本文關(guān)鍵詞：產(chǎn)品市場競爭對股票市場影響研究　出處：《西南財(cái)經(jīng)大學(xué)》2012年博士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 產(chǎn)品市場競爭 市場集中度 勒納指數(shù) 異質(zhì)性波動(dòng)率 分析師預(yù)測 股價(jià)信息含量

【摘要】：長久以來,金融學(xué)的文獻(xiàn)將產(chǎn)品市場與金融市場視作兩個(gè)相互隔離的市場進(jìn)行研究,忽視了產(chǎn)品市場競爭對股票市場的影響。一般來說,企業(yè)在產(chǎn)品市場上相互競爭產(chǎn)生具有不確定性的現(xiàn)金流。而企業(yè)的市場力量(market power)會(huì)直接影響現(xiàn)企業(yè)現(xiàn)金流不確定性的大小,企業(yè)的市場力量越大,抵御風(fēng)險(xiǎn)、抗擊沖擊的能力越強(qiáng),現(xiàn)金流的不確定性越小。相應(yīng)地,在股票市場上,股票分析師對上市公司的現(xiàn)金流進(jìn)行預(yù)測,并通過各種媒介傳遞給股票投資者,股票投資者根據(jù)對上市公司未來現(xiàn)金流的預(yù)期對股票進(jìn)行定價(jià),因此產(chǎn)品市場競爭對股票市場應(yīng)該有重要影響。本文從產(chǎn)品市場競爭的視角,系統(tǒng)性地研究了產(chǎn)品市場競爭對股票市場的影響,發(fā)現(xiàn)產(chǎn)品市場競爭是影響股票市場的一個(gè)重要因素。本文的研究結(jié)果彌補(bǔ)了現(xiàn)有文獻(xiàn)的不足,在一定程度上加深了我們對產(chǎn)品市場競爭與股票市場關(guān)系的認(rèn)識(shí)。 改革開放以來,我國逐步確立建立社會(huì)主義市場經(jīng)濟(jì)的目標(biāo),逐漸從計(jì)劃經(jīng)濟(jì)體制向市場經(jīng)濟(jì)體制轉(zhuǎn)型,市場經(jīng)濟(jì)逐漸成為資源配置的主要方式,經(jīng)濟(jì)的市場化程度不斷提高。在國企改革過程中,民進(jìn)國退,國有企業(yè)逐漸退出競爭性行業(yè)和領(lǐng)域,民營企業(yè)不斷進(jìn)入新的行業(yè)和領(lǐng)域,民營經(jīng)濟(jì)比重不斷提高。2002年我國加入世界貿(mào)易組織,進(jìn)口關(guān)稅大幅降低,大量國外商品進(jìn)入國內(nèi)市場。同時(shí)國外產(chǎn)業(yè)資本以QFII形式大量流入,這進(jìn)一步加劇了產(chǎn)品市場的競爭。但與此同時(shí),部分行業(yè)與領(lǐng)域存在一定的行政性壟斷,民營企業(yè)面臨較高的進(jìn)入門檻,市場競爭程度較弱。 與之相呼應(yīng)的是,我國的股票市場自20世紀(jì)90年代成立以來發(fā)生巨大的變革與發(fā)展,截至2010年我國股票市場總市值居世界第二位。股權(quán)分置改革從根本上解決了非流通股東與流通股東之間的利益沖突,顯著地提高了我國股票市場的流動(dòng)性。成立創(chuàng)業(yè)板,逐步形成了主板、中小企業(yè)板塊與創(chuàng)業(yè)板的多層次資本市場體系。但與此同時(shí),我國股票市場中還存在種種不規(guī)范行為,內(nèi)幕交易、信息披露不規(guī)范以及基金“老鼠倉”等行為時(shí)有發(fā)生。 一方面我國經(jīng)濟(jì)的市場化程度不斷提高,產(chǎn)品市場競爭日趨激烈；另一方面我國股票市場也取得了巨大的發(fā)展。本文研究了在我國經(jīng)濟(jì)體制轉(zhuǎn)型的大背景下,產(chǎn)品市場競爭對股票市場的影響。本文采用行業(yè)的市場集中度(HHI)和企業(yè)的勒納指數(shù)(Lerner index)來衡量產(chǎn)品市場的競爭程度與企業(yè)的市場力量。一方面,市場集中度和勒納指數(shù)反映了產(chǎn)品市場的競爭程度,產(chǎn)品市場競爭越激烈,行業(yè)的市場集中度越低、企業(yè)的勒納指數(shù)越�。环粗�,產(chǎn)品市場競爭的程度越弱,行業(yè)的市場集中度越高、企業(yè)的勒納指數(shù)越大。另一方面,市場集中度和勒納指數(shù)反映了企業(yè)的市場力量,市場集中度越高、企業(yè)的勒納指數(shù)越大,企業(yè)的市場力量越大；反之,市場集中度越低、企業(yè)的勒納指數(shù)越小,企業(yè)的市場力量越小。產(chǎn)品市場競爭的程度和企業(yè)的市場力量如同一枚硬幣的兩個(gè)方面,共同反映了產(chǎn)品市場的競爭結(jié)構(gòu)。 本文共分為七章,具體的章節(jié)結(jié)構(gòu)安排如下。 第一章是導(dǎo)論,介紹本文的研究背景,提出研究問題與研究內(nèi)容,并指出本文研究的理論意義與現(xiàn)實(shí)意義。 第二章是文獻(xiàn)綜述,分別從股票的收益率、股票異質(zhì)性波動(dòng)率、股票分析師預(yù)測和股票價(jià)格信息含量等四個(gè)方面梳理了相關(guān)的英文和中文文獻(xiàn),并對文獻(xiàn)進(jìn)行簡單的述評。 第三章研究了產(chǎn)品市場競爭與股票收益率的關(guān)系。我們發(fā)現(xiàn)在控制住其他因素后,行業(yè)的市場集中度越高、企業(yè)勒納指數(shù)越大,股票收益率越低。在考慮上市公司的控股類型和國有股比例的影響后,市場集中度與勒納指數(shù)的系數(shù)估計(jì)值仍然顯著為負(fù),這說明我們的研究結(jié)果并不是由上市公司的所有制性質(zhì)引起的。穩(wěn)健性檢驗(yàn)的結(jié)果表明,無論是股改前還是在股改后,我們的發(fā)現(xiàn)均成立；并且我們的結(jié)果不受市場集中度指標(biāo)選擇的影響。 第四章研究了產(chǎn)品市場競爭與股票異質(zhì)性波動(dòng)率的關(guān)系。根據(jù)紅利貼現(xiàn)模型,股票價(jià)格等于企業(yè)未來不確定現(xiàn)金流的期望值貼現(xiàn)后的加總。產(chǎn)品市場競爭越激烈,企業(yè)現(xiàn)金流的不確定性越大,在股票市場上表現(xiàn)為較高的股價(jià)波動(dòng)。實(shí)證結(jié)果表明,行業(yè)的市場集中度越高、企業(yè)的勒納指數(shù)越大,股票的異質(zhì)性波動(dòng)率越小。考慮到股票上市與退市有可能會(huì)對系數(shù)的估計(jì)值產(chǎn)生影響,我們只保留1998至2007年一直交易的股票,回歸結(jié)果與前面的結(jié)果基本一致。穩(wěn)健性檢驗(yàn)的結(jié)果表明,我們的實(shí)證發(fā)現(xiàn)不受模型回歸方法、股票異質(zhì)性波動(dòng)率構(gòu)造方法和市場集中度指標(biāo)選擇的影響,這說明我們的實(shí)證結(jié)果具有一定的穩(wěn)健性。