较大的公司,信息通过交易反映到股票价格中,因此产品市场份额更大的公司股票价格的信息含量较高,即有效程度更高。在对样本进行分组的基础上,本文检验发现：1)上市公司市场份额与股票价格有效程度的相关性在预告信息为“好消息”的情况下更为显著；2)2004年启动的股权分置改革显著地提高了我国股票市场的有效程度,也提高了两者的相关性；3)在高寡头垄断、低寡头垄断和竞争性行业中,上市公司市场份额与股票价格有效程度均呈显著的正相关关系,且在高寡头垄断行业中两者的显著性最强,在竞争性行业中两者的显著性最弱。分组回归的结果表明本文实证结果具有稳定性。
[Abstract]:Based on the principle of product market competition and the theory of stock market effectiveness, this paper measures the current efficiency of Chinese stock market, and studies the correlation between the market share of listed companies in the product market and the degree of effectiveness in the stock market. Through the study of "event method", it is found that the stock market in our country has not reached semi-strong efficiency at present, and that the stock of listed company still appears abnormal return rate in 10 days after the public information is published in the market. The stock price of listed companies in China is characterized by underreaction and overreaction. Through the analysis of multiple linear regression, this paper concludes that the information efficiency of Chinese listed companies in the stock market is positively correlated with the share of the product market, that is, the higher the share of the listed company in the product market, the higher the market share of the listed company in the product market. Its price in the stock market contains more information. This indicates that because the company with higher market share has a higher position in the product market and has a larger pricing power, the risk arising from its production and operation can be transferred to the consumer through the product price part. As a result, the company's cash flow and profits fluctuate less, thus the company's stock price fluctuates less, and because investors are risk-averse, investors with information are more willing to invest in companies with larger market share, The information is reflected in the stock price through the transaction, so the information content of the stock price of the company with more market share is higher, that is, the effective degree is higher. On the basis of grouping the samples, we find that the correlation between the market share of the listed company and the effective degree of the stock price is more significant when the forecast information is "good news". 2) the reform of split share structure launched in 2004 has significantly improved the efficiency and correlation of the stock market in China. 3) in the high oligopoly, low oligopoly and competitive industries, There is a significant positive correlation between the market share of listed companies and the effective degree of stock price, which is the strongest in the high oligopoly industry and the weakest in the competitive industry. The results of grouping regression show that the empirical results in this paper are stable.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F274;F832.51;F224

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