连锁董事和股价同步性波动:基于网络视角的考察

发布时间：2018-12-26 11:41

【摘要】：在中国上市公司中普遍存在连锁董事的背景下,从公司透明度和趋同性两方面分析连锁董事对公司股价与市场波动之间的关系,采用实证方法进行检验,并进一步分析连锁董事对股价同步性波动的作用机制。以2003年至2010年中国上市公司为样本构建纵列截面数据,借鉴网络分析方法,采用居中中心度、中介中心度和向量中心度度量公司的连锁董事。实证结果表明,拥有连锁董事公司的股价同步性波动更高;在网络中镶嵌越紧密的公司,其股价波动和市场波动更一致。进一步研究还发现,在大公司和国有控制公司中,连锁董事通过降低公司透明度增加股价同步性波动;在小公司和非国有控制公司中,连锁董事通过增加公司间的趋同性增加股价同步性波动。研究结论对提高资本市场的效率有重要的政策意义。
[Abstract]:Under the background of the widespread existence of chain directors in listed companies in China, this paper analyzes the relationship between chain directors' share price and market volatility from two aspects of corporate transparency and convergence. And further analyze the mechanism of the action of chain director on stock price synchronism. Taking the Chinese listed companies from 2003 to 2010 as the sample, the longitudinal section data is constructed. The method of network analysis is used to measure the chain directors of the companies with central degree, intermediate centrality and vector centrality. The empirical results show that the stock price synchronization volatility is higher in the companies with chain directors, and the more closely embedded in the network, the more consistent the stock price volatility is with the market volatility. Further research also found that in large companies and state-owned control companies, chain directors increase the synchronism of stock price volatility by reducing the transparency of the company; In small and non-state-controlled firms, chain directors increase stock price synchronism by increasing corporate convergence. The conclusion has important policy significance to improve the efficiency of capital market.
【作者单位】：西安交通大学管理学院;长安国际信托股份有限公司;西安交通大学经济和金融学院;
【基金】：国家软科学计划项目(2010GX5D262) 国家自然科学基金(71102095)~~
【分类号】：F276.6;F832.51;F224

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