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论文编号：	2368
作者编号：	2120082213
上传时间：	2010/6/9 11:37:56
中文题目：	公司治理特征对股价波动同步性影响关系研究——基于沪深A股面板数据的研究
英文题目：	A study of the relationship between corporate governance features and stock price synchrony——based on the panel data of both shenzhen and shanghai stock markets
指导老师：	李维安
中文关键字：	股价波动同步性;公司治理特征;股东参与度;股权分置改革
英文关键字：	stock price synchronicity; corporate governance characteristics; shareholder participation; non-tradable shares reform
中文摘要：	股票价格的波动通常被认为是由信息所驱动的。影响股票价格的信息可以分为三个方面，分别是：市场层面信息、行业层面信息和公司层面信息。投资者会对三个方面的信息作出不同的反应从而采取不同的投资策略。市场层面信息影响的是一个证券市场中所有股票的回报率；行业层面信息只影响行业内股票及相关行业回报率；公司层面的信息只对本公司股票及关联公司股票有显著影响。三者中公司层面信息作为股票内在价值的主要判断依据，对投资者的投资策略有显著的影响。Roll（1988）发现股价回报差异中的大部分不能用市场因素改变或者价值相关的公共信息的发布这两种因素来解释，他把不能被解释的这部分回报作为通过知情交易资本化入股价中的私人信息的数量和比例指标。资本化入股价中的信息数量和比例越高，股价波动越能反映企业特质信息，越贴近企业运营基本面，因此股票波动与市场波动差异越大。 与已有大多研究国际上发达市场和新兴市场总体股票波动同步性之间差异的研究文献不同，本文作了进一步考虑：国际间规则严格程度差异是导致投资者保护和信息披露等方面差异的外部因素，而同一国家中不同公司的公司治理水平差异这种内部因素也可能是导致这种差异的原因之一。本文将股价波动同步性指标放入同一个国家中，在投资者保护力度、信息公开程度和会计审计质量等因素基本处于同一水平的中国进行股价波动同步性指标进行分析，考察中国上市公司之间股价波动同步性指标之间的差异，分析其与决定公司投资者保护和信息披露等因素的内部公司治理水平之间的关系。这是本文的基本思路。除此之外，股权分置改革效果分析也是本文研究焦点之一，本文通过比较股权分置改革前（2003年-2005年三年的平均值）后（2007年）的股价波动同步性指标从侧面考察股权分置改革成效。 参照国外文献对国别间投资者保护和信息公开等因素的分析，本文将研究重点放在影响投资者保护水平和信息公开水平的公司治理结构之上，采用实证方法研究股东结构、董事会结构及股东参与程度与公司股价波动同步性之间的关系。本文用股权特征、董事会特征和股东参与度特征三个变量模块共九个自变量指标表示公司治理特征，通过实证方法分析其与股价波动同步性之间的关系。其中股东参与度模块是本文创新采用的衡量公司治理特征的变量模块，而第一大流通股东持股比例与第一大股东持股比例在本文中共同成为股权特征变量模块的自变量指标。分析结果表明三个变量模块中均有自变量指标显著影响股价波动同步性指标，其中，第一大流通股东持股比例和股东大会出席率指标均与因变量显著相关。股权分置改革考察结果显示股改后我国证券市场的股价波动同步性有明显的下降，这从侧面证明了股权分置改革以后我国资本市场的信息环境质量有了显著提高。
英文摘要：	It is generally considered that stock price volatility is driven by information. The information that influence stock price can be divided into market-level information, industry-level information and firm-level information. To respond to the information, investors adopt different invest strategies. The market-level information influence stock price of all the firms in the market. The industry-level information influence stock price of all the firms in the industry. And the firm-level information only influence stock price of itself. Of all the three information levels, the firm-level information has most significant influence on the invest strategies of investors. According to efficient markets hypothesis, stock price volatility can reflect the situation of firm-specific information. Roll (1988) finds that a large proportion of stock return variation is not explained by changes in market wide factors or by announcements of value-relevant public information, which he takes as an indication of the amount and rate of private information capitalization into stock prices via informed trading. Be different from the prevenient researches, this paper research the relationship between stock price synchronicity proxy and corporate governance index in only one country-China. Besides, this paper research the effectiveness of non-tradable shares reform. We reach a conclusion that environment quality of Chinese securities market is significantly improved after the non-tradable shares reform. Based on these theories, this paper measures the rate of private information capitalization into stock prices with stock price synchronicity proxy. We indicate corporate governance index with ownership characteristics, board of director characteristics and shareholder participation characteristics. We analysis the relationship between the corporate governance index and stock price synchronicity index in China stock market. We find four of the nine independent variables influence the stock price synchronicity significantly. Furthermore, stock price synchronicity index are proved to be significantly influenced by all the three characteristics blocks. In addition, this paper comparative analysis the rate of private information capitalization into stock prices before and after the non-tradable shares reform. The results show that the stock price synchronicity index of our capital market had a marked decrease after the non-tradable shares reform. The results prove that quality of the information environment of our country improved significantly after the reform.
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