股利政策、信息不對(duì)稱(chēng)與股市流動(dòng)性關(guān)系研究
發(fā)布時(shí)間：2019-03-22 13:08
【摘要】：經(jīng)過(guò)二十年來(lái)的建設(shè)與發(fā)展，，我國(guó)股票市場(chǎng)已成為人們經(jīng)濟(jì)生活的重要組成部分，在經(jīng)濟(jì)建設(shè)中發(fā)揮著重要作用。然而，我國(guó)股市的健康發(fā)展長(zhǎng)期以來(lái)也遭受著高投機(jī)性和高波動(dòng)等問(wèn)題的困擾。導(dǎo)致我國(guó)股市過(guò)度投機(jī)的原因很多，上市公司股利政策的無(wú)約束和不規(guī)范性是其中的原因之一。上市公司分紅派息少甚至不分紅導(dǎo)致公司普遍缺乏長(zhǎng)期投資價(jià)值，投資者的收益主要來(lái)源于投機(jī)帶來(lái)的資本利得。根據(jù)證監(jiān)會(huì)的最新規(guī)定，企業(yè)在申請(qǐng)IPO時(shí)，需公告其股利政策，并把相關(guān)執(zhí)行狀況列為監(jiān)管內(nèi)容。為此，股利政策在我國(guó)股市發(fā)展中開(kāi)始初步具有了規(guī)范性趨勢(shì)。 市場(chǎng)流動(dòng)性是衡量股票市場(chǎng)質(zhì)量的一個(gè)重要指標(biāo)。良好的市場(chǎng)流動(dòng)性對(duì)于改善企業(yè)的融資環(huán)境，維持證券市場(chǎng)穩(wěn)定以及保護(hù)中小投資者的利益有著極為重要的意義。金融市場(chǎng)微觀結(jié)構(gòu)理論認(rèn)為，上市公司通過(guò)高質(zhì)量的信息披露能有效地改善其股票交易的流動(dòng)性。股利政策作為公司披露的重要信息，是否也會(huì)影響到公告前后市場(chǎng)投資者的交易行為和公司股票流動(dòng)性？為此，國(guó)外曾有學(xué)者針對(duì)報(bào)價(jià)驅(qū)動(dòng)市場(chǎng)上股利政策發(fā)布前后投資者的投資組合和股票交易情況進(jìn)行了研究。國(guó)內(nèi)這方面的研究非常少，我國(guó)股票市場(chǎng)又是一個(gè)不同于報(bào)價(jià)驅(qū)動(dòng)的指令驅(qū)動(dòng)市場(chǎng)，具備一定的特殊性。為此，本文基于金融市場(chǎng)微觀結(jié)構(gòu)理論關(guān)于信息不對(duì)稱(chēng)以及股市流動(dòng)性的前沿度量方法，以現(xiàn)階段實(shí)施不同股利政策的上市公司為研究樣本，考察股利政策作為企業(yè)對(duì)外的一種信息發(fā)布，能否傳遞企業(yè)未來(lái)的發(fā)展信息，降低信息不對(duì)稱(chēng)，進(jìn)而對(duì)股票市場(chǎng)流動(dòng)性帶來(lái)積極影響。本文內(nèi)容主要包括以下幾個(gè)方面： 第一部分，提出了本文的研究背景和研究意義，并對(duì)國(guó)內(nèi)外的研究情況進(jìn)行了總結(jié)，列舉了相關(guān)的文獻(xiàn)綜述，闡述了本文的研究?jī)?nèi)容、技術(shù)路線和創(chuàng)新點(diǎn)。 第二部分，闡述了本文研究的相關(guān)理論基礎(chǔ)。本文先對(duì)股利政策、信息不對(duì)稱(chēng)及市場(chǎng)流動(dòng)性的相關(guān)知識(shí)作了解釋說(shuō)明，然后分別闡述了股利政策與信息不對(duì)稱(chēng)的理論研究和信息不對(duì)稱(chēng)與市場(chǎng)流動(dòng)性的理論研究。股利政策與信息不對(duì)稱(chēng)的理論基礎(chǔ)主要是信號(hào)傳遞理論，股利信號(hào)假說(shuō)認(rèn)為，股利對(duì)股票價(jià)格有一定的影響，是管理者向外界傳遞企業(yè)信息的一種途徑。信息模型表明，降低信息不對(duì)稱(chēng)程度有利于提高股市流動(dòng)性。 第三部分，對(duì)我國(guó)上市公司股利政策、信息不對(duì)稱(chēng)與股票流動(dòng)性之間的關(guān)系進(jìn)行了實(shí)證研究。首先，我們以LSB（1995）價(jià)差分解中的逆向選擇成分和有效價(jià)差作為信息不對(duì)稱(chēng)的衡量指標(biāo)，對(duì)滬市A股派發(fā)現(xiàn)金股利的上市公司股利公告前后的情況做了比較分析。通過(guò)對(duì)公告前后的值和有效價(jià)差進(jìn)行配對(duì)的t檢驗(yàn)和Wilcoxon秩和檢驗(yàn)，發(fā)現(xiàn)高股利樣本組公告后的信息不對(duì)稱(chēng)程度降低，而低股利樣本組未能顯著降低，這與中國(guó)的股利分配現(xiàn)狀有關(guān)。其次，我們用換手率和非流動(dòng)性比率作為衡量流動(dòng)性的指標(biāo)，實(shí)證研究了上市公司信息不對(duì)稱(chēng)對(duì)其股票流動(dòng)性的影響。在控制了成交量、市凈率、公司規(guī)模、資產(chǎn)負(fù)債率及股權(quán)集中度等指標(biāo)后，我們發(fā)現(xiàn)，信息不對(duì)稱(chēng)程度與流動(dòng)性水平負(fù)相關(guān)。最后我們用配對(duì)的t檢驗(yàn)和Wilcoxon秩和檢驗(yàn)直接比較流動(dòng)性在股利公告前后的均值發(fā)現(xiàn)股利公告后的流動(dòng)性反而降低了，這不符合理論預(yù)期，隨后文章對(duì)出現(xiàn)這種情況的原因做了相關(guān)分析。 最后一部分，為本文的對(duì)策建議。為了證券市場(chǎng)的良好運(yùn)行和投資者收益最大化目標(biāo)的實(shí)現(xiàn)，為了降低市場(chǎng)信息不對(duì)稱(chēng)程度和改善流動(dòng)性水平，本文基于上述的實(shí)證研究結(jié)論，提出以下幾點(diǎn)政策建議：規(guī)范上市公司股利政策，發(fā)揮其信號(hào)傳遞作用；通過(guò)改革稅制完善現(xiàn)金股利分配政策；發(fā)展長(zhǎng)期投資者，減少市場(chǎng)投機(jī)；完善信息傳導(dǎo)機(jī)制，加強(qiáng)股市監(jiān)管；健全上市公司治理結(jié)構(gòu)，發(fā)揮公司內(nèi)部監(jiān)管機(jī)制等。
[Abstract]:After two decades of construction and development, China's stock market has become an important part of people's economic life and plays an important role in economic construction. However, the healthy development of China's stock market has long been plagued by high speculative and high volatility. The reason for the over-speculation in China's stock market is that the restraint and non-regulation of the dividend policy of the listed company are one of the reasons. The dividend payout of the listed company and the non-profit sharing result in the general lack of long-term investment value of the company, and the investor's income is mainly from the capital gains from the speculation. According to the latest regulations of the SFC, when applying for an IPO, the enterprise shall announce its dividend policy and list the relevant performance status as the regulatory content. To this end, the dividend policy has a normative trend in China's stock market