媒体关注、内部控制与股价同步性研究

发布时间：2018-03-01 23:05

  本文关键词： 媒体关注 内部控制 股价同步性 信息传递　出处：《浙江财经大学》2017年硕士论文　论文类型：学位论文

【摘要】：在资本市场上,如何实现资源的有效配置是广大学者们一直关注的重要课题。股价同步性是指某一个公司的股票价格发生的变动与股票市场价格的平均变动之间的关联性。股价同步性的高低程度反映了股价中包含了多少的公司特质信息。股价同步性越低,则意味着股价中包含了更多的公司特质信息,市场资源的配置效率也越高。而相比于西方的一些发达国家,我国上市公司的股价同步性一直比较高。因此,如何降低股价同步性,提高资源的配置效率是亟待解决的重要课题。媒体作为信息的一个传递者,在资本市场中扮演的角色愈来愈重要。作为一种信息传递的媒介,媒体在公司的治理方面、资产的定价效率上都起到了重要的作用。媒体对上市公司的关注越多,披露的有关公司的信息也会越多,投资者们就会根据媒体报道的信息去进行投资,而不是仅仅根据市场或者行业的信息做出投资决策。媒体报道可以使公司的股票价格波动与市场的平均波动的关联性降低,减小股价的同步性。因此,媒体对上市公司的关注必然会影响公司股票的价格,影响股价的同步性。同时,上市公司内部控制质量的高低也是公司向外界传递信息的信号。并且,当企业拥有高质量的内部控制时,企业的管理层更愿意向外界披露自身的信息,吸引更多的投资者,以此来让投资者们将自己与那些内部控制质量差的企业区别开来;相反,当企业内部控制质量较差时,管理者可能不愿意披露太多企业的信息。因此,内部控制质量的高低会影响企业管理者对企业信息的披露程度,内部控制质量越高,管理者愿意披露的信息越多,那么,市场上的投资者就能够通过管理者披露的信息对公司进行投资,从而影响到公司的股价。这样就使股价中融入了更多关于公司的信息,降低了股价的同步性。然而,现有关于媒体关注与股价同步性的研究文献还不多,也鲜有学者从内部控制这一视角对股价同步性进行研究。本文立足于中国的制度背景,运用理论与实证相结合的实证方法研究媒体关注、内部控制质量与股价同步性的关系。本文主要包括以下六个部分。第一部分为绪论,这一部分主要介绍研究的背景、研究意义、研究的方法及研究框架,并提出本文的创新点;第二章为文献综述。根据国内外学者的研究,对媒体关注、内部控制和股价同步性进行文献回顾,再对这些文献进行评述。第三章为理论分析与假设。这一章主要分为相关理论和理论分析与假设。在相关理论部分主要阐述了有效市场假说、信息不对称、信号传递以及交易成本这四个理论。在理论分析与假设这部分,本文在相关理论分析的基础上提出媒体关注、内部控制与股价同步性的研究假设。第四章为研究设计。本章节主要对本文实证所需的样本进行选取,剔除不符合条件的样本,然后选取本文所需的变量进行定义,并建立回归模型。第五章为实证分析。这一章节主要包括描述性统计、相关性分析以及回归结果的分析,并对回归的结果进行了稳健性检验。第六章为结论与建议。该部分根据实证的结果得出本文的结论,并根据得出的结论提出建议。最后提出本文的不足之处,并展望未来可能的进一步研究方向。本文利用2010—2014年中国A股上市公司为研究样本,探讨了媒体关注、内部控制与股价同步性的关系,并得出以下结论:第一,媒体关注与股价同步性存在显著负相关关系,这个结果说明媒体关注能够促进上市公司信息的传递,降低股价同步性,提高市场资源的配置效率;第二,内部控制质量与股价同步性显著负相关,表明上市公司提高内部控制质量也能降低股价同步性,对市场资源的配置效率起到积极作用;第三,在内部控制质量不同的企业,媒体关注对股价同步性的作用存在差异。在内部控制较好的企业,媒体关注对股价同步性的降低作用减缓。同时,在文章的进一步分析中发现,不同产权性质的企业,内部控制对股价同步性的影响存在差异。与国有企业相比,非国有企业内部控制质量对股价同步性的影响更显著。在新形势下,本文的研究结论对于我国如何降低股价的同步性,提高资本市场的资源配置效率具有一定的借鉴意义。以我国A股非金融上市公司为样本的实证研究显示,加强媒体对上市公司的关注度能够降低股价同步性,提高公司的内部控制质量同样能够起到降低股价同步性的作用。这表明,在现阶段我国可以结合外部与内部的治理机制的方法,完善市场信息披露制度,增强企业信息的透明化从而降低股价同步性,提高市场的资源配置效率。
[Abstract]:In the capital market, how to achieve effective allocation of resources is the important subject of scholars. The synchronization of stock price refers to the relationship between the average changes in a company's stock price and the stock market price. The level of stock price synchronicity reflects the price includes information of company characteristics how much of the synchronization of stock price is low, it means that the stock price contains more information, characteristics, and market resource allocation efficiency is also higher. But compared with some developed countries in the west, China's listed companies stock price synchronicity been relatively high. Therefore, how to reduce the stock price synchronicity, improve resource the allocation efficiency is an important issue to be solved. As a media to convey information, play a role in the capital market is more and more important. As a kind of information transmission media, the media in corporate governance Daniel, asset pricing efficiency has played an important role. More attention to media listed companies, the disclosure of information will be more, investors will be based on the information reported by the media to invest, not only according to the market or industry information to make investment decisions. The average fluctuation of Media Association reports can make the company's stock price volatility and market decline in the synchronization to reduce the share price. Therefore, the media will inevitably influence the stock of listed companies concerned about the price, the stock price effect of synchronization. At the same time, the signal level of the quality of internal control of listed companies is the company to transmit information to the outside world. And, when the internal control of enterprises with high quality, the management of the enterprise, more willing to disclose their information, attract more investors, so investors will own and those The internal control of the poor quality of the enterprise to distinguish; on the contrary, when the poor quality of enterprise internal control, managers may be reluctant to disclose too much information of the enterprise. Therefore, internal control quality will affect the enterprise management level of enterprise information disclosure, internal