产品市场势力能降低股票市场的异质信念吗——基于A股市场的实证研究

发布时间：2019-05-11 03:42

【摘要】：基于2001年至2009年A股市场的数据,本文检验了Peress(2010)提出的产品市场势力降低股票市场异质信念水平的推断,并分析了Miller(1977)提出的影响股票市场异质信念的因素。我们发现产品市场势力不仅不能降低反而可能会提高股票市场异质信念的水平。在将异质信念分解为异质先验导致的异质信念,渐进信息流动、有限注意导致的异质信念后,这种提高主要表现在对后者的提高上。该结果意味着产品市场势力可能因为提高了异质信念水平而促进了股票市场的交易,从而为交易异象的解释提供了新的思路。此外,实证结果显示上市公司的业务集中度、机构持股可以降低异质信念水平,而上市公司的已上市时间、市场中股票数量对于异质信念的影响与已有的理论分析并不完全一致。
[Abstract]:Based on the data of the A-share market from 2001 to 2009, this paper tests the inference of the product market forces of Peress (2010) to reduce the level of heterogeneous beliefs in the stock market, and analyzes the factors that affect the heterogeneous beliefs of the stock market as proposed by Miller (1977). We find that the power of the product market not only can not be reduced, but may improve the level of heterogeneous belief in the stock market. After the heterogeneous belief is decomposed into heterogeneous belief caused by heterogeneous priori, gradual information flow, and heterogeneous belief caused by limited attention, this kind of improvement is mainly manifested in the improvement of the latter. This result means that the product market forces may promote the trading of the stock market by raising the level of heterogeneous beliefs, thus providing a new way of thinking for the interpretation of trading anomalies. In addition, the empirical results show that the degree of business concentration of listed companies, institutional shareholding can reduce the level of heterogeneous belief, and the listed companies have listed time, The influence of stock quantity on heterogeneous belief in the market is not completely consistent with the existing theoretical analysis.
【作者单位】：盐城工学院;复旦大学;
【分类号】：F832.51

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