development. The liquidity of the market is an important means to measure the quality of the stock market The good market liquidity is of great importance to improve the financing environment of the enterprise, to maintain the stability of the securities market and to protect the interests of the small and medium-sized investors The micro-structure theory of the financial market is of the view that the listed company can effectively improve the flow of its stock exchange through high-quality information disclosure The dividend policy, as the important information of the company's disclosure, will also affect the trading behavior and stock flow of the market investors before and after the announcement Sex? For this reason, foreign scholars have conducted a research on the investment portfolio and stock exchange of the investors before and after the issuance of the dividend policy on the price-driven market. The research in this area is very small, and the stock market in our country is a kind of command-driven market which is different from the driving of the quotation, which has certain special characteristics. Based on the theory of the micro-structure of the financial market and the frontier measure of the stock market liquidity, this paper, based on the theory of the micro-structure of the financial market, on the information asymmetry and the liquidity of the stock market, takes the listed companies with different dividend policies as the research samples at the present stage, and investigates the dividend policy as a kind of information of the enterprise. B. Can you transfer the future development information of the enterprise, reduce the information asymmetry, and then bring a positive image to the liquidity of the stock market In response, the contents of this paper mainly include the following parties: In the first part, the research background and significance of this paper are put forward, and the research situation at home and abroad is summarized. The point of innovation. The second part expounds the phase of the research in this paper. Based on the theory of dividend policy, information asymmetry and market liquidity, this paper makes an explanation of the related knowledge of dividend policy, information asymmetry and market liquidity, and then expounds the theoretical research and information asymmetry and market liquidity of the dividend policy and information asymmetry, respectively. The theory of dividend policy and information asymmetry is mainly the signal transmission theory, and the dividend signal hypothesis holds that the dividend has a certain effect on the stock price, which is the transfer of the enterprise information from the manager to the outside world. The information model shows that the degree of information asymmetry can be improved. The relationship between dividend policy, information asymmetry and stock liquidity of Chinese listed companies in the third part The empirical study is carried out. First, we use the reverse selection component and the effective price difference in the LSBs (1995) price difference to measure the information asymmetry, and it is the case of the dividend announcement of the listed company in the A-stock market of Shanghai. By matching t-test and Wilcoxon rank and test to the value and the effective spread before and after the announcement, it is found that the information asymmetry of the high-dividend sample group is reduced, and the low-dividend sample group is not significantly reduced, which is similar to that of China Secondly, we use the exchange rate and the non-liquidity ratio as an index to measure the liquidity. After controlling the indexes such as volume, net rate, company size, asset-liability ratio and equity concentration, we find that the degree of information asymmetry and flow In the end, we used the paired t-test and the Wilcoxon rank and the test to