由于股票的異質(zhì)性波動(dòng)率代表了股票的異質(zhì)性風(fēng)險(xiǎn),在不完全信息的股票市場上,股票的異質(zhì)性風(fēng)險(xiǎn)會(huì)影響到股票的收益率,因此第四章的結(jié)果為第三章提供了實(shí)證基礎(chǔ)。 第五章研究了產(chǎn)品市場競爭對股票分析師盈余預(yù)測的影響。產(chǎn)品市場競爭越激烈,股票分析師盈余預(yù)測的難度越大,分析師盈余預(yù)測的難度又會(huì)影響到分析師預(yù)測的表現(xiàn)。我們發(fā)現(xiàn)行業(yè)的市場集中度越高、企業(yè)的勒納指數(shù)越大,股票分析師盈余預(yù)測的準(zhǔn)確度越高,樂觀性偏差越小。這說明當(dāng)分析師的預(yù)測任務(wù)難度較大、不能準(zhǔn)確預(yù)測上市公司的每股盈余時(shí),分析師傾向于做出過于樂觀的盈余預(yù)測來取悅上市公司管理層,以便于在以后的預(yù)測中從上市公司管理層獲取內(nèi)部消息。穩(wěn)健性檢驗(yàn)的結(jié)果進(jìn)一步支持了我們的發(fā)現(xiàn)。同時(shí),由于股票分析師的盈余預(yù)測代表了股票投資者的盈余預(yù)期,第五章的實(shí)證結(jié)果為第六章提供了傳導(dǎo)機(jī)制。 第六章研究了產(chǎn)品市場競爭對股票價(jià)格信息含量的影響。我們采用事件研究方法,以上市公司盈余公告日作為事件發(fā)生日,用上市公司盈余公告產(chǎn)生的累計(jì)異常收益率來衡量股票價(jià)格的信息含量。股票的累計(jì)異常收益率越高,說明股票價(jià)格的信息含量越小；反之,股票的累計(jì)異常收益率越低,說明股票價(jià)格的信息含量越大。我們發(fā)現(xiàn)行業(yè)的市場集中度越高、上市公司的勒納指數(shù)越大,股票的累計(jì)異常收益率越低,股票價(jià)格的信息含量越大。但是在考慮了去趨勢的換手率與樣本的聚類相關(guān)后,市場集中度的系數(shù)不再顯著。穩(wěn)健性檢驗(yàn)的結(jié)果進(jìn)一步支持了我們的發(fā)現(xiàn)。在我國,上市公司的分紅預(yù)案通常與中報(bào)、年報(bào)的盈余公告一起公布,由于分紅預(yù)案確定的股利是股票投資者獲取投資收益的重要渠道,因此上市公司的分紅信息可能會(huì)產(chǎn)生一定的噪音進(jìn)入股票價(jià)格中。在我國股票市場上存在大量不分紅的上市公司,這為我們研究分紅信息對股票價(jià)格的影響提供了天然的實(shí)驗(yàn)。我們將全部樣本分為不分紅樣本與分紅樣本后,發(fā)現(xiàn)在不分紅樣本中,市場集中度與勒納指數(shù)的系數(shù)估計(jì)值全部顯著為負(fù)；在分紅樣本中,市場集中度與勒納指數(shù)的系數(shù)符號(hào)都不再顯著。這說明分紅信息確實(shí)作為噪音信息影響了股票價(jià)格,使得市場集中度與勒納指數(shù)對股票累計(jì)異常收益率的作用機(jī)制不再顯著。 第七章是本文的結(jié)論,從總體上對整篇文章進(jìn)行總結(jié),同時(shí)闡明研究的缺陷與不足,并指出進(jìn)一步研究的方向。 目前關(guān)于產(chǎn)品市場競爭對股票市場影響的研究剛剛起步,相對于已有的文獻(xiàn),本文的貢獻(xiàn)與創(chuàng)新之處在于,首先,已有的研究大多著眼于一個(gè)方面,從某個(gè)特定的角度進(jìn)行研究。本文從多個(gè)方面系統(tǒng)性地研究了產(chǎn)品市場競爭對股票市場的影響,并試圖論證其中的傳導(dǎo)途徑與作用機(jī)制。其次,本文同時(shí)采用行業(yè)的市場集中度和企業(yè)勒納指數(shù)來衡量產(chǎn)品市場的競爭程度與企業(yè)的市場力量,能夠更加全面地反映產(chǎn)品市場的競爭結(jié)構(gòu)。再次,我們在計(jì)算行業(yè)的市場集中度時(shí),使用了國家統(tǒng)計(jì)局的工業(yè)企業(yè)數(shù)據(jù),該數(shù)據(jù)涵蓋了所有國有企業(yè)和主營業(yè)務(wù)收入在500萬以上的非國有企業(yè),占全部工業(yè)企業(yè)總產(chǎn)值的90%以上,基本上反映了我國各行業(yè)產(chǎn)品市場競爭程度的差異,有效地避免了度量誤差對實(shí)證結(jié)果的影響。 由于水平有限,本文沒有從理論上構(gòu)建一般均衡理論模型來闡述產(chǎn)品市場競爭對股票市場的影響。本文使用國家統(tǒng)計(jì)局工業(yè)企業(yè)數(shù)據(jù)計(jì)算市場集中度,可以更加準(zhǔn)確的衡量行業(yè)的市場集中度。但是,由于該數(shù)據(jù)只包括工業(yè)企業(yè),不包括農(nóng)業(yè)、服務(wù)業(yè)等行業(yè),在將工業(yè)企業(yè)計(jì)數(shù)據(jù)計(jì)算的市場集中度與股票數(shù)據(jù)進(jìn)行匹配時(shí),農(nóng)業(yè)、服務(wù)業(yè)等行業(yè)的上市公司數(shù)據(jù)無法匹配,這使得我們損失一部分?jǐn)?shù)據(jù)樣本,降低了模型估計(jì)的效率。這些都是本文研究的不足之處。 產(chǎn)品市場競爭在多個(gè)方面對股票市場產(chǎn)生影響,本文僅選取股票收益率、異質(zhì)性波動(dòng)率、股票分析師預(yù)測、股票價(jià)格的信息含量四個(gè)方面進(jìn)行了研究。在其他方面,如公司治理、股票流動(dòng)性、現(xiàn)金流持有等方面,都可以作為進(jìn)一步研究的主題。
[Abstract]:In the stock market , stock analysts estimate the cash flow of the listed companies and transfer them to stock investors through various media . The market power of the enterprises is the important factor that affects the stock market . The research results of this paper make up the shortage of the existing literature , and deepen our understanding of the market competition and the stock market relationship to some extent . Since the reform and opening - up , our country has gradually established the goal of establishing the socialist market economy , gradually from the planned economic system to the market economic system , the market economy has gradually become the main way of resource allocation , the market economy of the private enterprises has gradually increased . In the course of the reform of the state - owned enterprises , the state - owned enterprises have gradually withdrawn from the competitive industries and fields , and the private enterprises have continuously entered into the new industry and the field , and the private enterprises continue to enter the new industry and the field . At the same time , the private enterprises enter into the new industry and the field , which further aggravate the competition of the product market . At the same time , some industries and the field have certain administrative monopoly , and the private enterprises face a higher threshold of entry and the market competition is weak . In contrast , China ' s stock market has undergone tremendous change and development since its establishment in the 1990s . As of 2010 , China ' s stock market has been the second largest market value in the world . The reform of equity division basically solved the conflicts of interest between the East and the tradable shareholders of the Non - tradable shares . On the one hand , the market concentration and the Renner index reflect the competition degree of the product market and the market power of the enterprise . On the other hand , the higher the market concentration and the Renner index of the enterprise , the smaller the enterprise ' s profitability index . On the other hand , the lower the market concentration , the smaller the enterprise ' s profitability index , the smaller the enterprise ' s market power . On the other hand , the higher the market concentration and the enterprise ' s market power , the smaller the enterprise ' s market power . The market concentration and the enterprise ' s market power , like the two aspects of a coin , reflect the competitive structure of the product market . This article is divided into seven chapters , and the detailed structure arrangement is as follows . The first chapter is the introduction , introduces the research background , puts forward the research problems and the research contents , and points out the theoretical significance and practical significance of this paper . The second chapter summarizes the literature review from four aspects : the yield of stock , the volatility of stock heterogeneity , the forecast of stock analyst and the information content of stock price , and makes a brief review of the literature . In chapter 3 , the relationship between market competition and stock yield is studied . We find that the higher the market concentration degree of the industry , the lower the corporate lenner index , the lower the value of the stock yield . After considering the influence of the holding type of the listed company and the proportion of the state - owned shares , our findings are not caused by the ownership nature of the listed companies . The results show that our findings are not influenced