本文選題：現(xiàn)金股利　切入點：股價波動　出處：《東華大學》2014年碩士論文　論文類型：學位論文

【摘要】：從我國證券市場發(fā)展的20多年歷史來看,股價的劇烈波動一直是困擾中國股市運行的一個重要問題。現(xiàn)金股利作為股價的內(nèi)生穩(wěn)定機制,對于穩(wěn)定股價、促進資本市場的健康運行起到了較為關鍵的作用。本文從現(xiàn)金股利的角度出發(fā),分析了現(xiàn)金股利與股票價格之間的穩(wěn)定路徑,借助實證研究驗證兩者間的穩(wěn)定關系。在對數(shù)據(jù)進行初步描述性統(tǒng)計后,分別采用面板數(shù)據(jù)的固定效應模型及Fama and MacBeth (1973)兩步回歸方法,并對相關數(shù)據(jù)進行單因素方差分析及協(xié)整檢驗,最終得到以下實證結果： (1)對2002-2012年上市公司現(xiàn)金股利派發(fā)情況的分組分析,證實了連續(xù)分紅年數(shù)會對股價波動產(chǎn)生顯著影響。其中,又以連續(xù)10-11年分紅與分紅次數(shù)少于3次的公司股價波動對比最為顯著。連續(xù)10-11年分紅的公司股價波動顯著小于連續(xù)分紅次數(shù)較少的公司。因此,本文認為描述性統(tǒng)計的結果支持連續(xù)分紅的上市公司股價波動更小的結論。 (2)面板數(shù)據(jù)模型結果顯示,上市公司當年分紅情況及分紅程度會影響股價的波動。特別地,上市公司當年采用現(xiàn)金分紅的策略能顯著穩(wěn)定股價,而分紅程度的高低雖然與股價波動負相關,但效果并不顯著。此外,本文對賬面市值比、杠桿率及凈資產(chǎn)規(guī)模等指標的研究結果與理論相符。因此,根據(jù)面板數(shù)據(jù)回歸結果,本文認為當年是否分紅決定著股價的波動情況,而當年分紅程度對股價波動影響并不顯著。 (3)采用2006-2012年數(shù)據(jù)對不同股市周期下是否分紅與股價波動的單變量研究,證實了在任意股市周期下,現(xiàn)金分紅與股價波動顯著負相關,且在下降市場時期,現(xiàn)金分紅對股價波動影響更大,該比較結果在10%的顯著性水平下顯著。因此,根據(jù)Fama and MacBeth (1973)回歸結果,本文認為不同股市周期下,現(xiàn)金分紅情況對股價波動的影響不同,下降市場時期,現(xiàn)金股利分紅作用更大。 本文在對現(xiàn)金股利與股價的穩(wěn)定關系進行理論和實證研究后,結合兩者結論,提出了以下幾點建議： (1)在改善上市公司內(nèi)部分紅機制方面,要完善上市公司內(nèi)部治理機制,并加強對上市公司分紅情況的監(jiān)管。 (2)在完善半強制分紅政策方面,嘗試設立與股價掛鉤的現(xiàn)金分紅機制,并采用差別化的現(xiàn)金分紅率,同時對現(xiàn)金分紅的持續(xù)性和穩(wěn)定性制定標準。 (3)在加強股市宏觀環(huán)境建設方面,要完善價值投資的宏觀環(huán)境,并加快利率市場化建設。
[Abstract]:Judging from the more than 20 years of the development of China's securities market, the sharp fluctuation of stock prices has always been an important problem that puzzles the operation of the Chinese stock market. As an endogenous mechanism for stabilizing stock prices, cash dividends are used to stabilize stock prices. The paper analyzes the stable path between cash dividend and stock price from the perspective of cash dividend. After the preliminary descriptive statistics, the fixed effect model of panel data and the Fama and MacBeth method are used to verify the stable relationship between them. Finally, the following empirical results are obtained by univariate ANOVA and cointegration test. 1) A grouping analysis of the cash dividend distribution of listed companies from 2002 to 2012 confirms that the number of consecutive dividend years has a significant impact on stock price volatility. The volatility of the share price of the companies with dividends for 10 to 11 consecutive years is significantly lower than that of the companies with less than three consecutive dividends. Therefore, the volatility of the stock prices of companies with dividends for 10 to 11 consecutive years is significantly lower than that of companies with less consecutive dividends. This paper holds that the results of descriptive statistics support the conclusion that the stock price of listed companies with continuous dividends fluctuates less. The results of the panel data model show that the dividend situation and the degree of dividends of listed companies will affect the volatility of stock price. In particular, the cash dividend strategy of listed companies in that year can significantly stabilize the stock price. Although the degree of dividend is negatively correlated with stock price fluctuation, the effect is not significant. In addition, the research results of book market value ratio, leverage ratio and net asset scale in this paper are consistent with theory. Therefore, according to panel data regression results, This paper argues that the current year dividend determines the volatility of the stock price, but the current dividend level does not have a significant impact on the stock price volatility. (3) A univariate study of whether dividend and stock price fluctuate in different stock market cycles from 2006 to 2012 proves that cash dividend has a significant negative correlation with stock price volatility in any stock market cycle, and it is also found that in a declining market period, cash dividend is negatively correlated with stock price volatility. The effect of cash dividend on stock price fluctuation is even greater, and the comparison results are significant at the level of 10%. Therefore, according to the regression results of Fama and MacBeth (1973), this paper concludes that the effect of cash dividend on stock price fluctuation is different under different stock market cycles. In the period of market decline, cash dividends play a more important role. After the theoretical and empirical research on the stable relationship between cash dividend and stock price, this paper puts forward the following suggestions combined with the two conclusions:. 1) in improving the internal dividend mechanism of listed companies, we should perfect the internal governance mechanism of listed companies and strengthen the supervision of the dividend distribution of listed companies. 2) in the aspect of perfecting semi-compulsory dividend policy, we try to set up a cash dividend mechanism linked to stock price, and adopt differential cash dividend ratio, at the same time, we make a standard for the persistence and stability of cash dividend. In strengthening the macro environment construction of stock market, we should perfect the macro environment of value investment and accelerate the construction of interest rate marketization.
【學位授予單位】：東華大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51

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