本文關(guān)鍵詞：中國(guó)滬市股價(jià)信息含量的影響因素研究　出處：《重慶大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 股價(jià)信息含量 獨(dú)立董事 價(jià)格聯(lián)動(dòng) 交叉上市

【摘要】：股價(jià)信息含量是股價(jià)中包含的公司特質(zhì)信息量的大小，是股票價(jià)格波動(dòng)過(guò)程中不受市場(chǎng)層面和行業(yè)層面信息影響（系統(tǒng)性信息）而僅僅由公司層面信息解釋的那部分信息的比重。股價(jià)中包含的公司特質(zhì)信息量越多，則股價(jià)越接近于企業(yè)的實(shí)際價(jià)值，越能有效地引導(dǎo)市場(chǎng)資源實(shí)現(xiàn)優(yōu)化配置，股價(jià)信息含量是衡量一個(gè)國(guó)家資本市場(chǎng)運(yùn)行效率的重要標(biāo)志。 為此，眾多學(xué)者開(kāi)始研究股價(jià)信息含量的影響因素。大量學(xué)者從宏觀制度層面對(duì)股價(jià)信息含量的影響因素進(jìn)行實(shí)證分析，而對(duì)微觀層面影響因素的研究卻較少，即從公司內(nèi)部治理機(jī)制的角度來(lái)研究股價(jià)信息含量的文獻(xiàn)相對(duì)較少，就一國(guó)證券市場(chǎng)內(nèi)部而言，是微觀層面因素決定了股價(jià)信息含量的高低。因此，本文在已有文獻(xiàn)研究的基礎(chǔ)上，立足于中國(guó)特有的市場(chǎng)環(huán)境、公司特質(zhì)和制度背景，從公司內(nèi)部治理機(jī)制的角度考察股價(jià)信息含量的影響因素，以期為轉(zhuǎn)軌經(jīng)濟(jì)中的中國(guó)證券市場(chǎng)制度改革提供經(jīng)驗(yàn)證據(jù)和理論支持。 本文以中國(guó)滬市A股上市公司為樣本，以Roll提出的股價(jià)波動(dòng)非同步性指標(biāo)1-R~2為檢驗(yàn)指標(biāo)，從獨(dú)立董事比例、國(guó)有股比例、年度內(nèi)董事會(huì)會(huì)議次數(shù)與交叉上市這四個(gè)方面來(lái)研究股價(jià)信息含量的影響因素。 本文得到如下結(jié)論： 第一，中國(guó)滬市A股上市公司股價(jià)波動(dòng)中公司基本面信息所解釋的比例平均為32.66%左右，與成熟的證券市場(chǎng)相比，中國(guó)上市公司股價(jià)信息含量指標(biāo)的數(shù)值還比較低，中國(guó)資本市場(chǎng)的股價(jià)聯(lián)動(dòng)效應(yīng)還是非常顯著的。從股價(jià)信息含量的變化趨勢(shì)看，除2008年外，股價(jià)信息含量逐年提高，市場(chǎng)整體聯(lián)動(dòng)性在不斷減弱。 第二，國(guó)有股比例較高的上市公司其股價(jià)信息含量較低，股價(jià)波動(dòng)同步性較強(qiáng)，即國(guó)有股比例對(duì)股價(jià)信息含量具有顯著的負(fù)向影響，因此，，股權(quán)結(jié)構(gòu)的改善有利于提高上市公司的股價(jià)信息含量。 第三，獨(dú)立董事比例對(duì)股價(jià)信息含量有顯著影響，獨(dú)立董事比例的提高有助于提升股票價(jià)格中包含的公司特質(zhì)信息。獨(dú)立董事比例越高的公司，其股價(jià)與市場(chǎng)波動(dòng)的同步性越低，股價(jià)信息含量越高。 第四，交叉上市的公司其股價(jià)與市場(chǎng)同步性較低。發(fā)行B股或H股都會(huì)對(duì)股價(jià)信息含量產(chǎn)生正向影響，但交叉上市對(duì)股價(jià)信息含量的影響雖然顯著，但影響力度并不是很強(qiáng)。
[Abstract]:The stock price information content is the size of the company trait information contained in the stock price. It is the proportion of stock price fluctuation which is not affected by market level and industry level information (systematic information) but only explained by firm level information. The more information of company characteristics is contained in stock price. The more close the stock price is to the actual value of the enterprise, the more effectively it can guide the market resources to realize the optimal allocation. The information content of the stock price is an important symbol to measure the efficiency of a country's capital market. For this reason, many scholars began to study the factors that affect the information content of stock price. A large number of scholars empirically analyzed the factors affecting the information content of stock price from the macro institutional level. However, there are few researches on the influence factors of micro-level, that is, there are relatively few documents to study the information content of stock price from the angle of corporate internal governance mechanism, as far as the internal stock market of a country is concerned. It is the microcosmic factors that determine the information content of stock price. Therefore, based on the existing literature, this paper is based on the unique market environment, company characteristics and institutional background in China. In order to provide empirical evidence and theoretical support for the reform of China's securities market system in the transitional economy, this paper examines the factors affecting the information content of stock price from the perspective of the internal governance mechanism of the company. This paper takes the A-share listed companies in Shanghai Stock Exchange as the sample, taking the non-synchronous index of stock price fluctuation proposed by Roll as the test index, from the proportion of independent directors to the proportion of state-owned shares. This paper studies the influencing factors of information content of stock price from four aspects: the number of board meetings and cross-listing. This paper draws the following conclusions: First, the proportion explained by the fundamental information in the stock price fluctuation of A-share listed companies in Shanghai Stock Exchange is about 32.66% on average, compared with the mature stock market. The price information content index of listed companies in China is still low, and the stock price linkage effect of Chinese capital market is still very significant. From the trend of information content of stock price, except 2008. The share price information content increases year by year, the market overall linkage is unceasingly weakens. Second, the listed companies with high proportion of state-owned shares have low information content of stock price and strong synchronism of stock price fluctuation, that is, the proportion of state-owned shares has a significant negative impact on the information content of stock price, so. The improvement of stock structure is helpful to increase the information content of stock price of listed company. Third, the proportion of independent directors has a significant impact on the information content of stock prices. The increase of the proportion of independent directors helps to improve the company characteristics information contained in the stock price. The higher the proportion of independent directors is, the higher the proportion of independent directors is. The lower the synchronism between the stock price and the market fluctuation, the higher the information content of the stock price. In 4th, the stock price of cross-listed companies is low synchronism with the market. Issuing B shares or H shares will have a positive impact on the information content of stock price, but the cross-listing has a significant impact on the information content of stock price. But the impact is not very strong.
【學(xué)位授予單位】：重慶大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

【引證文獻(xiàn)】

相關(guān)博士學(xué)位論文 前1條

1 侯永建;股票市場(chǎng)的信息生產(chǎn)及其對(duì)公司投資的影響[D];復(fù)旦大學(xué);2006年

本文編號(hào)：1375351