【摘要】：我國(guó)股票市場(chǎng)成立至今已走過(guò)20余年,2005年股權(quán)分置改革的實(shí)施使得A股市場(chǎng)逐漸成熟,成為金融資源配置的重要渠道。但可以看到,我國(guó)股市的一個(gè)重要特征是板塊效應(yīng)、股價(jià)聯(lián)動(dòng)等現(xiàn)象非常顯著。所謂股價(jià)的聯(lián)動(dòng),即同一時(shí)期內(nèi)大多數(shù)股票價(jià)格齊漲共跌的現(xiàn)象。雖然股價(jià)聯(lián)動(dòng)削弱了價(jià)格作為公司價(jià)值反映的功能,但若投資者充分了解聯(lián)動(dòng)的波動(dòng)特征和形成原因,就可以避免將資產(chǎn)分配在幾類聯(lián)動(dòng)性強(qiáng)的股票上,達(dá)到分散化投資降低風(fēng)險(xiǎn)的目的。對(duì)股價(jià)聯(lián)動(dòng)性的研究,不僅有助于更好地指導(dǎo)投資者進(jìn)行投資,而且能為股票市場(chǎng)管理者和政策制定者提供有效建議,具有非常重要的現(xiàn)實(shí)指導(dǎo)意義,也因此成為近幾年金融學(xué)術(shù)界研究的熱點(diǎn)問(wèn)題。 本文正是基于以上研究目的,從股票聯(lián)動(dòng)性方面目前較少研究的地區(qū)聯(lián)動(dòng)效應(yīng)入手,以我國(guó)A股市場(chǎng)所有股票為研究對(duì)象,對(duì)我國(guó)31個(gè)省市的地區(qū)內(nèi)股票聯(lián)動(dòng)效應(yīng)以及泛長(zhǎng)三角洲四個(gè)省市之間的聯(lián)動(dòng)效應(yīng)進(jìn)行了深入研究。從結(jié)構(gòu)上來(lái)看,首先系統(tǒng)回顧了國(guó)內(nèi)外學(xué)者在市場(chǎng)聯(lián)動(dòng)、行業(yè)聯(lián)動(dòng)和地區(qū)聯(lián)動(dòng)效應(yīng)方面的研究成果,詳細(xì)闡述了股票聯(lián)動(dòng)相關(guān)理論基礎(chǔ)。然后從地區(qū)內(nèi)和地區(qū)間兩個(gè)角度分別進(jìn)行實(shí)證研究,考察地區(qū)聯(lián)動(dòng)效應(yīng)的存在性、變動(dòng)情況以及聯(lián)動(dòng)性強(qiáng)弱的影響因素。在地區(qū)內(nèi)股票聯(lián)動(dòng)效應(yīng)的研究中,剔除金融危機(jī)前后這一特殊時(shí)間段后,分金融危機(jī)前和金融危機(jī)后兩個(gè)階段對(duì)比分析了我國(guó)31個(gè)省市的地區(qū)內(nèi)股票聯(lián)動(dòng)效應(yīng)情況及變動(dòng)方向。實(shí)證結(jié)果表明除貴州之外其他30個(gè)省市均存在顯著的聯(lián)動(dòng)現(xiàn)象,并且金融危機(jī)后絕大多數(shù)省市的股票地區(qū)內(nèi)聯(lián)動(dòng)程度有所弱化。在聯(lián)動(dòng)性強(qiáng)弱影響因素的研究中,發(fā)現(xiàn)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(jī)構(gòu)持股者比例、總資產(chǎn)凈利率、公司規(guī)模等因素均與聯(lián)動(dòng)效應(yīng)強(qiáng)弱呈反向關(guān)系。在地區(qū)間股票聯(lián)動(dòng)效應(yīng)的研究中,選取泛長(zhǎng)三角洲四個(gè)省市——上海市、安徽省、浙江省和江蘇省作為研究對(duì)象,利用相關(guān)系數(shù)、Johansen協(xié)整檢驗(yàn)、Granger因果關(guān)系檢驗(yàn)等分析方法,實(shí)證結(jié)果表明安徽與浙江之間存在顯著的雙向聯(lián)動(dòng)關(guān)系,江蘇與安徽之間僅存在江蘇對(duì)安徽的單項(xiàng)聯(lián)動(dòng)關(guān)系,而其他省市之間并不存在明顯的聯(lián)動(dòng)現(xiàn)象。最后,本文對(duì)研究的結(jié)論進(jìn)行了總結(jié),并基于研究結(jié)論對(duì)我國(guó)股票投資者、監(jiān)管部門(mén)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(xué)位授予單位】：華東師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 陳夢(mèng)根;毛小元;;中國(guó)證券市場(chǎng)價(jià)格聯(lián)動(dòng)效應(yīng)的實(shí)證研究[J];財(cái)貿(mào)經(jīng)濟(jì);2007年05期

2 酈金梁;沈紅波;金沁;;地域性與股票收益的聯(lián)動(dòng)性研究[J];中國(guó)工業(yè)經(jīng)濟(jì);2009年02期

3 李曉廣;張巖貴;;我國(guó)股票市場(chǎng)與國(guó)際市場(chǎng)的聯(lián)動(dòng)性研究——對(duì)次貸危機(jī)時(shí)期樣本的分析[J];國(guó)際金融研究;2008年11期

4 范龍振,王海濤;中國(guó)股票市場(chǎng)行業(yè)與地區(qū)效應(yīng)分析[J];管理工程學(xué)報(bào);2004年01期

5 陳夢(mèng)根;曹鳳岐;;中國(guó)證券市場(chǎng)價(jià)格沖擊傳導(dǎo)效應(yīng)分析[J];管理世界;2005年10期

6 李宏宇;;股市中行業(yè)聯(lián)動(dòng)效應(yīng)的實(shí)證分析——基于CAPM的空間計(jì)量模型的應(yīng)用[J];經(jīng)濟(jì)經(jīng)緯;2010年02期

7 何誠(chéng)穎;中國(guó)股市“板塊現(xiàn)象”分析[J];經(jīng)濟(jì)研究;2001年12期

8 許年行;洪濤;吳世農(nóng);徐信忠;;信息傳遞模式、投資者心理偏差與股價(jià)“同漲同跌”現(xiàn)象[J];經(jīng)濟(jì)研究;2011年04期

9 樊綱;;中國(guó)各地區(qū)市場(chǎng)化進(jìn)展?fàn)顩r[J];經(jīng)濟(jì)縱橫;2005年11期

10 陳守東,陳雷,劉艷武;中國(guó)滬深股市收益率及波動(dòng)性相關(guān)分析[J];金融研究;2003年07期

，

本文編號(hào)：2378901