【摘要】：我國股票市場成立至今已走過20余年,2005年股權分置改革的實施使得A股市場逐漸成熟,成為金融資源配置的重要渠道。但可以看到,我國股市的一個重要特征是板塊效應、股價聯動等現象非常顯著。所謂股價的聯動,即同一時期內大多數股票價格齊漲共跌的現象。雖然股價聯動削弱了價格作為公司價值反映的功能,但若投資者充分了解聯動的波動特征和形成原因,就可以避免將資產分配在幾類聯動性強的股票上,達到分散化投資降低風險的目的。對股價聯動性的研究,不僅有助于更好地指導投資者進行投資,而且能為股票市場管理者和政策制定者提供有效建議,具有非常重要的現實指導意義,也因此成為近幾年金融學術界研究的熱點問題。 本文正是基于以上研究目的,從股票聯動性方面目前較少研究的地區(qū)聯動效應入手,以我國A股市場所有股票為研究對象,對我國31個省市的地區(qū)內股票聯動效應以及泛長三角洲四個省市之間的聯動效應進行了深入研究。從結構上來看,首先系統(tǒng)回顧了國內外學者在市場聯動、行業(yè)聯動和地區(qū)聯動效應方面的研究成果,詳細闡述了股票聯動相關理論基礎。然后從地區(qū)內和地區(qū)間兩個角度分別進行實證研究,考察地區(qū)聯動效應的存在性、變動情況以及聯動性強弱的影響因素。在地區(qū)內股票聯動效應的研究中,剔除金融危機前后這一特殊時間段后,分金融危機前和金融危機后兩個階段對比分析了我國31個省市的地區(qū)內股票聯動效應情況及變動方向。實證結果表明除貴州之外其他30個省市均存在顯著的聯動現象,并且金融危機后絕大多數省市的股票地區(qū)內聯動程度有所弱化。在聯動性強弱影響因素的研究中,發(fā)現地區(qū)人均GDP、地區(qū)資本化程度以及地區(qū)公司層面的機構持股者比例、總資產凈利率、公司規(guī)模等因素均與聯動效應強弱呈反向關系。在地區(qū)間股票聯動效應的研究中,選取泛長三角洲四個省市——上海市、安徽省、浙江省和江蘇省作為研究對象,利用相關系數、Johansen協整檢驗、Granger因果關系檢驗等分析方法,實證結果表明安徽與浙江之間存在顯著的雙向聯動關系,江蘇與安徽之間僅存在江蘇對安徽的單項聯動關系,而其他省市之間并不存在明顯的聯動現象。最后,本文對研究的結論進行了總結,并基于研究結論對我國股票投資者、監(jiān)管部門以及政策制定者提出了一些可借鑒的建議。
[Abstract]:The stock market in China has been established for more than 20 years. The implementation of the split share structure reform in 2005 made the A-share market mature gradually and became an important channel for the allocation of financial resources. But we can see that one of the important characteristics of China's stock market is the plate effect, stock price linkage and other phenomena are very significant. So-called stock price linkage, namely the phenomenon that most stock prices rise and fall in the same period. Although stock price linkage weakens the function of price as a reflection of company value, if investors fully understand the volatility characteristics of linkage and the reasons for its formation, they can avoid allocating assets to several kinds of stocks with strong linkage. To achieve the goal of diversification investment to reduce risk. The research on stock price linkage is not only helpful to guide investors to invest, but also can provide effective advice to stock market managers and policy makers. As a result, it has become a hot issue in financial academia in recent years. Based on the above research purpose, this paper starts with the regional linkage effect, which is seldom studied at present, and takes all the stocks in China's A-share market as the research object. The stock linkage effect in 31 provinces and cities in China and the linkage effect among four provinces and cities in Pan Yangtze River Delta are studied. From the point of view of structure, this paper systematically reviews the research achievements of domestic and foreign scholars on market linkage, industry linkage and regional linkage effect, and elaborates the theoretical basis of stock linkage. Then the empirical study is carried out from the two angles of intraregional and inter-regional to investigate the existence of the regional linkage effect, the change situation and the influencing factors of the strength and weakness of the linkage. After excluding the special period before and after the financial crisis, the paper contrasts and analyzes the stock linkage effect and its changing direction in 31 provinces and cities in China before and after the financial crisis. The empirical results show that there is a significant linkage in 30 provinces except Guizhou, and the degree of linkage is weakened in most provinces and cities after the financial crisis. In the study of the influencing factors of linkage strength and weakness, it is found that the degree of regional capitalization per capita GDP, the proportion of institutional shareholders at the regional corporate level, the net interest rate of total assets and the size of the company are all inversely related to the strength of the linkage effect. In the study of interregional stock linkage effect, four provinces and cities of Pan-Yangtze River Delta, Shanghai, Anhui, Zhejiang and Jiangsu Province were selected as the research objects, using correlation coefficient, Johansen cointegration test, Granger causality test and other analytical methods. The empirical results show that there is a significant two-way linkage relationship between Anhui and Zhejiang, only Jiangsu and Anhui have a single linkage to Anhui, while there is no obvious linkage between other provinces and cities. Finally, this paper summarizes the conclusions of the study, and based on the conclusions of the research on China's stock investors, regulatory authorities and policy makers put forward some suggestions for reference.
【學位授予單位】：華東師范大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51;F224

【參考文獻】

相關期刊論文 前10條

1 陳夢根;毛小元;;中國證券市場價格聯動效應的實證研究[J];財貿經濟;2007年05期

2 酈金梁;沈紅波;金沁;;地域性與股票收益的聯動性研究[J];中國工業(yè)經濟;2009年02期

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

4 范龍振,王海濤;中國股票市場行業(yè)與地區(qū)效應分析[J];管理工程學報;2004年01期

5 陳夢根;曹鳳岐;;中國證券市場價格沖擊傳導效應分析[J];管理世界;2005年10期

6 李宏宇;;股市中行業(yè)聯動效應的實證分析——基于CAPM的空間計量模型的應用[J];經濟經緯;2010年02期

7 何誠穎;中國股市“板塊現象”分析[J];經濟研究;2001年12期

8 許年行;洪濤;吳世農;徐信忠;;信息傳遞模式、投資者心理偏差與股價“同漲同跌”現象[J];經濟研究;2011年04期

9 樊綱;;中國各地區(qū)市場化進展狀況[J];經濟縱橫;2005年11期

10 陳守東,陳雷,劉艷武;中國滬深股市收益率及波動性相關分析[J];金融研究;2003年07期

，

本文編號：2378901