涨跌幅限制下我国股票市场龙头股效应研究——来自上证与深圳主板市场的经验证据  

Research on the Effect of Leading Stock in China's Stock Market Under the Limit of Increase or Decrease——Empirical Evidence from the Main Markets of Shanghai and Shenzhen Stock Exchange

作　　者：张绍合 韩永辉 李汉君 ZHANG Shaohe;HAN Yonghui;LI Hanjun(School of Economics,Guangzhou College of Commerce,Guangzhou 511363,China;Guangdong Institute for International Strategies,Guangdong University of Foreign Studies,Guangzhou 510420,China;Institute of World Economics and Politics Chinese Academy of Social Sciences,Beijing 100732,China)

机构地区：[1]广州商学院经济学院,广东广州511363 [2]广东外语外贸大学广东国际战略研究院,广东广州510420 [3]中国社会科学院世界经济与政治研究所,北京100732

出　　处：《产业组织评论》2023年第4期192-211,共20页Industrial Organization Review

基　　金：国家社会科学基金重大项目“全球产业链重构对全球经济治理体系的影响及中国应对研究”(21&ZD074);国家自然科学基金项目“产业政策对参与全球价值链的影响研究:理论机制、实证识别与中国方案”(72073037);广东省自然科学基金杰出青年项目“面向全球价值链的产业政策治理研究”(2022B1515020008);广东省重点建设学科科研能力提升项目(2021ZDJS117);广州市社科项目(2022GZGJ37)

摘　　要：在涨跌幅限制下,龙头股价格走势更能影响对应市场、所属板块及个股的运行,并引发一系列交投热潮。本文以上证与深圳主板市场上5个交易日连续涨停的184家龙头股上市公司为研究样本,运用事件研究法,区分交易机会型与非交易机会型样本,实证检验我国上证与深圳主板股票市场龙头股效应。研究发现:(1)龙头股股价运行与跟随股存在正向联动效应,且有异质性,交易机会型相对于非交易机会型龙头股对跟随股的影响大,龙头股第3次涨停时与跟随股的联动效应最大;(2)龙头股股价运行对跟随股存在正向带动效应,且有异质性影响,交易机会型相对于非交易机会型龙头股对跟随股的影响更为显著;(3)在设定的时间窗口(1,5)内,不同类型龙头股与跟随股的日超额收益存在异质性;(4)基于龙头股联动效应与带动效应,构建出3种投资策略均能获得显著的日超额收益。上述结论为监管层科学监管龙头股股价运行及其影响、投资者参与龙头股与跟随股的交投提供了重要的决策依据。Under the limit of rise and fall,the price trend of the leading stock can affect the operation of the corresponding market,the sector and the stock,and trigger a series of trading boom.This article takes 184 leading stock listed companies that have continuously raised their limit on the Shenzhen main board market for 5 trading days as research samples,Using the Event study method,distinguish between trading opportunity type and non trading opportunity type samples,and empirically test the leading stock effect of Shanghai Stock Exchange and Shenzhen Main Board Stock Market in China.The results show that:(1)There is a positive linkage effect between the stock price movement of the leading stock and the following stock,and there is heterogeneity.Compared with the non-trading opportunity leading stock,the trading opportunity leading stock has a greater influence on the following stock,and the linkage effect between the leading stock and the following stock is the largest at the third trading limit.(2)The stock price operation of leading stocks has a positive driving effect on following stocks,and there is heterogeneity in the impact.Trading opportunity leading stocks have a more significant impact on following stocks compared to non trading opportunity leading stocks;(3)Within the set time window(1,5),there is heterogeneity in the daily excess returns of different types of leading stocks and following stocks;(4)Based on the linkage effect and driving effect of leading stocks,constructing three investment strategies can achieve significant daily excess returns,all of which are effective.The above conclusions provide important decision-making basis for the regulatory authorities to scientifically monitor the stock price operation and its impact of leading stocks,and for investors to participate in the trading of leading stocks and following stocks.

关 键 词：涨跌幅限制 龙头股 联动效应 带动效应 事件研究法 

分 类 号：F832.51[经济管理—金融学]