外资持股对中国股市波动的影响研究

发布时间：2018-04-09 09:58

本文选题：股市波动　切入点：股市开放　出处：《暨南大学》2014年博士论文

【摘要】：在2006年后，包括境外机构投资者在内的外资持有上市公司股票已成为中国股市上一道引人注目的风景。引入境外投资者已被管理当局视为提升中小股东保护水平和降低公司风险的重要措施。尽管中国的股市的对外开放程度有限，但是境外投资者已经通过各种渠道进入中国股市并持有不同额度的股份，因此外资对中国股市波动的影响已实际发生。本文通过两种途径分析外资如何间接影响中国股市波动。第一种途径是市场路径。外资在市场交易过程中对股市信息效率的影响，，会间接影响到股市波动。外资的市场交易行为包括外资在二级市场的买卖和外资并购上市公司行为。第二种途径是公司路径。当外资持有一定额度的上市公司股份，就可能会参与公司治理，提高公司价值进而影响到股市波动。本文首先从理论上论述了外资交易和外资大股东公司治理行为对股价波动的影响机理。接着，本文利用课题组手工收集得到的外资数据对外资影响中国股市波动的两个途径进行实证分析，得出了如下的结论：第一，只有直接外资的净买入行为才能降低个股的波动，而不管是直接外资还是间接外资的净卖出行为都增加了个股的波动；直接外资的买入行为降低个股波动仅限于规模较大的上市公司或同时在国内和国外上市公司样本。第二，直接外资的市场交易行为影响个股波动是由于外资能够将获取的信息加工后传递到股市。直接外资仅在规模较大或同时在国内和国外上市的公司样本中提高了市场信息传递效率。间接外资的市场交易行为并不影响市场信息传递效率。第三，从外资并购方式的角度分析，外资以协议转让方式的并购行为在降低公司的betas风险的同时，增加了股市波动。而通过间接并购和定向增发方式完成外资并购行为并不会显著影响股价波动。第四，从外资并购的目的角度分析，可以得出以控股为目的完成外资并购行为显著增加了股价波动，而外资并非以控股为目的并购行为将不会影响股价波动。第五，当外资大股东降低公司的市场价值时必将导致股价波动率的增加。不管外资大股东是否降低公司的市场价值，外资大股东公司治理对该股股价波动影响取决于市场对外资大股东治理对资产收益率影响的预期值和预期波动、外资大股东的风险厌恶程度以及市场对外资大股东治理成本的估计之间的函数关系。第六，在一定的直接持股比例范围内，外资大股东能够有效降低公司股价波动，但过低或过高的直接持股比例都会使这种公司治理效应消失。外资大股东间接持股并不影响公司股价波动。因此，中国股市要继续坚持开放的路径，要坚持引入高质量的外国投资者。引入外资大股东特别是直接持股大股东的公司数量仍较少，应适当加大上市公司引入直接境外大股东的工作力度。要提高公司的信息披露质量，引导投资者进行价值投资。改善我国股市的市场环境，充分发挥外国投资者丰富的投资经验和信息加工能力。在外资引入中既要放开步伐大量引进，但同时要加强对其的监控，打击和预防外国投资者的短期投机性炒作、价格操纵和内幕交易等投机行为。
[Abstract]:In 2006, including foreign institutional investors, foreign holdings of shares of listed companies has become a remarkable landscape Chinese on the stock market. The introduction of foreign investors has been regarded as an important management measures to enhance the level of protection of minority shareholders and reduce company risk. Although the openness of China's stock market is limited, but foreign investors have been through a variety of channels to enter the stock market and Chinese hold different amount of shares, so the effect of foreign investment on the stock market volatility China has actually occurred.
This paper analysis how to indirectly affect the stock market volatility of foreign Chinese through two ways. The first way is the market path. Impact of foreign investment on the stock market information efficiency in the process of market transaction, will indirectly affect the stock market volatility. The market trading behavior of foreign investment including foreign investment in two secondary market trading and foreign mergers and acquisitions of Listed Companies in second ways. Is the company's path. When foreign capital holds a certain amount of shares of listed companies may participate in corporate governance, improve corporate value and affect the volatility of the stock market. This paper discusses the mechanism of governance of foreign trading and foreign shareholder influence on the stock price volatility. Then, the research group collected foreign manual data on the effects of foreign capital in two ways Chinese stock market volatility by empirical analysis, the conclusions are as follows: first, only the net foreign direct investment Buying behavior can reduce the volatility of individual stocks, and whether it is direct or indirect selling net foreign investment have increased the volatility of individual stocks; buying behavior of foreign direct investment to reduce the stock only larger companies or both in domestic and foreign listed companies like this. Second, direct foreign market transactions effect of stock volatility is due to information processing can be obtained after the transfer of foreign direct investment to the stock market. Only improve market information transmission efficiency in large scale or listing in both domestic and foreign companies in the sample. The market transaction behavior of indirect foreign investment does not affect the information transfer efficiency of the market. Third, from the Perspective of foreign mergers and acquisitions by way of the transfer agreement, mergers and acquisitions of foreign investment in the company's betas to reduce the risk at the same time, increase the volatility of stock market. Through the indirect acquisition and placement Complete foreign capital merger behavior does not significantly affect the stock price volatility. Fourth, from the analysis of foreign mergers and acquisitions to angle can be obtained by controlling for the purpose of complete foreign capital merger behavior significantly increased the volatility of stock price, but not for the purpose of holding foreign mergers and acquisitions will not affect the stock price volatility. Fifth, when foreign large shareholders to reduce the company's market the value will lead to increased volatility. No matter foreign shareholder is to reduce the market value of the company, the major shareholder of the company depends on the impact of foreign investment on the stock price fluctuations in the governance of foreign capital market of large shareholder governance rate impact on asset returns expected value and expected volatility function between foreign shareholders and market risk aversion foreign shareholder governance cost estimation. In sixth, the direct holding proportion of a certain range, the foreign shareholders can effectively reduce the public The company's stock price fluctuates, but too low or too high direct shareholding ratio will make this kind of corporate governance effect disappear. The indirect shareholding of large foreign shareholders will not affect the company's stock price volatility.
Therefore, the stock market will continue to adhere to the path of China open to foreign investors, adhere to the introduction of high quality. The introduction of foreign shareholders especially the number of direct shareholding of the company is still less, should be appropriate to increase the introduction of direct overseas listed company shareholders' efforts to improve the quality of information disclosure of the company, investors guide the value of the investment. The improvement of China's stock market environment, give full play to the role of foreign investors rich investment experience and information processing ability. In the introduction of foreign capital is to let go of the pace of the introduction of a large number, but at the same time to strengthen the monitoring of the short-term speculative attack and prevent foreign investors speculation, speculation, price manipulation and insider trading.

【学位授予单位】：暨南大学
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F832.51

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