by the market concentration indicator . In the fourth chapter , we study the relationship between the market competition and the volatility of stock heterogeneity . According to the dividend discount model , the higher the stock price is equal to the expected value of the future uncertain cash flow , the more uncertain the market concentration of the enterprise , the greater the volatility of the stock . In chapter 5 , the impact of product market competition on the earnings forecast of stock analysts is studied . The more competitive the market competition is , the more difficult it is to predict the earnings of the analyst . The higher the earnings forecast of the analyst , the higher the earnings forecast of the stock analyst , the less the optimistic deviation is . This shows that when the analyst ' s forecast task is more difficult and the earnings forecast of the stock analyst cannot accurately predict the earnings per share of the listed company . In the sixth chapter , we study the effect of product market competition on stock price information content . In our country , the higher the earnings announcement date of listed companies , the higher the information content of stock price . Chapter 7 is the conclusion of this paper , summarizes the whole article in general , and expounds the defects and shortcomings of the study , and points out the direction of further research . At present , the research on the influence of product market competition on the stock market has just started . Compared with the existing literature , the contribution and innovation of this paper is that , firstly , the research on the market concentration and the enterprise ' s market power can reflect the competition structure of the product market . Secondly , we use the industry ' s market concentration and the enterprise Renner index to measure the competition degree of the product market and the market power of the enterprise . Because of the limited level , this paper does not theoretically construct the general equilibrium theory model to illustrate the influence of product market competition on the stock market . In this paper , the market concentration of the industry can be measured more accurately by using the data of the industrial enterprise data of the national statistical office . However , the data of the listed companies in the industry such as agriculture and service industry can not match when the market concentration calculated by the industrial enterprise data is matched with the stock data , which makes us lose some data samples and reduce the efficiency of the model estimation . These are the deficiencies of this paper . In this paper , we have studied the stock market , such as stock return rate , heterogeneity fluctuation rate , stock analyst forecast and information content of stock price . In other aspects , such as corporate governance , stock liquidity , cash flow hold , etc . , can be used as the subject of further study .

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

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