本文關(guān)鍵詞： 股價(jià)同步性 股權(quán)結(jié)構(gòu) 雙重上市 制度環(huán)境　出處：《浙江大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：股價(jià)同步性從宏觀角度來(lái)說(shuō)主要是指在某個(gè)時(shí)間段,大多數(shù)的股票同時(shí)上漲或者下跌的現(xiàn)象,從微觀角度來(lái)說(shuō)則是個(gè)股的價(jià)格走勢(shì)隨著證券市場(chǎng)的整體走勢(shì)上漲或者下跌。中國(guó)的證券市場(chǎng)長(zhǎng)期表現(xiàn)為“板塊聯(lián)動(dòng)”的高度同步,股價(jià)反映了較少的公司基本面信息,削弱了股價(jià)對(duì)公司內(nèi)在價(jià)值的甄別和反饋功能,降低了證券市場(chǎng)的有效性。中國(guó)證券市場(chǎng)的股價(jià)同步性表現(xiàn)如何,在近十年呈現(xiàn)怎樣的變化趨勢(shì)?主要的影響因素有哪些?能夠從哪些方面來(lái)改善較高的股價(jià)同步性這一現(xiàn)象?目前,國(guó)內(nèi)外對(duì)于股價(jià)同步性的研究并不多見(jiàn)。為了更好的探究股價(jià)同步性的內(nèi)涵和影響因素,本文立足于中國(guó)特殊的市場(chǎng)環(huán)境和公司治理特征,從理論和實(shí)證兩個(gè)角度探究公司層面的股權(quán)集中度,以及制度層面和投資者層面的雙重上市對(duì)股價(jià)同步性的影響,進(jìn)而分析如何從這三個(gè)層面來(lái)降低股價(jià)同步性,提高中國(guó)證券市場(chǎng)的運(yùn)行效率。 本文利用2003-2012年十年期間的中國(guó)A股上市公司非平衡面板數(shù)據(jù)作為研究樣本,探討了中國(guó)證券市場(chǎng)股價(jià)同步性的變化趨勢(shì)與影響因素,并得出了以下結(jié)論。第一,中國(guó)的股價(jià)同步性水平較高,均值在45%左右,但從整體上看,呈現(xiàn)出較為明顯的下降趨勢(shì)。股價(jià)同步性在2003年至2006年顯著降低,2007年至2008年驟然上升,而2009年至2012年又繼續(xù)回落。排除2007-2008年金融危機(jī)前后的股市驟然起落對(duì)股價(jià)同步性所造成的干擾,總的來(lái)說(shuō),十年間中國(guó)證券市場(chǎng)高股價(jià)同步性的現(xiàn)象有所改善。第二,對(duì)股價(jià)同步性的影響因素研究中發(fā)現(xiàn)：在公司治理層面,股價(jià)同步性與股權(quán)集中度間存在顯著的凹函數(shù)關(guān)系。第一大股東持股比例的系數(shù)顯著為正,其平方項(xiàng)系數(shù)顯著為負(fù)。采用第一大股東與第二三大股東持股比例之差作為股權(quán)集中度的衡量指標(biāo)時(shí),也得出相同的結(jié)論。股權(quán)制衡度與股價(jià)同步性呈現(xiàn)負(fù)相關(guān)關(guān)系,國(guó)有控股顯著的正向影響了股價(jià)同步性。在外部治理機(jī)制層面,由于雙重上市面臨著更為嚴(yán)格的信息披露制度與投資者保護(hù)機(jī)制,并且所面向的境外投資者投資能力更強(qiáng),顯著的降低了股價(jià)同步性。此外,由于香港證券市場(chǎng)更為成熟,A+H股比A+B股的同步性更低。
[Abstract]:The synchronism of stock prices from a macro perspective mainly refers to the rise or fall of most stocks at the same time in a certain period of time. From a microscopic point of view, the price trend of individual stocks goes up or down with the overall trend of the securities market. China's stock market has been characterized by a high degree of synchronization of "plate linkage" over a long period of time, and the stock price reflects less information on the fundamentals of companies. It weakens the function of stock price discrimination and feedback to the internal value of the company and reduces the effectiveness of the stock market. How does the stock price synchronize in China and what kind of trend does the stock price change in the last ten years? What are the main influencing factors? What can we do to improve the phenomenon of high stock price synchronism? At present, there are few researches on stock price synchronism at home and abroad. In order to better explore the connotation and influence factors of stock price synchronism, this paper is based on the special market environment and corporate governance characteristics in China. From both theoretical and empirical perspectives, this paper explores the impact of corporate equity concentration and dual listing at institutional and investor levels on stock price synchronization, and then analyzes how to reduce stock price synchronicity from these three levels. Improve the efficiency of China's securities market. Using the non-equilibrium panel data of China A-share listed companies from 2003-2012 as the research sample, this paper discusses the changing trend and influencing factors of stock price synchronism in China's stock market, and draws the following conclusions. China's stock price synchronism level is high, the average is about 45%, but overall, there is a more obvious downward trend. The stock price synchronism decreased significantly from 2003 to 2006, and rose sharply from 2007 to 2007. From 2009 to 2012, the stock market continued to fall back. After removing the interference caused by the sudden ups and downs of the stock market before and after the financial crisis of 2007-2008 to the synchronicity of stock prices, overall, the phenomenon of high stock price synchronism in China's securities market has improved over the past decade. Second, In the study of the influencing factors of stock price synchronicity, we find that there is a significant concave function relationship between stock price synchrony and equity concentration in corporate governance, and the coefficient of the first largest shareholder's shareholding ratio is significantly positive. The square coefficient is significantly negative. When the difference between the first largest shareholder and the 23th largest shareholder is used as a measure of equity concentration, the same conclusion is reached. At the level of external governance mechanism, the dual listing is faced with more stringent information disclosure system and investor protection mechanism, and the foreign investors are more able to invest. The stock price synchronisation has been significantly reduced. In addition, the Hong Kong stock market is more mature than A-H shares are less synchronized than A-B shares.
【學(xué)位授予單位】：浙江大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F224;F832.51;F275

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