股票价格的“涟漪效应”研究——基于公司投资决策的视角

发布时间：2018-02-02 18:41

本文关键词： 股票价格涟漪效应信息环境公司投资　出处：《财经研究》2017年12期 　论文类型：期刊论文

【摘要】：公司股价会对其自身的投资决策产生影响,但市场上可能存在一家公司的股价异动会对其他相关公司的投资产生影响的现象,即股票价格的"涟漪效应"。文章选取2007-2014年中国A股上市公司为样本,论证了股票价格"涟漪效应"的存在性,并探讨其作用机制。研究发现:(1)公司投资决策不仅受到自身股票价格的影响,还受到同行公司股票价格的显著正向影响,即存在"涟漪效应";(2)"涟漪效应"的强弱主要受信息环境的影响,即同行公司股票价格的信息含量较高、信息有效性较强,并有更多分析师覆盖时,股价波动产生的"涟漪效应"则更为明显;(3)公司所属行业的资本密集程度较高、所属地区的市场化程度较低以及公司规模较大时,其投资决策更易受到"涟漪效应"的影响。这说明与社会学习理论和信号理论相一致,同行公司的股票价格可为管理层的投资决策提供有用信息。
[Abstract]:The stock price of a company will have an impact on its own investment decisions, but there may be a phenomenon in the market that the stock price change of a company will have an impact on the investment of other related companies. That is, the "ripple effect" of stock price. This paper takes Chinese A-share listed companies as samples from 2007 to 2014 to demonstrate the existence of "ripple effect" of stock price. It is found that the investment decision of the company is influenced not only by its own stock price, but also by the significant positive influence of the peer company's stock price, that is, the "ripple effect" exists. 2) the "ripple effect" is mainly affected by the information environment, that is, the information content of the stock price of peer companies is higher, the information validity is stronger, and more analysts cover it. The "ripple effect" of stock price fluctuation is more obvious. (3) when the capital intensive degree of the industry to which the company belongs is relatively high, the marketization degree of the region to which the company belongs is lower and the scale of the company is larger. Its investment decision is more susceptible to "ripple effect", which shows that the stock price of the peer company can provide useful information for the management investment decision in accordance with the social learning theory and the signal theory.
【作者单位】：上海财经大学金融学院;
【基金】：国家自然科学基金项目(71773072,71773073) 上海财经大学创新团队支持计划的资助
【分类号】：F832.51
【正文快照】： 一、引言现有研究在考察公司投资决策问题时,一般只考虑公司自身股票价格和基本面因素,然而市场上经常可以观察到一家公司股票价格异动对其他相关公司投资产生影响的现象,表现为股票价格的“涟漪效应”。例如,2012年特斯拉公司(Tesla)推出一款新能源汽车,上市后销量火爆,其股

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