中国A股市场上地区联动效应的实证检验与因素分析

发布时间：2018-12-14 15:53

【摘要】：我国股票市场成立至今已走过20余年,2005年股权分置改革的实施使得A股市场逐渐成熟,成为金融资源配置的重要渠道。但可以看到,我国股市的一个重要特征是板块效应、股价联动等现象非常显著。所谓股价的联动,即同一时期内大多数股票价格齐涨共跌的现象。虽然股价联动削弱了价格作为公司价值反映的功能,但若投资者充分了解联动的波动特征和形成原因,就可以避免将资产分配在几类联动性强的股票上,达到分散化投资降低风险的目的。对股价联动性的研究,不仅有助于更好地指导投资者进行投资,而且能为股票市场管理者和政策制定者提供有效建议,具有非常重要的现实指导意义,也因此成为近几年金融学术界研究的热点问题。本文正是基于以上研究目的,从股票联动性方面目前较少研究的地区联动效应入手,以我国A股市场所有股票为研究对象,对我国31个省市的地区内股票联动效应以及泛长三角洲四个省市之间的联动效应进行了深入研究。从结构上来看,首先系统回顾了国内外学者在市场联动、行业联动和地区联动效应方面的研究成果,详细阐述了股票联动相关理论基础。然后从地区内和地区间两个角度分别进行实证研究,考察地区联动效应的存在性、变动情况以及联动性强弱的影响因素。在地区内股票联动效应的研究中,剔除金融危机前后这一特殊时间段后,分金融危机前和金融危机后两个阶段对比分析了我国31个省市的地区内股票联动效应情况及变动方向。实证结果表明除贵州之外其他30个省市均存在显著的联动现象,并且金融危机后绝大多数省市的股票地区内联动程度有所弱化。在联动性强弱影响因素的研究中,发现地区人均GDP、地区资本化程度以及地区公司层面的机构持股者比例、总资产净利率、公司规模等因素均与联动效应强弱呈反向关系。在地区间股票联动效应的研究中,选取泛长三角洲四个省市——上海市、安徽省、浙江省和江苏省作为研究对象,利用相关系数、Johansen协整检验、Granger因果关系检验等分析方法,实证结果表明安徽与浙江之间存在显著的双向联动关系,江苏与安徽之间仅存在江苏对安徽的单项联动关系,而其他省市之间并不存在明显的联动现象。最后,本文对研究的结论进行了总结,并基于研究结论对我国股票投资者、监管部门以及政策制定者提出了一些可借鉴的建议。
[Abstract]:The stock market in China has been established for more than 20 years. The implementation of the split share structure reform in 2005 made the A-share market mature gradually and became an important channel for the allocation of financial resources. But we can see that one of the important characteristics of China's stock market is the plate effect, stock price linkage and other phenomena are very significant. So-called stock price linkage, namely the phenomenon that most stock prices rise and fall in the same period. Although stock price linkage weakens the function of price as a reflection of company value, if investors fully understand the volatility characteristics of linkage and the reasons for its formation, they can avoid allocating assets to several kinds of stocks with strong linkage. To achieve the goal of diversification investment to reduce risk. The research on stock price linkage is not only helpful to guide investors to invest, but also can provide effective advice to stock market managers and policy makers. As a result, it has become a hot issue in financial academia in recent years. Based on the above research purpose, this paper starts with the regional linkage effect, which is seldom studied at present, and takes all the stocks in China's A-share market as the research object. The stock linkage effect in 31 provinces and cities in China and the linkage effect among four provinces and cities in Pan Yangtze River Delta are studied. From the point of view of structure, this paper systematically reviews the research achievements of domestic and foreign scholars on market linkage, industry linkage and regional linkage effect, and elaborates the theoretical basis of stock linkage. Then the empirical study is carried out from the two angles of intraregional and inter-regional to investigate the existence of the regional linkage effect, the change situation and the influencing factors of the strength and weakness of the linkage. After excluding the special period before and after the financial crisis, the paper contrasts and analyzes the stock linkage effect and its changing direction in 31 provinces and cities in China before and after the financial crisis. The empirical results show that there is a significant linkage in 30 provinces except Guizhou, and the degree of linkage is weakened in most provinces and cities after the financial crisis. In the study of the influencing factors of linkage strength and weakness, it is found that the degree of regional capitalization per capita GDP, the proportion of institutional shareholders at the regional corporate level, the net interest rate of total assets and the size of the company are all inversely related to the strength of the linkage effect. In the study of interregional stock linkage effect, four provinces and cities of Pan-Yangtze River Delta, Shanghai, Anhui, Zhejiang and Jiangsu Province were selected as the research objects, using correlation coefficient, Johansen cointegration test, Granger causality test and other analytical methods. The empirical results show that there is a significant two-way linkage relationship between Anhui and Zhejiang, only Jiangsu and Anhui have a single linkage to Anhui, while there is no obvious linkage between other provinces and cities. Finally, this paper summarizes the conclusions of the study, and based on the conclusions of the research on China's stock investors, regulatory authorities and policy makers put forward some suggestions for reference.
【学位授予单位】：华东师范大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

【参考文献】