商业银行治理与股价波动关系的实证研究  

Empirical Study on the Relationship between Governance of Commercial Banks and Their Stock Price Volatility

作　　者：张湄[1] 孔爱国[1] 

机构地区：[1]复旦大学财务金融系,上海200433

出　　处：《复旦学报（社会科学版）》2010年第5期101-108,共8页Fudan Journal（Social Sciences）

摘　　要：商业银行的治理难以观察,但是其股价的波动性与其内部治理的效果之间存在关联,内部治理越好,股价的非系统性波动越大,这样就可以直接利用交易数据来观察银行的内部治理。本文利用沪深两市上市的14家商业银行在2005—2008年间的半年度面板数据进行研究,发现银行股价的非系统性波动与银行的股权结构存在关联。第一大股东的持股比例与股价的非系统性波动呈"U"形关系;第2—10大股东中持有股份等于或超过5%的股东持股比例增大能促进股价非系统性波动的提高;银行股价的非系统性波动与银行的存贷比具有显著的负相关关系,这也反映出银行内部治理的效果。The effectiveness of corporate governance of commercial banks is not readily observable.Based on the documented positive relationship between stock price idiosyncratic volatility and governance effectiveness,we conduct an analysis using the data of stock price volatility.We study the 2005-2008 semi-annual panel data of the stock prices volatility of 14 commercial banks listed in Shanghai Stock Exchange and Shenzhen Stock Exchange.The results show a ＂U＂ shape nonlinear relationship between idiosyncratic volatility and the block holdings by the largest shareholder.The aggregate ownership in excess of 5% among 2-10 largest shareholders shows positive relationship with idiosyncratic volatility.Banks with higher idiosyncratic volatility recorded lower deposit loan ratio,which reflects the effectiveness of internal governance of commercial banks.

关 键 词：商业银行 公司治理 股价波动 实证研究 

分 类 号：F224[经济管理—国民经济] F832.3F832.51