本文關(guān)鍵詞：股利政策對(duì)股票價(jià)格波動(dòng)性的影響研究　出處：《西南財(cái)經(jīng)大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 股利政策 股價(jià)波動(dòng) 面板數(shù)據(jù)

【摘要】：我國(guó)股票市場(chǎng)自20世紀(jì)90年代初誕生以來(lái),伴隨著經(jīng)濟(jì)建設(shè)的不斷深化而迅速發(fā)展；近年來(lái),由于廣大民眾投資理財(cái)意識(shí)的逐漸形成,股票市場(chǎng)也開始成為各方面關(guān)注的焦點(diǎn)之一。由于我國(guó)股票市場(chǎng)發(fā)展未臻成熟,其中各種積患也屢現(xiàn)叢生,特別受人詬病的一點(diǎn)在于股票市場(chǎng)中炒作情緒嚴(yán)重,有礙投資者理性投資觀念的樹立以及市場(chǎng)本身的健康發(fā)展。有學(xué)者將這一情況歸因于上市公司股利發(fā)放不暢,長(zhǎng)期存在利潤(rùn)不分配、分配少的情況,忽視了股利在傳遞公司基本面信息并引導(dǎo)股票價(jià)格反映公司內(nèi)在價(jià)值過程中所能扮演的作用,使股價(jià)脫離公司本身非理性波動(dòng)；此狀況還導(dǎo)致了投資者無(wú)法通過股利獲取合理投資回報(bào),不得不寄期望于在股價(jià)的短期波動(dòng)中頻繁換手以獲得回報(bào),助長(zhǎng)了股價(jià)的劇烈波動(dòng)�；诖�,本文將圍繞上市公司股利政策和股票價(jià)格波動(dòng)性之間的關(guān)系展開研究,試圖驗(yàn)證該觀點(diǎn)的正確性,即探討股利政策是否確實(shí)能對(duì)股價(jià)的波動(dòng)性產(chǎn)生影響。 本文在對(duì)既有研究成果的綜述基礎(chǔ)之上,首先從久期視角和收益率/增長(zhǎng)率視角為出發(fā)點(diǎn),從理論方面證明了股利對(duì)股票價(jià)格波動(dòng)性的影響。緊接著,本文將研究重點(diǎn)轉(zhuǎn)向我國(guó)股票市場(chǎng)的研究之中,在正式開始這一部分的研究之前,將首先剖析我國(guó)上市公司股利政策現(xiàn)狀,并對(duì)造成這一狀況的原因進(jìn)行進(jìn)一步的分析。在此之后將正式轉(zhuǎn)入針對(duì)我國(guó)上市公司股利政策對(duì)其股票價(jià)格波動(dòng)性影響的實(shí)證研究之中,具體言之,本文將采用面板數(shù)據(jù)的計(jì)量方法,對(duì)2001年到2010年十年間按照一定標(biāo)準(zhǔn)選取的695支股票的相關(guān)數(shù)據(jù)進(jìn)行實(shí)證研究。該研究分成三個(gè)層次,首先比較不同股利發(fā)放政策的公司股票波動(dòng)性之間的區(qū)別；其次將股利政策作為虛擬變量進(jìn)行實(shí)證研究,試圖發(fā)現(xiàn)股利的發(fā)放是否會(huì)對(duì)股價(jià)波動(dòng)性產(chǎn)生影響；最后將對(duì)按股利政策進(jìn)行分組后的各組公司展開計(jì)量回歸,以便發(fā)現(xiàn)進(jìn)一步的信息。 通過以上三個(gè)層次的研究,本文發(fā)現(xiàn)在我國(guó)股票市場(chǎng)中,現(xiàn)金股利和股票股利的發(fā)放都與股票價(jià)格的波動(dòng)負(fù)相關(guān),即上市公司發(fā)放股利有助于穩(wěn)定股票價(jià)格的波動(dòng)；對(duì)于現(xiàn)金股利發(fā)放程度較高的股票,其股價(jià)波動(dòng)性與公司基本面信息聯(lián)系顯著,而現(xiàn)金股利發(fā)放程度較低的股票,其股價(jià)波動(dòng)性幾乎與公司基本面信息完全脫節(jié),表明現(xiàn)金股利有助于抑制股票價(jià)格脫離公司價(jià)值非理性波動(dòng)。 對(duì)于股利政策和股價(jià)波動(dòng)性的研究由來(lái)已久,但關(guān)于二者之間關(guān)系的研究尚不多見。本文就股利政策和股價(jià)波動(dòng)間關(guān)系的研究的創(chuàng)新之處包括以下兩點(diǎn)： 1)在考察現(xiàn)金股利的同時(shí)也考察了股票股利對(duì)其價(jià)格波動(dòng)性的影響。在我國(guó)股票市場(chǎng)中股票股利甚為常見,但針對(duì)股票股利的研究并不多見,本文的研究將股票股利納入研究范圍并發(fā)現(xiàn)股票股利對(duì)穩(wěn)定股價(jià)波動(dòng)也具有重要作用。 2)在本文的研究中同時(shí)將股利政策作為自變量和分組依據(jù)。在該研究方法下,一方面研究了一次性發(fā)放股利對(duì)股價(jià)波動(dòng)的影響,另一方面也對(duì)比了不同股利發(fā)放風(fēng)格股票各自的特征。 本文研究的結(jié)論認(rèn)為發(fā)放股利有助于穩(wěn)定股價(jià)波動(dòng),該結(jié)論為督促上市公司健全投資者回報(bào)機(jī)制提供了論據(jù),也為穩(wěn)定股價(jià)波動(dòng)倡導(dǎo)理性投資提供了一種解決思路。
[Abstract]:China's stock market since the beginning of 1990s was born, with the deepening of economic construction and rapid development; in recent years, due to the gradual formation of the public awareness of financial investment, the stock market has become the focus. Due to the development of China's stock market is not mature, the product have repeatedly with special suffering to the point that speculation in the stock market mood is serious, hinder the healthy development of the concept of rational investors and establish the market itself. Some scholars will be the situation due to the listed company dividend distribution is not smooth, there is long-term distribution of profits, less distribution situation, ignoring the dividend in the transmission company fundamental information and guide the stock prices reflect the intrinsic value of the company can play a role in the process, the stock from the company itself irrational fluctuations; this situation has also led to investment Investors can not obtain the reasonable investment return through dividends, to look forward to in the short-term fluctuations in stock exchange frequency propagation to obtain returns, contributing to price volatility. Based on this, this paper will focus on the development of the relationship between dividend policy and stock price volatility research, trying to verify the correctness of the view, i.e. to investigate whether dividend policy can really affect the volatility of the stock price.
