股利政策、信息不對稱與股市流動性關(guān)系研究
發(fā)布時間：2019-03-22 13:08
【摘要】：經(jīng)過二十年來的建設(shè)與發(fā)展，，我國股票市場已成為人們經(jīng)濟生活的重要組成部分，在經(jīng)濟建設(shè)中發(fā)揮著重要作用。然而，我國股市的健康發(fā)展長期以來也遭受著高投機性和高波動等問題的困擾。導(dǎo)致我國股市過度投機的原因很多，上市公司股利政策的無約束和不規(guī)范性是其中的原因之一。上市公司分紅派息少甚至不分紅導(dǎo)致公司普遍缺乏長期投資價值，投資者的收益主要來源于投機帶來的資本利得。根據(jù)證監(jiān)會的最新規(guī)定，企業(yè)在申請IPO時，需公告其股利政策，并把相關(guān)執(zhí)行狀況列為監(jiān)管內(nèi)容。為此，股利政策在我國股市發(fā)展中開始初步具有了規(guī)范性趨勢。 市場流動性是衡量股票市場質(zhì)量的一個重要指標(biāo)。良好的市場流動性對于改善企業(yè)的融資環(huán)境，維持證券市場穩(wěn)定以及保護(hù)中小投資者的利益有著極為重要的意義。金融市場微觀結(jié)構(gòu)理論認(rèn)為，上市公司通過高質(zhì)量的信息披露能有效地改善其股票交易的流動性。股利政策作為公司披露的重要信息，是否也會影響到公告前后市場投資者的交易行為和公司股票流動性？為此，國外曾有學(xué)者針對報價驅(qū)動市場上股利政策發(fā)布前后投資者的投資組合和股票交易情況進(jìn)行了研究。國內(nèi)這方面的研究非常少，我國股票市場又是一個不同于報價驅(qū)動的指令驅(qū)動市場，具備一定的特殊性。為此，本文基于金融市場微觀結(jié)構(gòu)理論關(guān)于信息不對稱以及股市流動性的前沿度量方法，以現(xiàn)階段實施不同股利政策的上市公司為研究樣本，考察股利政策作為企業(yè)對外的一種信息發(fā)布，能否傳遞企業(yè)未來的發(fā)展信息，降低信息不對稱，進(jìn)而對股票市場流動性帶來積極影響。本文內(nèi)容主要包括以下幾個方面： 第一部分，提出了本文的研究背景和研究意義，并對國內(nèi)外的研究情況進(jìn)行了總結(jié)，列舉了相關(guān)的文獻(xiàn)綜述，闡述了本文的研究內(nèi)容、技術(shù)路線和創(chuàng)新點。 第二部分，闡述了本文研究的相關(guān)理論基礎(chǔ)。本文先對股利政策、信息不對稱及市場流動性的相關(guān)知識作了解釋說明，然后分別闡述了股利政策與信息不對稱的理論研究和信息不對稱與市場流動性的理論研究。股利政策與信息不對稱的理論基礎(chǔ)主要是信號傳遞理論，股利信號假說認(rèn)為，股利對股票價格有一定的影響，是管理者向外界傳遞企業(yè)信息的一種途徑。信息模型表明，降低信息不對稱程度有利于提高股市流動性。 第三部分，對我國上市公司股利政策、信息不對稱與股票流動性之間的關(guān)系進(jìn)行了實證研究。首先，我們以LSB（1995）價差分解中的逆向選擇成分和有效價差作為信息不對稱的衡量指標(biāo)，對滬市A股派發(fā)現(xiàn)金股利的上市公司股利公告前后的情況做了比較分析。通過對公告前后的值和有效價差進(jìn)行配對的t檢驗和Wilcoxon秩和檢驗，發(fā)現(xiàn)高股利樣本組公告后的信息不對稱程度降低，而低股利樣本組未能顯著降低，這與中國的股利分配現(xiàn)狀有關(guān)。其次，我們用換手率和非流動性比率作為衡量流動性的指標(biāo)，實證研究了上市公司信息不對稱對其股票流動性的影響。在控制了成交量、市凈率、公司規(guī)模、資產(chǎn)負(fù)債率及股權(quán)集中度等指標(biāo)后，我們發(fā)現(xiàn)，信息不對稱程度與流動性水平負(fù)相關(guān)。最后我們用配對的t檢驗和Wilcoxon秩和檢驗直接比較流動性在股利公告前后的均值發(fā)現(xiàn)股利公告后的流動性反而降低了，這不符合理論預(yù)期，隨后文章對出現(xiàn)這種情況的原因做了相關(guān)分析。 最后一部分，為本文的對策建議。為了證券市場的良好運行和投資者收益最大化目標(biāo)的實現(xiàn)，為了降低市場信息不對稱程度和改善流動性水平，本文基于上述的實證研究結(jié)論，提出以下幾點政策建議：規(guī)范上市公司股利政策，發(fā)揮其信號傳遞作用；通過改革稅制完善現(xiàn)金股利分配政策；發(fā)展長期投資者，減少市場投機；完善信息傳導(dǎo)機制，加強股市監(jiān)管；健全上市公司治理結(jié)構(gòu)，發(fā)揮公司內(nèi)部監(jiān)管機制等。
[Abstract]:After two decades of construction and development, China's stock market has become an important part of people's economic life and plays an important role in economic construction. However, the healthy development of China's stock market has long been plagued by high speculative and high volatility. The reason for the over-speculation in China's stock market is that the restraint and non-regulation of the dividend policy of the listed company are one of the reasons. The dividend payout of the listed company and the non-profit sharing result in the general lack of long-term investment value of the company, and the investor's income is mainly from the capital gains from the speculation. According to the latest regulations of the SFC, when applying for an IPO, the enterprise shall announce its dividend policy and list the relevant performance status as the regulatory content. To this end, the dividend policy has a normative trend in China's stock market development. The liquidity of the market is an important means to measure the quality of the stock market The good market liquidity is of great importance to improve the financing environment of the enterprise, to maintain the stability of the securities market and to protect the interests of the small and medium-sized investors The micro-structure theory of the financial market is of the view that the listed company can effectively improve the flow of its stock exchange through high-quality information disclosure The dividend policy, as the important information of the company's disclosure, will also affect the trading behavior and stock flow of the market investors before and after the announcement Sex? For this reason, foreign scholars have conducted a research on the investment portfolio and stock exchange of the investors before and after the issuance of the dividend policy on the price-driven market. The research in this area is very small, and the stock market in our country is a kind of command-driven market which is different from the driving of the quotation, which has certain special characteristics. Based on the theory of the micro-structure of the financial market and the frontier measure of the stock market liquidity, this paper, based on the theory of the micro-structure of the financial market, on the information asymmetry and the liquidity of the stock market, takes the listed companies with different dividend policies as the research samples at the present stage, and investigates the dividend policy as a kind of information