發(fā)布時間：2018-03-07 01:27

  本文選題：股東聯(lián)結(jié)網(wǎng)絡(luò)　切入點：聯(lián)動　出處：《西南交通大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：股票價格相關(guān)性對于風(fēng)險管理、投資決策具有重要影響。對于股價相關(guān)性的研究,現(xiàn)代金融理論主要基于經(jīng)濟(jì)基本面進(jìn)行解釋,即認(rèn)為股價變動的相關(guān)性來源于影響資產(chǎn)現(xiàn)金流和影響資產(chǎn)折現(xiàn)率的基本面因素。已有研究表明,證券間相關(guān)程度遠(yuǎn)超出了經(jīng)濟(jì)基本面因素的影響,這種過度聯(lián)動對金融理論與實踐具有重要影響而受到廣泛關(guān)注。現(xiàn)有研究認(rèn)為機(jī)構(gòu)投資者的市場分割是導(dǎo)致過度聯(lián)動的重要因素,但市場分割如何導(dǎo)致過度聯(lián)動的微觀機(jī)制尚缺乏足夠的認(rèn)識。 本文從信息擴(kuò)散和關(guān)聯(lián)交易角度討論投資者對股價聯(lián)動的影響,認(rèn)為信息擴(kuò)散和關(guān)聯(lián)交易是股價過度聯(lián)動現(xiàn)象的內(nèi)在因素。不同股票具有相同大股東這一關(guān)系而使股票間互相聯(lián)結(jié)而形成股票網(wǎng)絡(luò),大股東聯(lián)結(jié)的股票網(wǎng)絡(luò)一方面反映了大股東信息擴(kuò)散路徑,另一方面也反映了大股東在組合投資中進(jìn)行股票配置的關(guān)聯(lián)交易關(guān)系。這種由于投資者關(guān)系而形成特定信息擴(kuò)散路徑和關(guān)聯(lián)交易將導(dǎo)致股票間的過度聯(lián)動。 本文以2008年度、2009年度以及2010年度滬深300樣本股相關(guān)數(shù)據(jù)進(jìn)行實證分析。采用股票相關(guān)系數(shù)矩陣表達(dá)股票聯(lián)動,將聯(lián)動關(guān)系研究從個體間直接關(guān)系拓展到群體網(wǎng)絡(luò)路徑關(guān)系層面。以股票相關(guān)系數(shù)矩陣為因變量,以股東聯(lián)結(jié)關(guān)系矩陣、股票行業(yè)關(guān)系矩陣、規(guī)模差異矩陣、價格差異矩陣、市盈率相似性矩陣等為解釋變量,構(gòu)建了一個股票群體網(wǎng)絡(luò)聯(lián)動關(guān)系矩陣的解釋模型,著重考察股東聯(lián)結(jié)關(guān)系矩陣對股票聯(lián)動的影響。為了進(jìn)一步考察網(wǎng)絡(luò)位置對股票聯(lián)動影響力的影響,以某股票與其它股票的平均相關(guān)系數(shù)為因變量,股票網(wǎng)絡(luò)中心度、公司規(guī)模、價格、每股收益以及市盈率為解釋變量的線性模型,討論不同網(wǎng)絡(luò)位置個股的市場影響力。另一方面,本文對股東聯(lián)結(jié)股票網(wǎng)絡(luò)進(jìn)行了中心性和核心-邊緣等網(wǎng)絡(luò)特征分析。 實證結(jié)果表明：股東聯(lián)結(jié)網(wǎng)絡(luò)對股價聯(lián)動關(guān)系有顯著正向影響,股票間的股東聯(lián)結(jié)越強(qiáng),則股票間的相關(guān)系數(shù)越大,股東聯(lián)結(jié)網(wǎng)絡(luò)反映了股票間關(guān)聯(lián)交易聯(lián)結(jié)和信息擴(kuò)散路徑而影響股價聯(lián)動關(guān)系,同時行業(yè)、公司規(guī)模和市盈率特征也是股價聯(lián)動關(guān)系的影響因素,同行業(yè)、公司規(guī)模和市盈率特征越相似的公司,其股價聯(lián)動越緊密。進(jìn)一步,越處于股東聯(lián)結(jié)網(wǎng)絡(luò)中心位置、價格越低和每股收益越高的股票,其股價走勢對其他股票股價走勢的影響更大。此外,通過中心性等網(wǎng)絡(luò)特征分析,發(fā)現(xiàn)我國股票市場中,滬市股票在滬深300股指的影響力大于深市股票,在其中發(fā)揮著更加重要的作用。 實證結(jié)果不僅驗證了股東聯(lián)結(jié)網(wǎng)絡(luò)的股價聯(lián)動效應(yīng),也證實了個股由于網(wǎng)絡(luò)位置差異將導(dǎo)致其在股價聯(lián)動中具有不同的主導(dǎo)地位。實證結(jié)果為股價聯(lián)動的信息擴(kuò)散路徑和關(guān)聯(lián)交易觀點提供了支持,并意味著投資者組合配置內(nèi)生性影響股票市場的聯(lián)動關(guān)系結(jié)構(gòu)。
[Abstract]:Stock price correlation plays an important role in risk management and investment decision. That is to say, the correlation of stock price movements is derived from the fundamental factors that affect the cash flow of assets and the discount rate of assets. Previous studies have shown that the degree of correlation between securities far exceeds the influence of economic fundamentals. This kind of excessive linkage has an important impact on financial theory and practice and has attracted wide attention. Existing studies believe that market segmentation of institutional investors is an important factor leading to excessive linkage. However, there is still a lack of understanding of the micro mechanism of how market segmentation leads to excessive linkage. This paper discusses the influence of investors on stock price linkage from the perspective of information diffusion and related party transactions. It is considered that information diffusion and related party transaction are the intrinsic factors of excessive linkage of stock price. Different stocks have the same relationship with large shareholders, which makes the stock connect with each other and form a stock network. On