股市周期、现金股利与股票市场波动性研究

发布时间：2018-08-27 08:25

【摘要】：股票市场波动性一直是经济和金融研究的一个重要方面。从我国证券市场的发展来看,股票市场的剧烈波动一直是困扰着我国股票市场发展的一个重要问题。国内学者经研究发现,股票市场波动性的影响因素很多,主要集中于外部因素和内部因素。现金股利作为公司利润分配的一种方式,影响着投资者的收益模式,进而影响着投资者的投资决策。从这点来看,现金股利与股票市场波动性之间的关系是值得研究的重要问题。国外相关文献大都表明:现金股利可以向投资者传递利好消息,降低股票市场的波动。但我国是一个新兴的资本市场,上市公司分红意识薄弱,现金股利到底会对股票市场波动性产生怎样的影响,在不同的股市周期的影响程度如何,还需要进一步研究分析。基于以上问题,本文选定2010-2015年沪深300成分股为研究对象,从现金股利对股票的换手率、股票收益波动率、股价同步性的影响三个角度出发,选择指标阈值法划分股市周期,根据相关文献提出研究假设,构建实证模型对样本数据进行多元回归分析。结果显示,现金股利对反映股票市场波动性三个维度的影响存在一定的差异性。现金股利对股票换手率、股价同步性具有显著的降低作用,但对股票收益波动率的抑制作用并不显著。在不同的股市周期中,现金股利在降低换手率的效果上并无显著差异,在牛市中发放现金股利能够削弱股价同步性,但在熊市中其对股价同步性的抑制效果更好。最后,根据上述结论本文提出了降低股票市场波动性的相关建议。在制度层面,我们首先要加强股票市场宏观环境建设,完善价值投资的宏观环境,其次要削弱信息不对称,建立健全信息传导和披露机制,并要加快发展机构投资者的步伐;在公司层面,上市公司要采用差别化、多元化方式回报投资者,并积极规范和完善利润分配的管理机制。
[Abstract]:Stock market volatility has been an important aspect of economic and financial research. From the point of view of the development of China's stock market, the sharp fluctuation of the stock market has always been an important problem puzzling the development of our country's stock market. Domestic scholars have found that there are many factors affecting stock market volatility, mainly external factors and internal factors. As a way of company profit distribution, cash dividend affects the income pattern of investors, and then affects the investment decisions of investors. From this point of view, the relationship between cash dividend and stock market volatility is an important issue worth studying. Most foreign literatures show that cash dividend can deliver good news to investors and reduce the volatility of stock market. However, our country is a new capital market, the consciousness of dividend of listed companies is weak, the influence of cash dividend on the volatility of stock market, and the influence degree of different stock market cycle, need further study and analysis. Based on the above problems, this paper selects the Shanghai and Shenzhen 300 constituent stocks from 2010 to 2015 as the research object, from the three angles of the cash dividend's influence on the stock exchange rate, the stock return fluctuation rate, the stock price synchronism, chooses the index threshold method to divide the stock market cycle. According to the research hypothesis of relevant literature, the empirical model is constructed to carry out multivariate regression analysis of the sample data. The results show that there are some differences in the influence of cash dividend on the three dimensions of stock market volatility. Cash dividend has a significant effect on stock turnover and stock price synchronization, but it has no significant effect on stock return volatility. In different stock market cycles, there is no significant difference in the effect of reducing the turnover rate of cash dividend. In bull market, cash dividend can weaken the synchronism of stock price, but in bear market, it can restrain the synchronism of stock price better. Finally, according to the above conclusions, this paper puts forward some suggestions to reduce the volatility of stock market. At the institutional level, we should first strengthen the macro environment construction of stock market, perfect the macro environment of value investment, secondly, weaken the information asymmetry, establish and perfect the information transmission and disclosure mechanism, and speed up the pace of developing institutional investors; At the corporate level, listed companies should adopt differential, diversified ways to return investors, and actively regulate and improve the management mechanism of profit distribution.
【学位授予单位】：合肥工业大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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