compare the liquidity of the liquidity on the dividend announcement before and after the dividend announcement. The liquidity of the dividend announcement was reduced, which did not meet the theoretical expectations. As a result of the analysis. The last part In order to reduce the asymmetry of market information and improve the liquidity, the following policy suggestions are put forward in order to reduce the asymmetry of market information and improve the liquidity level. The dividend policy of the listed company should play its signal transmission role; improve the cash dividend distribution policy through the reform of the tax system; develop long-term investors and reduce the market speculation; improve the information transmission mechanism and strengthen the stock market supervision; and improve the governance structure of the listed company and play the role
【學(xué)位授予單位】：山東財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類(lèi)號(hào)】：F832.51;F224
[Abstract]:After two decades of construction and development, China's stock market has become an important part of people's economic life and plays an important role in economic construction. However, the healthy development of China's stock market has long been plagued by high speculative and high volatility. The reason for the over-speculation in China's stock market is that the restraint and non-regulation of the dividend policy of the listed company are one of the reasons. The dividend payout of the listed company and the non-profit sharing result in the general lack of long-term investment value of the company, and the investor's income is mainly from the capital gains from the speculation. According to the latest regulations of the SFC, when applying for an IPO, the enterprise shall announce its dividend policy and list the relevant performance status as the regulatory content. To this end, the dividend policy has a normative trend in China's stock market development. The liquidity of the market is an important means to measure the quality of the stock market The good market liquidity is of great importance to improve the financing environment of the enterprise, to maintain the stability of the securities market and to protect the interests of the small and medium-sized investors The micro-structure theory of the financial market is of the view that the listed company can effectively improve the flow of its stock exchange through high-quality information disclosure The dividend policy, as the important information of the company's disclosure, will also affect the trading behavior and stock flow of the market investors before and after the announcement Sex? For this reason, foreign scholars have conducted a research on the investment portfolio and stock exchange of the investors before and after the issuance of the dividend policy on the price-driven market. The research in this area is very small, and the stock market in our country is a kind of command-driven market which is different from the driving of the quotation, which has certain special characteristics. Based on the theory of the micro-structure of the financial market and the frontier measure of the stock market liquidity, this paper, based on the theory of the micro-structure of the financial market, on the information asymmetry and the liquidity of the stock market, takes the listed companies with different dividend policies as the research samples at the present stage, and investigates the dividend policy as a kind of information of the enterprise. B. Can you transfer the future development information of the enterprise, reduce the information asymmetry, and then bring a positive image to the liquidity of the stock market In response, the contents of this paper mainly include the following parties: In the first part, the research background and significance of this paper are put forward, and the