金字塔链条、跨级持股与股价同步性

发布时间：2018-01-22 10:35

本文关键词： 金字塔结构跨级持股股价同步性外部环境　出处：《山东社会科学》2017年06期 　论文类型：期刊论文

【摘要】：作为新兴市场的代表,我国证券市场在信息披露、投资者保护、最终控制人性质、股权结构等方面与西方成熟市场还存在差距。如我国公司股权结构可能导致最终控制人通过交叉持股、金字塔结构等多种方式分离控制权和现金流量权。本研究从金字塔结构特征出发,考察金字塔不同类型链条数规模以及是否跨级持股等因素对上市公司股价同步性的影响。实证结果显示,在金字塔结构单变量因素考察中除了持股持续递增的链条数、总链条中绝对持股链条数及持股先减后增的链条数与股价同步性负相关外,其余单变量均与股价同步性正相关,说明金字塔结构确实能够影响股价同步性;采用主成分分析法构造金字塔结构综合变量,结果发现金字塔结构综合变量对股价同步性产生正向影响,而且这种正向影响在宏观经济下行时更明显;考察上市公司所在地区外部环境对于二者关系的影响,结果发现上市公司所在省份市场化程度和GDP增长率越低,金字塔结构综合变量对股价同步性产生的正向影响越显著。
[Abstract]:As a representative of emerging markets, China's securities market in information disclosure, investor protection, and ultimately control the nature of the human. There is still a gap between the ownership structure and western mature market, for example, the ownership structure of Chinese companies may lead to the ultimate control through cross-shareholding. Pyramid structure and other ways to separate control and cash flow rights. This paper investigates the influence of the number and scale of different types of chain in the pyramid and whether there are cross-class shareholdings on the synchronicity of the stock price of listed companies. The empirical results show that. In the investigation of univariate factors of pyramid structure, the number of absolute shareholding chains in the total chain and the number of chains that decrease first and then increase in the total chain are negatively correlated with the synchronism of stock price, except the number of chains in which the shareholding continues to increase. The other single variables are positively related to the synchronism of stock price, which indicates that pyramid structure can influence the synchronism of stock price. The principal component analysis (PCA) is used to construct the pyramid structure comprehensive variable. The results show that the pyramid structure comprehensive variable has a positive effect on the synchronism of stock price, and this positive influence is more obvious in the macroeconomic downtrend. The results show that the degree of marketization and the rate of GDP growth are lower in the provinces where the listed companies are located. The positive effect of pyramid structure synthesis variable on stock price synchronism is more significant.
【作者单位】：山东财经大学金融学院;山东大学经济学院;
【基金】：泰山学者专项工程经费资助,系国家自然科学基金(项目编号:71602101、71573156)的阶段性成果
【分类号】：F832.51
【正文快照】： 一、引言纵观世界各国的资本市场,都不同程度地存在着股票同涨同跌的现象。这种单个公司的股价与市场或行业价格平均变动存在的关联,学术界称为股价同步性。在有效的资本市场上,股票价格的变化是对企业和市场相关信息的反应,(1)投资者利用股价的信号机制获得投资回报并实现

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