中国证券市场价格联动效应的实证研究  

Empirical Study on Price Co-movement Effect in Chinese Securities Market

作　　者：陈梦根[1] 毛小元[2] 

机构地区：[1]天津财经大学统计学院 [2]北京大学光华管理学院

出　　处：《财贸经济》2007年第5期93-99,共7页Finance & Trade Economics

基　　金：国家自然科学基金(批准号:70503005);霍英东教育基金会第十届高等院校青年教师基金(批准号:101088);教育部人文社会科学研究项目(批准号:05JC910005);中国博士后科学基金(批准号:2005038308)的资助

摘　　要：直观上,中国证券市场中不同公司股票价格常常齐涨同跌。本文以2002—2004年间沪深两市887家上市公司为样本,对中国证券市场股价联动效应开展实证考察。从统计上看,中国证券市场股价波动中公司特质信息的影响平均占到52%左右,而公司层面与行业层面信息的影响合计占到60%左右。在样本期内,股票价格的信息含量逐年提高,中国证券市场股价联动特征呈明显的减弱趋势。进一步的实证研究表明,经营绩效好的公司一般股价信息含量较高,而且投资者在传播公司信息方面发挥了重要功能,市场交易越活跃的公司股价信息含量越高,价格联动性则越弱。相反,资产规模大、流通股本大的公司股票价格波动与市场价格走势往往越一致,股价联动效应越显著。Chinese securities market is usually characterized as a policy-oriented market. Stock prices move synchronously because of investors' herding behavior and are often far away from the companies' fundamental value. This paper investigated the stock price co-movement effect with a sample of 887 stocks listed in Shanghai Stock Exchange and Shenzhen Stock Exchange from 2002 to 2004. The statistic results show that firm-specific information accounts for about 52% of stock price variation on average, and firm-specific and industry-specific information together account for about 60%. And the degree of stock price informativeness increased significantly year by year in the sample period, while the co-movement effect weakened. Further empirical studies prove that stock prices of the companies with good performances have a high degree of informativeness. The investors played an important role in the information transmission, so the more active the stock trading is, the more informative the stock prices is. However, the stock prices of large scale companies always have more significant co-movement effect.

关 键 词：股票价格 联动效应 股价信息含量 

分 类 号：F832.51[经济管理—金融学] F224