【摘要】：股票市場一直是中國學術界關注的焦點之一,行為金融理論的興起使得眾多研究嘗試從行為偏差的角度對持股者的交易行為及其影響進行研究,從而解釋中國股票市場的效率問題。本文沿著Campbell et al.(2001)、Pastor and Veronesi (2003)、Gasper and Massa (2006)、Tookes (2008). Peress (2010)的研究思路從產(chǎn)品市場勢力的角度進行了探討,分析產(chǎn)品市場勢力對于持股者交易行為的影響。 本文第一部分首先分析了產(chǎn)品市場勢力對于持股者交易行為影響的基礎機制,并證實產(chǎn)品市場勢力的提高能顯著降低股票收益率的公司特質(zhì)波動,從而降低交易時面對的不確定性。同時產(chǎn)品市場勢力還導致了異質(zhì)信念水平的提高,原因可能在于產(chǎn)品市場勢力降低了不確定性的同時也增強了持股者的信心,因而更加相信自己的判斷。 在第一部分研究的基礎上,本文繼續(xù)分析了產(chǎn)品市場勢力對持股者交易的積極性、交易中的羊群行為、處置效應的影響�；谕顿Y者是風險厭惡的和異質(zhì)信念促進交易的假設以及前面的研究結論,本文推斷并證實產(chǎn)品市場勢力能夠顯著地促進交易,這種促進不僅表現(xiàn)在交易量的擴大上,還表現(xiàn)在每筆交易量的提高上。而對于羊群行為的分析是建立在信息不對稱導致羊群行為的假設下,當產(chǎn)品市場勢力減輕股票收益率的公司特質(zhì)波動時信息不對稱程度下降,而交易水平的提高也意味著市場交易對信息傳遞的作用增強,這些都使得交易的信息環(huán)境改善,從而減少羊群行為。同時異質(zhì)信念水平的提高意味著交易時會更多根據(jù)自己的判斷進行決策,而不是從眾。因此本文認為產(chǎn)品市場勢力的提高能夠降低交易中的羊群行為,第三部分的實證研究也提供了相應的證據(jù)。而對處置效應的研究則是基于由前景理論所得到的不確定性與處置效應之間的聯(lián)系,即交易時面對的不確定性程度越高越可能發(fā)生處置效應等行為偏差,而產(chǎn)品市場勢力能夠降低交易時面對的不確定性,因而可以減輕處置效應。對此第四部分的研究給出了相關證據(jù)。 最后,本文分析了產(chǎn)品市場勢力通過持股者的交易行為而對股票價格信息含量以及股票市場流動性產(chǎn)生的影響,結果發(fā)現(xiàn)產(chǎn)品市場勢力因為促進交易、信息傳遞等降低了市場的信息不對稱水平,最終提高股票價格的信息含量和市場流動性。產(chǎn)品市場勢力的影響在控制公司治理水平的情況下依然顯著,并與公司治理之間存在交互關系。
[Abstract]:The stock market has always been one of the focal points of Chinese academic circles. The rise of behavioral finance theory makes many researches try to study the trading behavior and its influence of shareholders from the angle of behavior deviation. So as to explain the efficiency of China's stock market. Campbell et al. (2001) Pastor and Veronesi (2003) Gasper and Massa (2006) Tookes (2008). The research idea of Peress (2010) is discussed from the point of view of product market power, and the influence of product market power on the trading behavior of shareholders is analyzed. The first part of this paper first analyzes the basic mechanism of the influence of product market power on the trading behavior of shareholders, and proves that the increase of product market power can significantly reduce the volatility of stock returns. Thus reducing the uncertainty of the transaction. At the same time the product market power also leads to the improvement of heterogeneous belief level, which may be due to the fact that the product market power reduces uncertainty and strengthens the shareholders' confidence, so they believe in their own judgment. On the basis of the first part, this paper analyzes the influence of product market forces on the positivity of shareholders, herd behavior and disposal effect. Based on the hypothesis that investors are risk-averse and heterogeneous beliefs to promote trading, and the previous research conclusions, this paper inferred and confirmed that product market power can significantly promote trading, which is not only reflected in the expansion of trading volume, Also in the performance of each volume of transactions on the rise. The analysis of herding behavior is based on the assumption that information asymmetry leads to herding behavior. When the product market power reduces the volatility of the stock returns, the degree of information asymmetry decreases. The improvement of the trading level also means that the effect of market transaction on information transmission is enhanced, which can improve the information environment and reduce herding behavior. At the same time, the improvement of heterogeneous belief level means that more decisions are made according to one's own judgment, rather than following the crowd. Therefore, this paper argues that the increase of market power can reduce herding behavior in trading. The third part of the empirical study also provides the corresponding evidence. The study of disposal effect is based on the relationship between uncertainty and disposal effect obtained from foreground theory, that is, the higher the degree of uncertainty in transaction, the more likely is the behavior deviation such as disposal effect. And product market power can reduce the uncertainty of the transaction, so it can reduce the disposal effect. The fourth part of the study gives the relevant evidence. Finally, this paper analyzes the influence of product market power on stock price information content and stock market liquidity through the trading behavior of shareholders. Information transmission reduces the level of information asymmetry in the market, and ultimately increases the information content and market liquidity of stock prices. The influence of product market power is still significant in the case of controlling corporate governance level, and there is an interactive relationship between product market power and corporate governance.
【學位授予單位】：復旦大學
【學位級別】：博士
【學位授予年份】：2012
【分類號】：F224;F274;F832.51

【參考文獻】

相關期刊論文 前10條

1 姚濤;楊欣彥;;證券交易印花稅調(diào)整對股價波動性的效應評估[J];財經(jīng)科學;2008年11期

2 劉奕均;胡奕明;;機構投資者、公允價值與市場波動——基于我國A股市場面板數(shù)據(jù)的實證研究[J];財經(jīng)研究;2010年02期

3 李新路,張文修;中國股票市場個體投資者“處置效應”的實證研究[J];當代經(jīng)濟科學;2005年05期

4 馬健;劉志新;;基于異質(zhì)信念的公司融資決策[J];系統(tǒng)工程;2010年07期

5 文鳳華;賈俊艷;晁攸叢;楊曉光;;基于加權已實現(xiàn)極差的中國股市波動特征[J];系統(tǒng)工程;2011年09期

6 李學峰;李佳明;;投資者個體的羊群行為:分布及其程度——基于分割聚類的矩陣化方法[J];國際金融研究;2011年04期

7 張益明;;產(chǎn)品市場勢力、公司治理與股票市場流動性[J];國際金融研究;2012年03期

8 孟衛(wèi)東;江成山;陸靜;;基于內(nèi)生后驗異質(zhì)信念的資產(chǎn)定價研究[J];管理工程學報;2010年03期

9 伊志宏;姜付秀;秦義虎;;產(chǎn)品市場競爭、公司治理與信息披露質(zhì)量[J];管理世界;2010年01期

10 袁知柱;鞠曉峰;;制度環(huán)境、公司治理與股價信息含量[J];管理科學;2009年01期

，

本文編號：2209311