research situation at home and abroad is summarized. The point of innovation. The second part expounds the phase of the research in this paper. Based on the theory of dividend policy, information asymmetry and market liquidity, this paper makes an explanation of the related knowledge of dividend policy, information asymmetry and market liquidity, and then expounds the theoretical research and information asymmetry and market liquidity of the dividend policy and information asymmetry, respectively. The theory of dividend policy and information asymmetry is mainly the signal transmission theory, and the dividend signal hypothesis holds that the dividend has a certain effect on the stock price, which is the transfer of the enterprise information from the manager to the outside world. The information model shows that the degree of information asymmetry can be improved. The relationship between dividend policy, information asymmetry and stock liquidity of Chinese listed companies in the third part The empirical study is carried out. First, we use the reverse selection component and the effective price difference in the LSBs (1995) price difference to measure the information asymmetry, and it is the case of the dividend announcement of the listed company in the A-stock market of Shanghai. By matching t-test and Wilcoxon rank and test to the value and the effective spread before and after the announcement, it is found that the information asymmetry of the high-dividend sample group is reduced, and the low-dividend sample group is not significantly reduced, which is similar to that of China Secondly, we use the exchange rate and the non-liquidity ratio as an index to measure the liquidity. After controlling the indexes such as volume, net rate, company size, asset-liability ratio and equity concentration, we find that the degree of information asymmetry and flow In the end, we used the paired t-test and the Wilcoxon rank and the test to compare the liquidity of the liquidity on the dividend announcement before and after the dividend announcement. The liquidity of the dividend announcement was reduced, which did not meet the theoretical expectations. As a result of the analysis. The last part In order to reduce the asymmetry of market information and improve the liquidity, the following policy suggestions are put forward in order to reduce the asymmetry of market information and improve the liquidity level. The dividend policy of the listed company should play its signal transmission role; improve the cash dividend distribution policy through the reform of the tax system; develop long-term investors and reduce the market speculation; improve the information transmission mechanism and strengthen the stock market supervision; and improve the governance structure of the listed company and play the role
【學(xué)位授予單位】：山東財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類(lèi)號(hào)】：F832.51;F224
【參考文獻(xiàn)】
相關(guān)期刊論文 前10條
1 夏新平;崔吉勇;余明桂;;民營(yíng)上市公司現(xiàn)金股利信號(hào)傳遞效應(yīng)實(shí)證研究[J];商業(yè)研究;2006年10期
2 閻大穎;中國(guó)上市公司首次股票股利信號(hào)傳遞有效性的實(shí)證研究[J];財(cái)貿(mào)研究;2005年04期
3 房振明,王春峰,曹媛媛;上海證券市場(chǎng)流動(dòng)性模式的研究[J];管理工程學(xué)報(bào);2005年02期
4 孔小文,于笑坤;上市公司股利政策信號(hào)傳遞效應(yīng)的實(shí)證分析[J];管理世界;2003年06期
5 王春峰;于婧晗;房振明;;基于公司年報(bào)披露的交易量與信息不對(duì)稱(chēng)研究[J];管理科學(xué);2006年06期
6 蔡傳里;許家林;;上市公司信息透明度對(duì)股票流動(dòng)性的影響——來(lái)自深市上市公司2004～2006年的經(jīng)驗(yàn)證據(jù)[J];經(jīng)濟(jì)與管理研究;2010年08期
7 呂長(zhǎng)江,王克敏;上市公司股利政策的實(shí)證分析[J];經(jīng)濟(jì)研究;1999年12期
8 陳浪南,姚正春;我國(guó)股利政策信號(hào)傳遞作用的實(shí)證研究[J];金融研究;2000年10期
9 陸靜;楊萬(wàn)里;;上市公司股權(quán)結(jié)構(gòu)、市場(chǎng)流動(dòng)性與非對(duì)稱(chēng)信息[J];寧夏大學(xué)學(xué)報(bào)(人文社會(huì)科學(xué)版);2010年02期
10 許婷;包文彬;;股利政策與信號(hào)傳遞理論實(shí)證分析[J];市場(chǎng)周刊(研究版);2005年11期
相關(guān)會(huì)議論文 前1條
1 勞蘭s
本文編號(hào)：2445618
本文鏈接：http://www.sikaile.net/guanlilunwen/huobilw/2445618.html
最近更新
教材專(zhuān)著
