中國金融業上市公司的股價同步性探討

Abstract

中國的金融市場普遍存在監理法規不夠完善的問題，使得資訊揭露無法有效落實，而中國的上市公司具有股權集中於家族企業、集團交叉持股、國有企業比例較高等特色，使得公司的個別資訊無法傳遞，加深市場的資訊不對稱。金融業為高度重視資訊傳遞的產業，資訊不對稱不僅使得公司的資金成本增加、資源分配不具效率，也會使股價無法反應個別公司的資訊。 本研究以中國的金融業上市公司股價報酬和市場報酬的同步性作為衡量方法，研究面向分為個別公司層面和整體金融業層面，個別公司層面主要衡量中國大陸32家金融業上市公司，股價在2007年至2010年的同步性問題；整體金融業層面主要衡量2004年至2010年，整體金融業上市公司的股價同步性問題，並將整體金融業進一步細分為銀行業和非銀行業，分別在各層面加入解數變數，探討對於股價同步性的影響。除此之外，中國政府在2004年4月底實施股權分置改革，本研究也將此股權改革對於股價同步性的影響納入研究。 研究結果顯示，個別金融業上市公司的股價同步性和公司股票週轉率、10大股東持股比率、董監事持股比率、是否聘請境外會計事務所、負債比率、Tobin Q比率等變數皆有顯著關係。整體金融業上市公司的股價同步性則和經濟發展程度、貿易開放程度、股票市場的週轉率、股票市場週轉率、整體金融機構總資產有顯著關係。整體銀行業的股價同步性另外受到銀行的主導程度和呆帳比率的影響。研究也顯示隨著中國進行股權分置改革，股價同步性因而下降。

Due to incomplete regulated institutions and legal foundations in China, information disclosures in financial markets are usually inefficient. In addition, public listed companies in China are usually family holding or with high percentage of state shares. It makes company-specific information can’t deliver and deepen the information asymmetry. Information asymmetry problem not only increases the cost of capital but also makes resource allocation inefficient. As result, stock price movement reflects much more market information than company-specific information. This paper measures stock price synchronicity in China listed financial companies with two levels: 1. Company level. 2. Financial sector level. Company level research covers stock price synchronicity of 32 listed financial companies in 2007-2010. Financial sector level covers stock price synchronicity of entire financial sector in 2004-2010. This paper adds some explanatory variables which could affect stock price synchronicity. At last, this paper analyzes the effect of China’s split shares structure reform which has made great impact on China stock market. Empirical result reveals that stock price synchronicity in company level is significantly affected by stock turnover rate, ownership concentration, shares ratio of board and supervisor and hiring offshore auditors. Stock price synchronicity in the financial sector level is significantly affected by trade openness, turnover rate of entire stock market and asset amount of entire financial institution. The empirical result also reveals that split shares structure reform decreased stock price synchronicity.