the one hand, the stock network connected by large shareholders reflects the information diffusion path of large shareholders. On the other hand, it also reflects the affiliated transaction relationship in which large shareholders allocate stocks in portfolio investment, which forms a specific information diffusion path due to investor relationship and leads to excessive linkage between stocks. Based on the data of Shanghai and Shenzhen 300 sample stocks in 2008 and 2010, this paper uses the stock correlation coefficient matrix to express the stock linkage. The research of linkage relation is extended from the direct relationship between individuals to the level of group network path relationship. Taking the stock correlation coefficient matrix as dependent variable, the stockholder connection matrix, the stock industry relation matrix, the scale difference matrix, the price difference matrix. The similarity matrix of price-earnings ratio is an explanatory variable, and an explanatory model of linkage relation matrix of stock group network is constructed. In order to further investigate the influence of network location on stock linkage, the average correlation coefficient between a stock and other stocks is taken as a dependent variable, and the center degree of stock network is taken as a dependent variable. The linear model of company size, price, earnings per share and price-earnings ratio as explanatory variables discusses the market influence of individual stocks in different network locations, on the other hand, This paper analyzes the characteristics of stockholder-connected stock network, such as centrality and core-edge. The empirical results show that: the stockholder linkage network has a significant positive impact on the stock price linkage, the stronger the shareholder connection between stocks, the greater the correlation coefficient between stocks. The connection network of shareholders reflects the linkage between stocks and information diffusion, which affects the linkage of stock price. At the same time, the characteristics of industry, company size and price-earnings ratio are also the influencing factors of the linkage of stock price. The more similar the size of the company to the price-earnings ratio, the more closely the stock price is linked. Further, the more in the center of the shareholder network, the lower the price and the higher the earnings per share. In addition, through the analysis of network characteristics such as centrality, it is found that the Shanghai stock market has more influence on the Shanghai and Shenzhen 300 stock indexes than on the Shenzhen stock market. In which to play a more important role. The empirical results not only verify the stock price linkage effect, It is also proved that individual stock has different dominant position in stock price linkage due to the difference of network location. The empirical results support the information diffusion path of stock price linkage and the viewpoint of related party transaction. It also means that the allocation of investor portfolio endogenously influences the linkage structure of the stock market.
【學(xué)位授予單位】：西南交通大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51;F224

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相關(guān)期刊論文 前1條

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本文編號：1577366