In this paper, on the basis of the existing research results, first from the perspective of duration and rate of return / growth perspective as a starting point, from the aspect of theory and proves the effect of dividend on stock price volatility. Then, this paper will shift the focus of the research of China's stock market, at the beginning of the formal study of this part before, will first analyse the current situation of dividend policy of Listed Companies in China, and further analysis of the reasons for this situation. After this will be officially transferred to the dividend policy of Listed Companies in China An Empirical Study on the volatility of stock price impact, in other words, this paper will use the econometric method of panel data the empirical research, related data of 695 stocks in 2001 to 2010 ten years were selected according to certain standards. The study is divided into three levels, first compare the different dividend policy of public The difference between our stock volatility; secondly, the dividend policy as a dummy variable for empirical research, trying to find out whether the dividend payment will affect the stock price fluctuation; then the grouped according to the dividend policy after each company carried out regression, in order to find further information.
Through the study of the above three levels, this paper finds that in our stock market, cash dividends and stock dividends are negatively related to stock price volatility, namely the listed company dividends can help stabilize the fluctuation of stock price; for cash dividend stocks with higher level of basic information, the stock price volatility with the company's significant, and low level of Cash Dividend Stocks, the stock price volatility and fundamental information almost completely out of touch, show that the cash dividend helps to suppress the stock price from the value of the company irrational fluctuations.
The research on dividend policy and stock price volatility has been going on for a long time, but there are few studies on the relationship between the two.
1) in the study of cash dividend and stock dividend on the effects of price fluctuation in China's stock market. Stock dividends is common, but the research on stock dividend does not see more, this study will be included in the study and found that stock dividend stock dividend also has an important effect on the stability of stock price fluctuation.
2) in this paper, we take dividend policy as independent variable and group basis. On the one hand, we study the impact of one-off dividend on stock price fluctuation, and compare the characteristics of different dividend payout styles.
The conclusion of this paper is that dividend payment helps stabilize stock price volatility. This conclusion provides evidence for supervising listed companies to improve investor return mechanism, and also provides a solution for stabilizing stock price volatility and advocating rational investment.

【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

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