發(fā)布時間：2018-10-09 21:16

【摘要】：本文基于產(chǎn)品市場競爭原理及股票市場有效性理論,對我國股票市場目前的有效性進(jìn)行度量,并對上市公司在產(chǎn)品市場的份額與在股票市場的有效程度的相關(guān)關(guān)系進(jìn)行了研究。通過“事件法”研究發(fā)現(xiàn),我國股票市場目前尚未達(dá)到半強(qiáng)式有效；上市公司股票在在市場公開信息公布后的10天里仍出現(xiàn)異常收益率。我國上市公司股票價格具有“反應(yīng)不足”及“反應(yīng)過度”的特征。通過多元線性回歸的分析,本文得到：我國上市公司在股票市場的信息效率與在產(chǎn)品市場的份額呈正相關(guān)關(guān)系,即上市公司在產(chǎn)品市場的份額越高,其在股票市場的價格包含的信息量越大。這表明：由于市場份額較高的公司在產(chǎn)品市場中龔斷地位較高,有較大的定價權(quán),因此可以將其生產(chǎn)經(jīng)營中產(chǎn)生的風(fēng)險通過產(chǎn)品價格部分傳遞給消費者,因此公司的現(xiàn)金流和利潤波動較小,從而公司股票價格波動也較��；并且由于投資者是風(fēng)險厭惡的,具有信息的投資者更愿意投資市場份額較大的公司,信息通過交易反映到股票價格中,因此產(chǎn)品市場份額更大的公司股票價格的信息含量較高,即有效程度更高。在對樣本進(jìn)行分組的基礎(chǔ)上,本文檢驗發(fā)現(xiàn)：1)上市公司市場份額與股票價格有效程度的相關(guān)性在預(yù)告信息為“好消息”的情況下更為顯著；2)2004年啟動的股權(quán)分置改革顯著地提高了我國股票市場的有效程度,也提高了兩者的相關(guān)性；3)在高寡頭壟斷、低寡頭壟斷和競爭性行業(yè)中,上市公司市場份額與股票價格有效程度均呈顯著的正相關(guān)關(guān)系,且在高寡頭壟斷行業(yè)中兩者的顯著性最強(qiáng),在競爭性行業(yè)中兩者的顯著性最弱。分組回歸的結(jié)果表明本文實證結(jié)果具有穩(wěn)定性。
[Abstract]:Based on the principle of product market competition and the theory of stock market effectiveness, this paper measures the current efficiency of Chinese stock market, and studies the correlation between the market share of listed companies in the product market and the degree of effectiveness in the stock market. Through the study of "event method", it is found that the stock market in our country has not reached semi-strong efficiency at present, and that the stock of listed company still appears abnormal return rate in 10 days after the public information is published in the market. The stock price of listed companies in China is characterized by underreaction and overreaction. Through the analysis of multiple linear regression, this paper concludes that the information efficiency of Chinese listed companies in the stock market is positively correlated with the share of the product market, that is, the higher the share of the listed company in the product market, the higher the market share of the listed company in the product market. Its price in the stock market contains more information. This indicates that because the company with higher market share has a higher position in the product market and has a larger pricing power, the risk arising from its production and operation can be transferred to the consumer through the product price part. As a result, the company's cash flow and profits fluctuate less, thus the company's stock price fluctuates less, and because investors are risk-averse, investors with information are more willing to invest in companies with larger market share, The information is reflected in the stock price through the transaction, so the information content of the stock price of the company with more market share is higher, that is, the effective degree is higher. On the basis of grouping the samples, we find that the correlation between the market share of the listed company and the effective degree of the stock price is more significant when the forecast information is "good news". 2) the reform of split share structure launched in 2004 has significantly improved the efficiency and correlation of the stock market in China. 3) in the high oligopoly, low oligopoly and competitive industries, There is a significant positive correlation between the market share of listed companies and the effective degree of stock price, which is the strongest in the high oligopoly industry and the weakest in the competitive industry. The results of grouping regression show that the empirical results in this paper are stable.
【學(xué)位授予單位】：南京大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F274;F832.51;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 林玲,曾勇,唐小我;收益公布效應(yīng)的實證研究[J];管理科學(xué)學(xué)報;2001年03期

2 俞喬;市場有效、周期異常與股價波動——對上海、深圳股票市場的實證分析[J];經(jīng)濟(jì)研究;1994年09期

3 張兵,李曉明;中國股票市場的漸進(jìn)有效性研究[J];經(jīng)濟(jì)研究;2003年01期

4 劉志彪,姜付秀,盧二坡;資本結(jié)構(gòu)與產(chǎn)品市場競爭強(qiáng)度[J];經(jīng)濟(jì)研究;2003年07期

5 張亦春,周穎剛;中國股市弱式有效嗎?[J];金融研究;2001年03期

6 黃張凱;趙龍凱;祖國鵬;;限售股解禁的價格效應(yīng)研究[J];金融研究;2010年09期

7 沈藝峰;會計信息披露和我國股票市場半強(qiáng)式有效性的實證分析[J];會計研究;1996年01期

8 陳小悅;陳曉;顧斌;;中國股市弱型效率的實證研究[J];會計研究;1997年09期

9 周宏;上海證券市場年報公布的市場效應(yīng)研究[J];會計研究;2004年07期

10 吳世農(nóng),黃志功;上市公司盈利信息報告、股價變動與股市效率的實證研究[J];會計研究;1997年04期

，

本文編號：2260821