股权集中度、双重上市与股价同步性的关系研究

发布时间：2018-02-24 02:01

本文关键词： 股价同步性股权结构双重上市制度环境　出处：《浙江大学》2014年硕士论文　论文类型：学位论文

【摘要】：股价同步性从宏观角度来说主要是指在某个时间段,大多数的股票同时上涨或者下跌的现象,从微观角度来说则是个股的价格走势随着证券市场的整体走势上涨或者下跌。中国的证券市场长期表现为“板块联动”的高度同步,股价反映了较少的公司基本面信息,削弱了股价对公司内在价值的甄别和反馈功能,降低了证券市场的有效性。中国证券市场的股价同步性表现如何,在近十年呈现怎样的变化趋势?主要的影响因素有哪些?能够从哪些方面来改善较高的股价同步性这一现象?目前,国内外对于股价同步性的研究并不多见。为了更好的探究股价同步性的内涵和影响因素,本文立足于中国特殊的市场环境和公司治理特征,从理论和实证两个角度探究公司层面的股权集中度,以及制度层面和投资者层面的双重上市对股价同步性的影响,进而分析如何从这三个层面来降低股价同步性,提高中国证券市场的运行效率。本文利用2003-2012年十年期间的中国A股上市公司非平衡面板数据作为研究样本,探讨了中国证券市场股价同步性的变化趋势与影响因素,并得出了以下结论。第一,中国的股价同步性水平较高,均值在45%左右,但从整体上看,呈现出较为明显的下降趋势。股价同步性在2003年至2006年显著降低,2007年至2008年骤然上升,而2009年至2012年又继续回落。排除2007-2008年金融危机前后的股市骤然起落对股价同步性所造成的干扰,总的来说,十年间中国证券市场高股价同步性的现象有所改善。第二,对股价同步性的影响因素研究中发现：在公司治理层面,股价同步性与股权集中度间存在显著的凹函数关系。第一大股东持股比例的系数显著为正,其平方项系数显著为负。采用第一大股东与第二三大股东持股比例之差作为股权集中度的衡量指标时,也得出相同的结论。股权制衡度与股价同步性呈现负相关关系,国有控股显著的正向影响了股价同步性。在外部治理机制层面,由于双重上市面临着更为严格的信息披露制度与投资者保护机制,并且所面向的境外投资者投资能力更强,显著的降低了股价同步性。此外,由于香港证券市场更为成熟,A+H股比A+B股的同步性更低。
[Abstract]:The synchronism of stock prices from a macro perspective mainly refers to the rise or fall of most stocks at the same time in a certain period of time. From a microscopic point of view, the price trend of individual stocks goes up or down with the overall trend of the securities market. China's stock market has been characterized by a high degree of synchronization of "plate linkage" over a long period of time, and the stock price reflects less information on the fundamentals of companies. It weakens the function of stock price discrimination and feedback to the internal value of the company and reduces the effectiveness of the stock market. How does the stock price synchronize in China and what kind of trend does the stock price change in the last ten years? What are the main influencing factors? What can we do to improve the phenomenon of high stock price synchronism? At present, there are few researches on stock price synchronism at home and abroad. In order to better explore the connotation and influence factors of stock price synchronism, this paper is based on the special market environment and corporate governance characteristics in China. From both theoretical and empirical perspectives, this paper explores the impact of corporate equity concentration and dual listing at institutional and investor levels on stock price synchronization, and then analyzes how to reduce stock price synchronicity from these three levels. Improve the efficiency of China's securities market. Using the non-equilibrium panel data of China A-share listed companies from 2003-2012 as the research sample, this paper discusses the changing trend and influencing factors of stock price synchronism in China's stock market, and draws the following conclusions. China's stock price synchronism level is high, the average is about 45%, but overall, there is a more obvious downward trend. The stock price synchronism decreased significantly from 2003 to 2006, and rose sharply from 2007 to 2007. From 2009 to 2012, the stock market continued to fall back. After removing the interference caused by the sudden ups and downs of the stock market before and after the financial crisis of 2007-2008 to the synchronicity of stock prices, overall, the phenomenon of high stock price synchronism in China's securities market has improved over the past decade. Second, In the study of the influencing factors of stock price synchronicity, we find that there is a significant concave function relationship between stock price synchrony and equity concentration in corporate governance, and the coefficient of the first largest shareholder's shareholding ratio is significantly positive. The square coefficient is significantly negative. When the difference between the first largest shareholder and the 23th largest shareholder is used as a measure of equity concentration, the same conclusion is reached. At the level of external governance mechanism, the dual listing is faced with more stringent information disclosure system and investor protection mechanism, and the foreign investors are more able to invest. The stock price synchronisation has been significantly reduced. In addition, the Hong Kong stock market is more mature than A-H shares are less synchronized than A-B shares.
【学位授予单位】：浙江大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F832.51;F275

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