本文選題：股市波動　切入點(diǎn)：股市開放　出處：《暨南大學(xué)》2014年博士論文

【摘要】：在2006年后，包括境外機(jī)構(gòu)投資者在內(nèi)的外資持有上市公司股票已成為中國股市上一道引人注目的風(fēng)景。引入境外投資者已被管理當(dāng)局視為提升中小股東保護(hù)水平和降低公司風(fēng)險(xiǎn)的重要措施。盡管中國的股市的對外開放程度有限，但是境外投資者已經(jīng)通過各種渠道進(jìn)入中國股市并持有不同額度的股份，因此外資對中國股市波動的影響已實(shí)際發(fā)生。 本文通過兩種途徑分析外資如何間接影響中國股市波動。第一種途徑是市場路徑。外資在市場交易過程中對股市信息效率的影響，，會間接影響到股市波動。外資的市場交易行為包括外資在二級市場的買賣和外資并購上市公司行為。第二種途徑是公司路徑。當(dāng)外資持有一定額度的上市公司股份，就可能會參與公司治理，提高公司價值進(jìn)而影響到股市波動。本文首先從理論上論述了外資交易和外資大股東公司治理行為對股價波動的影響機(jī)理。接著，本文利用課題組手工收集得到的外資數(shù)據(jù)對外資影響中國股市波動的兩個途徑進(jìn)行實(shí)證分析，得出了如下的結(jié)論：第一，只有直接外資的凈買入行為才能降低個股的波動，而不管是直接外資還是間接外資的凈賣出行為都增加了個股的波動；直接外資的買入行為降低個股波動僅限于規(guī)模較大的上市公司或同時在國內(nèi)和國外上市公司樣本。第二，直接外資的市場交易行為影響個股波動是由于外資能夠?qū)@取的信息加工后傳遞到股市。直接外資僅在規(guī)模較大或同時在國內(nèi)和國外上市的公司樣本中提高了市場信息傳遞效率。間接外資的市場交易行為并不影響市場信息傳遞效率。第三，從外資并購方式的角度分析，外資以協(xié)議轉(zhuǎn)讓方式的并購行為在降低公司的betas風(fēng)險(xiǎn)的同時，增加了股市波動。而通過間接并購和定向增發(fā)方式完成外資并購行為并不會顯著影響股價波動。第四，從外資并購的目的角度分析，可以得出以控股為目的完成外資并購行為顯著增加了股價波動，而外資并非以控股為目的并購行為將不會影響股價波動。第五，當(dāng)外資大股東降低公司的市場價值時必將導(dǎo)致股價波動率的增加。不管外資大股東是否降低公司的市場價值，外資大股東公司治理對該股股價波動影響取決于市場對外資大股東治理對資產(chǎn)收益率影響的預(yù)期值和預(yù)期波動、外資大股東的風(fēng)險(xiǎn)厭惡程度以及市場對外資大股東治理成本的估計(jì)之間的函數(shù)關(guān)系。第六，在一定的直接持股比例范圍內(nèi)，外資大股東能夠有效降低公司股價波動，但過低或過高的直接持股比例都會使這種公司治理效應(yīng)消失。外資大股東間接持股并不影響公司股價波動。 因此，中國股市要繼續(xù)堅(jiān)持開放的路徑，要堅(jiān)持引入高質(zhì)量的外國投資者。引入外資大股東特別是直接持股大股東的公司數(shù)量仍較少，應(yīng)適當(dāng)加大上市公司引入直接境外大股東的工作力度。要提高公司的信息披露質(zhì)量，引導(dǎo)投資者進(jìn)行價值投資。改善我國股市的市場環(huán)境，充分發(fā)揮外國投資者豐富的投資經(jīng)驗(yàn)和信息加工能力。在外資引入中既要放開步伐大量引進(jìn)，但同時要加強(qiáng)對其的監(jiān)控，打擊和預(yù)防外國投資者的短期投機(jī)性炒作、價格操縱和內(nèi)幕交易等投機(jī)行為。
[Abstract]:In 2006, including foreign institutional investors, foreign holdings of shares of listed companies has become a remarkable landscape Chinese on the stock market. The introduction of foreign investors has been regarded as an important management measures to enhance the level of protection of minority shareholders and reduce company risk. Although the openness of China's stock market is limited, but foreign investors have been through a variety of channels to enter the stock market and Chinese hold different amount of shares, so the effect of foreign investment on the stock market volatility China has actually occurred.
This paper analysis how to indirectly affect the stock market volatility of foreign Chinese through two ways. The first way is the market path. Impact of foreign investment on the stock market information efficiency in the process of market transaction, will indirectly affect the stock market volatility. The market trading behavior of foreign investment including foreign investment in two secondary market trading and foreign mergers and acquisitions of Listed Companies in second ways. Is the company's path. When foreign capital holds a certain amount of shares of listed companies may participate in corporate governance, improve corporate value and affect the volatility of the stock market. This paper discusses the mechanism of governance of foreign trading and foreign shareholder influence on the stock price volatility. Then, the research group collected foreign manual data on the effects of foreign capital in two ways Chinese stock market volatility by empirical analysis, the conclusions are as follows: first, only the net foreign direct investment Buying behavior can reduce the volatility of individual stocks, and whether it is direct or indirect selling net foreign investment have increased the volatility of individual stocks; buying behavior of foreign direct investment to reduce the stock only larger companies or both in domestic and foreign listed companies like this. Second, direct foreign market transactions effect of stock volatility is due to information processing can be obtained after the transfer of foreign direct investment to the stock market. Only improve market information transmission efficiency in large scale or listing in both domestic and foreign companies in the sample. The market transaction behavior of indirect foreign investment does not affect the information transfer efficiency of the market. Third, from the Perspective of foreign mergers and acquisitions by way of the transfer agreement, mergers and acquisitions of foreign investment in the company's betas to reduce the risk at the same time, increase the volatility of stock market. Through the indirect acquisition and placement Complete foreign capital merger behavior does not significantly affect the stock price volatility. Fourth, from the analysis of foreign mergers and acquisitions to angle can be obtained by controlling for the purpose of complete foreign capital merger behavior significantly increased the volatility of stock price, but not for the purpose of holding foreign mergers and acquisitions will not affect the stock price volatility. Fifth, when foreign large shareholders to reduce the company's market the value will lead to increased volatility. No matter foreign shareholder is to reduce the market value of the company, the major shareholder of the company depends on the impact of foreign investment on the stock price fluctuations in the governance of foreign capital market of large shareholder governance rate impact on asset returns expected value and expected volatility function between foreign shareholders and market risk aversion foreign shareholder governance cost estimation. In sixth, the direct holding proportion of a certain range, the foreign shareholders can effectively reduce the public The company's stock price fluctuates, but too low or too high direct shareholding ratio will make this kind of corporate governance effect disappear. The indirect shareholding of large foreign shareholders will not affect the company's stock price volatility.
Therefore, the stock market will continue to adhere to the path of China open to foreign investors, adhere to the introduction of high quality. The introduction of foreign shareholders especially the number of direct shareholding of the company is still less, should be appropriate to increase the introduction of direct overseas listed company shareholders' efforts to improve the quality of information disclosure of the company, investors guide the value of the investment. The improvement of China's stock market environment, give full play to the role of foreign investors rich investment experience and information processing ability. In the introduction of foreign capital is to let go of the pace of the introduction of a large number, but at the same time to strengthen the monitoring of the short-term speculative attack and prevent foreign investors speculation, speculation, price manipulation and insider trading.