control quality is high, the more willing to disclose information management so, to invest in the company on the market investors can through the management of information disclosure, which affects the company's stock price. So the stock price into the more information about the company, reduce the synchronization of stock prices. However, the existing research literature about the media attention and the synchronization of stock price is not much, too few scholars from the internal control to carry on the research of stock price synchronicity this perspective. Based on the system background Chinese, empirical research on the combination of theory and empirical methods of the media attention in the The relationship between internal control quality and stock price synchronicity. This paper includes the following six parts. The first part is the introduction, this part mainly introduces the research background, research significance, research methods and research framework, and puts forward the innovation of this paper; the second chapter is literature review. Based on the research of scholars at home and abroad, to the media attention, review the internal control and the synchronization of stock price, and then evaluates these literatures. The third chapter is the theoretical analysis and hypothesis. This chapter is divided into theory and theoretical analysis and hypothesis. The related theory mainly elaborated the efficient market hypothesis, asymmetric information theory, the four signal transmission and transaction cost in this part of the theoretical analysis and assumptions, this media attention on the basis of theoretical analysis and research hypothesis of internal control and stock price synchronicity. The fourth chapter is the research design in this chapter. This paper is mainly on empirical required samples were chosen to eliminate the unqualified samples, and then select the required variables are defined, and the regression model. The fifth chapter is the empirical analysis. This chapter mainly include descriptive statistics, correlation analysis and regression analysis results, the regression results of the robustness test. The sixth chapter is the conclusion and suggestion. In this part, according to the empirical results the paper draws the conclusion, and puts forward some suggestions according to the conclusion. Finally, the shortcomings of the paper and the prospect of further research to the possible future. This paper uses the 2010 - 2014 China A shares of listed companies as research samples, discusses the relationship between the media attention. Internal control and stock price synchronicity, and draws the following conclusions: first, there is a significant negative correlation between the media attention and synchronicity, this result shows that media attention to To promote the transfer of information of listed companies, reduce the stock price synchronicity, improve market efficiency of resource allocation; second, the quality of internal control and the synchronization of stock price negatively related to that listed companies to improve the quality of internal control can reduce the stock price synchronicity, the market efficiency of the allocation of resources to play a positive role; third, the quality control of different enterprises inside, the media attention on the synchronization of stock price effects are different. The better control of the enterprise in the internal media attention, slow down on the stock price synchronicity decreased. At the same time, further analysis in the article in the different nature of the property rights of enterprises, influence on the stock price synchronicity of internal control are different. Compared with state-owned enterprises influence of non state-owned enterprises, the quality of internal control and the synchronization of stock price is more significant. In the new situation, the conclusion of this research for our country how to reduce the synchronicity of stock price, improve 璧勬湰甯傚満鐨勮祫婧愰厤缃�鏁堢巼鍏锋湁涓�瀹氱殑鍊熼壌鎰忎箟.浠ユ垜鍥紸鑲￠潪閲戣瀺涓婂競鍏�鍙镐负鏍锋湰鐨勫疄璇佺爺绌舵樉绀�,鍔犲己濯掍綋瀵逛笂甯傚叕鍙哥殑鍏虫敞搴﹁兘澶熼檷浣庤偂浠峰悓姝ユ，

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