of the enterprise. B. Can you transfer the future development information of the enterprise, reduce the information asymmetry, and then bring a positive image to the liquidity of the stock market In response, the contents of this paper mainly include the following parties: In the first part, the research background and significance of this paper are put forward, and the research situation at home and abroad is summarized. The point of innovation. The second part expounds the phase of the research in this paper. Based on the theory of dividend policy, information asymmetry and market liquidity, this paper makes an explanation of the related knowledge of dividend policy, information asymmetry and market liquidity, and then expounds the theoretical research and information asymmetry and market liquidity of the dividend policy and information asymmetry, respectively. The theory of dividend policy and information asymmetry is mainly the signal transmission theory, and the dividend signal hypothesis holds that the dividend has a certain effect on the stock price, which is the transfer of the enterprise information from the manager to the outside world. The information model shows that the degree of information asymmetry can be improved. The relationship between dividend policy, information asymmetry and stock liquidity of Chinese listed companies in the third part The empirical study is carried out. First, we use the reverse selection component and the effective price difference in the LSBs (1995) price difference to measure the information asymmetry, and it is the case of the dividend announcement of the listed company in the A-stock market of Shanghai. By matching t-test and Wilcoxon rank and test to the value and the effective spread before and after the announcement, it is found that the information asymmetry of the high-dividend sample group is reduced, and the low-dividend sample group is not significantly reduced, which is similar to that of China Secondly, we use the exchange rate and the non-liquidity ratio as an index to measure the liquidity. After controlling the indexes such as volume, net rate, company size, asset-liability ratio and equity concentration, we find that the degree of information asymmetry and flow In the end, we used the paired t-test and the Wilcoxon rank and the test to compare the liquidity of the liquidity on the dividend announcement before and after the dividend announcement. The liquidity of the dividend announcement was reduced, which did not meet the theoretical expectations. As a result of the analysis. The last part In order to reduce the asymmetry of market information and improve the liquidity, the following policy suggestions are put forward in order to reduce the asymmetry of market information and improve the liquidity level. The dividend policy of the listed company should play its signal transmission role; improve the cash dividend distribution policy through the reform of the tax system; develop long-term investors and reduce the market speculation; improve the information transmission mechanism and strengthen the stock market supervision; and improve the governance structure of the listed company and play the role
【學(xué)位授予單位】：山東財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F224
[Abstract]:After two decades of construction and development, China's stock market has become an important part of people's economic life and plays an important role in economic construction. However, the healthy development of China's stock market has long been plagued by high speculative and high volatility. The reason for the over-speculation in China's stock market is that the restraint and non-regulation of the dividend policy of the listed company are one of the reasons. The dividend payout of the listed company and the non-profit sharing result in the general lack of long-term investment value of the company, and the investor's income is mainly from the capital gains from the speculation. According to the latest regulations of the SFC, when applying for an IPO, the enterprise shall announce its dividend policy and list the relevant performance status as the regulatory content. To this end, the dividend policy has a normative trend in China's stock market development. The liquidity of the market is an important means to measure the quality of the stock market The good market liquidity is of great importance to improve the financing environment of the enterprise, to maintain the stability of the securities market and to protect the interests of the small and medium-sized