股票收益地域联动现象研究——以中国股市为例
The Study of Stock Returns Local Co-movement:Evidence from Chinese Stock Market
司徒健彬 1莫紫莹2
作者信息
- 1. 珠海城市职业技术学院 珠海 519090
- 2. 暨南大学国际商学院 珠海 519000
- 折叠
摘要
本文发现中国股票市场表现出高度的股票收益地域联动性,这种地域联动性有别于股票收益的市场联动性和行业联动性.地域联动性的产生并非由于公司基本面因素的地域联动引起,因回归结果显示位于相同地域的公司利润并未表现出显著的地域联动性.地区分割使相同地区投资者产生相似的交易模式是更合理的解释.小规模、杠杆比率高、市值账面比高、资产回报率和利润增长率低、流通股比例大、基金持股比例小的公司,股票收益地域联动性程度更高,地区公司数量和地区集中度对股票收益联动性有增强作用.公司得到非本地投资者的关注更多,股票收益地域联动性则相对较低.基于中国市场股票收益地域联动的研究结论,本文提出了给投资者、监管部门及政府部门的启示.
Abstract
This paper found strong degree of stock returns local co-movement among stocks in Chinese stock market.The local co-movement is distinct from market co-movement and industry co-movement.The local co-movement of stock returns is not explained by corporate fundamentals.The regression results do not show significant local co-movement of accounting earnings.A reasonable explanation is the similar trading pattern of local investors deriving from region segmen-tation.Stocks of companies which are small size,high leverage,high price-to-book ratio,low ROA,low earnings growth rate,high proportion of tradable shares,and low proportion of fund ownership show stronger degree of local co-movement,while stocks of companies headquartered in regions with more firms and higher Herfindahl index also demonstrate stronger degree of local co-movement.The results reveal that stocks of more visible companies exhibit weaker returns local co-movement.Implications for investors,monitors and governments are discussed in accordance with the study findings.
关键词
地域联动/股票收益/地区分割/投资者行为Key words
Local Co-movement/Stock Return/Region Segmentation/Investor Behavior引用本文复制引用
基金项目
广州市哲学社会科学规划项目(十四五)(2023GZQN19)
珠海城市职业技术学院质量工程教学改革研究项目(JY20230125)
出版年
2024
NETL
NSTL
万方数据