【學(xué)位授予單位】：暨南大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2014
【分類號】：F832.51

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 唐國瓊,鄒虹;上市公司現(xiàn)金股利政策影響因素的實(shí)證研究[J];財(cái)經(jīng)科學(xué);2005年02期

2 董彥嶺;張繼華;吳立振;;國有商業(yè)銀行引進(jìn)戰(zhàn)略投資者的偏失及矯正思路[J];財(cái)經(jīng)科學(xué);2008年02期

3 石建勛;吳平;;滬深股市與香港股市一體化趨勢的實(shí)證研究[J];財(cái)經(jīng)問題研究;2008年09期

4 占碩;我國銀行業(yè)引進(jìn)戰(zhàn)略投資者風(fēng)險(xiǎn)研究——控制權(quán)租金引發(fā)的股權(quán)轉(zhuǎn)移和效率損失[J];財(cái)經(jīng)研究;2005年01期

5 占碩;引進(jìn)外資戰(zhàn)略投資者就能推動國有商業(yè)銀行改革嗎?——兼與田國強(qiáng)、王一江兩位老師商榷[J];金融論壇;2005年08期

6 周縣華;范慶泉;;外資持股、股利支付與股利政策動態(tài)調(diào)整——基于Rebprobit與Regoprobit模型的實(shí)證研究[J];財(cái)政研究;2012年05期

7 駱振心;;金融開放、股權(quán)分置改革與股票市場聯(lián)動——基于上證指數(shù)與世界主要股指關(guān)系的實(shí)證研究[J];當(dāng)代財(cái)經(jīng);2008年04期

8 李曉廣;張巖貴;;我國股票市場與國際市場的聯(lián)動性研究——對次貸危機(jī)時期樣本的分析[J];國際金融研究;2008年11期

9 陳瑋;;中美股票市場聯(lián)動關(guān)系研究[J];管理觀察;2008年23期

10 “促進(jìn)跨國公司對華投資政策”課題組,江小涓,王子先,嚴(yán)啟發(fā),陳霖,王迎新,徐凌,荊林波,潘悅;跨國公司在華并購?fù)顿Y:意義、趨勢及應(yīng)對戰(zhàn)略[J];管理世界;2001年03期

本文編號：1725932