investors The micro-structure theory of the financial market is of the view that the listed company can effectively improve the flow of its stock exchange through high-quality information disclosure The dividend policy, as the important information of the company's disclosure, will also affect the trading behavior and stock flow of the market investors before and after the announcement Sex? For this reason, foreign scholars have conducted a research on the investment portfolio and stock exchange of the investors before and after the issuance of the dividend policy on the price-driven market. The research in this area is very small, and the stock market in our country is a kind of command-driven market which is different from the driving of the quotation, which has certain special characteristics. Based on the theory of the micro-structure of the financial market and the frontier measure of the stock market liquidity, this paper, based on the theory of the micro-structure of the financial market, on the information asymmetry and the liquidity of the stock market, takes the listed companies with different dividend policies as the research samples at the present stage, and investigates the dividend policy as a kind of information of the enterprise. B. Can you transfer the future development information of the enterprise, reduce the information asymmetry, and then bring a positive image to the liquidity of the stock market In response, the contents of this paper mainly include the following parties: In the first part, the research background and significance of this paper are put forward, and the research situation at home and abroad is summarized. The point of innovation. The second part expounds the phase of the research in this paper. Based on the theory of dividend policy, information asymmetry and market liquidity, this paper makes an explanation of the related knowledge of dividend policy, information asymmetry and market liquidity, and then expounds the theoretical research and information asymmetry and market liquidity of the dividend policy and information asymmetry, respectively. The theory of dividend policy and information asymmetry is mainly the signal transmission theory, and the dividend signal hypothesis holds that the dividend has a certain effect on the stock price, which is the transfer of the enterprise information from the manager to the outside world. The information model shows that the degree of information asymmetry can be improved. The relationship between dividend policy, information asymmetry and stock liquidity of Chinese listed companies in the third part The empirical study is carried out. First, we use the reverse selection component and the effective price difference in the LSBs (1995) price difference to measure the information asymmetry, and it is the case of the dividend announcement of the listed company in the A-stock market of Shanghai. By matching t-test and Wilcoxon rank and test to the value and the effective spread before and after the announcement, it is found that the information asymmetry of the high-dividend sample group is reduced, and the low-dividend sample group is not significantly reduced, which is similar to that of China Secondly, we use the exchange rate and the non-liquidity ratio as an index to measure the liquidity. After controlling the indexes such as volume, net rate, company size, asset-liability ratio and equity concentration, we find that the degree of information asymmetry and flow In the end, we used the paired t-test and the Wilcoxon rank and the test to compare the liquidity of the liquidity on the dividend announcement before and after the dividend announcement. The liquidity of the dividend announcement was reduced, which did not meet the theoretical expectations. As a result of the analysis. The last part In order to reduce the asymmetry of market information and improve the liquidity, the following policy suggestions are put forward in order to reduce the asymmetry of market information and improve the liquidity level. The dividend policy of the listed company should play its signal transmission role; improve the cash dividend distribution policy through the reform of the tax system; develop long-term investors and reduce the market speculation; improve the information transmission mechanism and strengthen the stock market supervision; and improve the governance structure of the listed company and play the role
【學(xué)位授予單位】：山東財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F224
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