产品市场竞争与公司股票特质性风险——基于我国上市公司的经验证据
发布时间：2018-10-10 14:41
【摘要】：国外诸多研究将近几十年来美国乃至全球资本市场上公司股票特质性风险或其回报波动的显著增加,以及公司产品市场竞争业绩与其股票市场绩效的关联性下滑,直接归咎于经济领域内日趋激烈的竞争。本文首次关注我国资本市场是否存在上述现象:我国上市公司股票特质性风险的显著增加(若有)是否应该归咎于产品市场竞争的加剧?集中的行业结构和显著的市场势力是否能够有效缓解我国上市公司的特质性风险或其回报波动?本文基于"竞争结构—风险预期—回报波动"关联视角的理论分析和实证研究表明:我国上市公司股票特质性风险——至少近十年来——亦呈现显著增加的趋势,特质性风险与其市场风险水平的明显"背离"虽国内外皆然,但其背离的"性质"却显著不同,我国股市的投机性、政策性特征更为明显;特质性风险的显著增加与我国上市公司产品市场竞争的加剧显著正相关;相对集中的行业结构与显著的市场势力能够有效弱化公司股票特质性风险而稳定公司回报。
[Abstract]:In recent decades, many studies abroad have shown a marked increase in the specific risks or volatility of corporate stock returns in the American and even global capital markets, as well as the decline in the correlation between the competitive performance of the company's product market and its stock market performance. The direct blame lies in the increasingly fierce competition in the economic field. This paper first pays attention to the existence of the above phenomenon in the capital market of our country: should the sharp increase (if any) of the specific risk of the stock market of listed companies in our country be attributed to the intensification of competition in the product market? Can a concentrated industry structure and significant market forces effectively mitigate the characteristic risks or volatility of returns of listed companies in China? Based on the theoretical analysis and empirical research on the perspective of "competitive structure, risk expectation and return volatility", this paper shows that the specific risk of the listed companies in China, at least in the past ten years, has also shown a significant increase trend. The characteristic risk deviates from its market risk level obviously, but the nature of the deviation is obviously different. The speculative and policy characteristics of Chinese stock market are more obvious. The significant increase of characteristic risk is positively related to the aggravation of market competition of listed companies in China, and the relatively concentrated industry structure and significant market forces can effectively weaken the characteristic risk of company stock and stabilize the company's return.
【作者单位】： 石河子大学经济与管理学院;石河子大学公司治理与管理创新研究中心;
【基金】：国家自然科学基金(项目批准号:70962005) 教育部人文社科研究项目(项目编号:10YJC790279、10YJA630015和11XJJC630001) 国家社科基金项目(项目编号:11XGL002) 石河子大学高层次人才专项(项目编号:RCSX201101)
【分类号】：F224;F832.51
[Abstract]:In recent decades, many studies abroad have shown a marked increase in the specific risks or volatility of corporate stock returns in the American and even global capital markets, as well as the decline in the correlation between the competitive performance of the company's product market and its stock market performance. The direct blame lies in the increasingly fierce competition in the economic field. This paper first pays attention to the existence of the above phenomenon in the capital market of our country: should the sharp increase (if any) of the specific risk of the stock market of listed companies in our country be attributed to the intensification of competition in the product market? Can a concentrated industry structure and significant market forces effectively mitigate the characteristic risks or volatility of returns of listed companies in China? Based on the theoretical analysis and empirical research on the perspective of "competitive structure, risk expectation and return volatility", this paper shows that the specific risk of the listed companies in China, at least in the past ten years, has also shown a significant increase trend. The characteristic risk deviates from its market risk level obviously, but the nature of the deviation is obviously different. The speculative and policy characteristics of Chinese stock market are more obvious. The significant increase of characteristic risk is positively related to the aggravation of market competition of listed companies in China, and the relatively concentrated industry structure and significant market forces can effectively weaken the characteristic risk of company stock and stabilize the company's return.
【作者单位】： 石河子大学经济与管理学院;石河子大学公司治理与管理创新研究中心;
【基金】：国家自然科学基金(项目批准号:70962005) 教育部人文社科研究项目(项目编号:10YJC790279、10YJA630015和11XJJC630001) 国家社科基金项目(项目编号:11XGL002) 石河子大学高层次人才专项(项目编号:RCSX201101)
【分类号】：F224;F832.51
【参考文献】
相关期刊论文 前10条
1 魏后凯;中国制造业集中状况及其国际比较[J];中国工业经济;2002年01期
2 杨兴全;吴昊e，
本文编号：2262170
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