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论文编号：	9357
作者编号：	2120152475
上传时间：	2017/6/20 17:22:16
中文题目：	股权结构对股价信息含量的影响研究
英文题目：	The Study on the Effect of Equity Structure on Stock Price Informativeness
指导老师：	黄福广
中文关键字：	股价信息含量；股权结构；股权集中度；机构投资者；股价同步性
英文关键字：	Stock Price Informativeness; Equity Structure; Ownership Concentration; Institutional Shareholder; Stock Price Synchronicity
中文摘要：	股价信息含量是指公司的特质信息体现在股票价格中的程度，代表了资本市场运行效率的差异。资本市场运行效率高的国家或地区，市场能够使股票价格反映更多的公司基本面的信息；而资本市场运行效率低的国家或地区，市场中的股票价格更多受整个市场因素的影响，从而使股价表现出同涨同跌的现象。一方面，中国作为新兴的资本市场的典型代表，股市也具有明显的特点，即股价信息含量较成熟的资本市场更低，削减了股价对公司内在价值的反馈功能。经过几十年的发展，近几年来中国证券市场股价信息含量如何，有怎样的变化趋势？其主要的影响因素有哪些，如何提高股价信息含量？另一方面，股权结构是公司治理的重要决定因素，进而在公司绩效、信息披露、公司价值等方面有着显著影响，从而股权结构会影响股价信息含量。那么股权结构在哪些方面影响股价信息含量？其作用机制和效果是怎样的？文章从中国特殊的环境背景入手，从理论和实证的角度研究公司股权结构对股价信息含量的影响。 文章使用中国A股市场2010年—2015年上市公司的数据，探究近六年的股价信息含量及其变化趋势。股权结构从股权集中度、股东类型、股东性质和股权制衡度四个方面入手，研究其对股价信息含量的影响。得出结论如下：（1）中国股价信息含量较低，并有逐年提高的趋势，但在2015年“股灾”期间股价信息含量大幅降低。（2）股权集中度和股价信息含量呈U型相关；第一大股东与政府相关的公司股价同步性更高；股权制衡度越高，股价信息含量越高。（3）在股东类型方面，本文将机构投资者细分为基金、QFII、保险公司、社保基金、券商和信托六类，得出结论认为机构投资者的参与能够提高股票价格中包含的公司层面的特质信息，增加股价信息含量，提高信息效率。其中基金、社保基金、保险公司和券商能显著地改善股价信息含量。而相比其他几类，信托和QFII对于股价信息含量的影响显著性较低。
英文摘要：	Stock price informativeness is the information embedded in the stock price which implies the efficiency of the capital market. In countries and areas with high efficiency of capital market, the market helps increase the information embedded in the stock price, and in countries and areas with low efficiency of capital market, the stock price is easily affected by market factors, so presents the phenomenon of moving together. On the one hand, China, as a typical representative of the emerging capital market, the stock market also has obvious characteristics, that is, the stock price is more mature than the maturity of the capital market is more significant, which reduce the effectiveness of stock market and discovery function of stock price on companies’ inner value. After decades of years of develop, what about the stock price informativeness in Chinese stock market recently? What has a significant impact in stock price informativeness and how to improve stock price informativeness? On the other hand, equity structure has a deeply impact on corporate governance structure, which significantly impact the corporate performance, information disclosure and company value. So Which aspects of equity structure are the influencing factors and how does equity structure impact on stock price informativeness? This paper base on the special Chinese market environment to explore how the equity structure influence stock price informativeness. This paper investigates the effects of ownership concentration, controlling shareholder's characteristics, ownership balance and institutional shareholders on stock price informativeness. The paper uses data from the CSMAR and Wind database, of Chinese-listed firms over the 2010–2015 period. The empirical results show:（1）Chinese stock price informativeness is lower than developed market. The stock price informativeness showed a significant upward trend, but a sudden decline in 2015.（2）Stock price informativeness is a concave function of ownership, stock price informativeness is positively related to ownership balance and it is higher when the largest shareholder is government related.（3）We divided the institutional shareholders in six categories: fund, QFII, security company, social security fund, insurance company and trust, and studied their influences on the stock price synchronicity respectively. Through regressing the percentage of institutional shareholders and stock price synchronicity, we studied the impact of the percentage of institutional shareholders on stock price synchronicity. We find that institutional shareholders play an importance role in reducing stock price synchronicity, adding more firm specific information into the stock price and improving information efficiency. Trust, fund, social security, QFII and security company significantly increase stock price informativeness. However, trust and QFII company have less significant impact on stock price informativeness.
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