本文選題：現(xiàn)金股利　切入點(diǎn)：股價(jià)波動(dòng)　出處：《東華大學(xué)》2014年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：從我國(guó)證券市場(chǎng)發(fā)展的20多年歷史來(lái)看,股價(jià)的劇烈波動(dòng)一直是困擾中國(guó)股市運(yùn)行的一個(gè)重要問(wèn)題�，F(xiàn)金股利作為股價(jià)的內(nèi)生穩(wěn)定機(jī)制,對(duì)于穩(wěn)定股價(jià)、促進(jìn)資本市場(chǎng)的健康運(yùn)行起到了較為關(guān)鍵的作用。本文從現(xiàn)金股利的角度出發(fā),分析了現(xiàn)金股利與股票價(jià)格之間的穩(wěn)定路徑,借助實(shí)證研究驗(yàn)證兩者間的穩(wěn)定關(guān)系。在對(duì)數(shù)據(jù)進(jìn)行初步描述性統(tǒng)計(jì)后,分別采用面板數(shù)據(jù)的固定效應(yīng)模型及Fama and MacBeth (1973)兩步回歸方法,并對(duì)相關(guān)數(shù)據(jù)進(jìn)行單因素方差分析及協(xié)整檢驗(yàn),最終得到以下實(shí)證結(jié)果： (1)對(duì)2002-2012年上市公司現(xiàn)金股利派發(fā)情況的分組分析,證實(shí)了連續(xù)分紅年數(shù)會(huì)對(duì)股價(jià)波動(dòng)產(chǎn)生顯著影響。其中,又以連續(xù)10-11年分紅與分紅次數(shù)少于3次的公司股價(jià)波動(dòng)對(duì)比最為顯著。連續(xù)10-11年分紅的公司股價(jià)波動(dòng)顯著小于連續(xù)分紅次數(shù)較少的公司。因此,本文認(rèn)為描述性統(tǒng)計(jì)的結(jié)果支持連續(xù)分紅的上市公司股價(jià)波動(dòng)更小的結(jié)論。 (2)面板數(shù)據(jù)模型結(jié)果顯示,上市公司當(dāng)年分紅情況及分紅程度會(huì)影響股價(jià)的波動(dòng)。特別地,上市公司當(dāng)年采用現(xiàn)金分紅的策略能顯著穩(wěn)定股價(jià),而分紅程度的高低雖然與股價(jià)波動(dòng)負(fù)相關(guān),但效果并不顯著。此外,本文對(duì)賬面市值比、杠桿率及凈資產(chǎn)規(guī)模等指標(biāo)的研究結(jié)果與理論相符。因此,根據(jù)面板數(shù)據(jù)回歸結(jié)果,本文認(rèn)為當(dāng)年是否分紅決定著股價(jià)的波動(dòng)情況,而當(dāng)年分紅程度對(duì)股價(jià)波動(dòng)影響并不顯著。 (3)采用2006-2012年數(shù)據(jù)對(duì)不同股市周期下是否分紅與股價(jià)波動(dòng)的單變量研究,證實(shí)了在任意股市周期下,現(xiàn)金分紅與股價(jià)波動(dòng)顯著負(fù)相關(guān),且在下降市場(chǎng)時(shí)期,現(xiàn)金分紅對(duì)股價(jià)波動(dòng)影響更大,該比較結(jié)果在10%的顯著性水平下顯著。因此,根據(jù)Fama and MacBeth (1973)回歸結(jié)果,本文認(rèn)為不同股市周期下,現(xiàn)金分紅情況對(duì)股價(jià)波動(dòng)的影響不同,下降市場(chǎng)時(shí)期,現(xiàn)金股利分紅作用更大。 本文在對(duì)現(xiàn)金股利與股價(jià)的穩(wěn)定關(guān)系進(jìn)行理論和實(shí)證研究后,結(jié)合兩者結(jié)論,提出了以下幾點(diǎn)建議： (1)在改善上市公司內(nèi)部分紅機(jī)制方面,要完善上市公司內(nèi)部治理機(jī)制,并加強(qiáng)對(duì)上市公司分紅情況的監(jiān)管。 (2)在完善半強(qiáng)制分紅政策方面,嘗試設(shè)立與股價(jià)掛鉤的現(xiàn)金分紅機(jī)制,并采用差別化的現(xiàn)金分紅率,同時(shí)對(duì)現(xiàn)金分紅的持續(xù)性和穩(wěn)定性制定標(biāo)準(zhǔn)。 (3)在加強(qiáng)股市宏觀環(huán)境建設(shè)方面,要完善價(jià)值投資的宏觀環(huán)境,并加快利率市場(chǎng)化建設(shè)。
[Abstract]:Judging from the more than 20 years of the development of China's securities market, the sharp fluctuation of stock prices has always been an important problem that puzzles the operation of the Chinese stock market. As an endogenous mechanism for stabilizing stock prices, cash dividends are used to stabilize stock prices. The paper analyzes the stable path between cash dividend and stock price from the perspective of cash dividend. After the preliminary descriptive statistics, the fixed effect model of panel data and the Fama and MacBeth method are used to verify the stable relationship between them. Finally, the following empirical results are obtained by univariate ANOVA and cointegration test. 1) A grouping analysis of the cash dividend distribution of listed companies from 2002 to 2012 confirms that the number of consecutive dividend years has a significant impact on stock price volatility. The volatility of the share price of the companies with dividends for 10 to 11 consecutive years is significantly lower than that of the companies with less than three consecutive dividends. Therefore, the volatility of the stock prices of companies with dividends for 10 to 11 consecutive years is significantly lower than that of companies with less consecutive dividends. This paper holds that the results of descriptive statistics support the conclusion that the stock price of listed companies with continuous dividends fluctuates less. The results of the panel data model show that the dividend situation and the degree of dividends of listed companies will affect the volatility of stock price. In particular, the cash dividend strategy of listed companies in that year can significantly stabilize the stock price. Although the degree of dividend is negatively correlated with stock price fluctuation, the effect is not significant. In addition, the research results of book market value ratio, leverage ratio and net asset scale in this paper are consistent with theory. Therefore, according to panel data regression results, This paper argues that the current year dividend determines the volatility of the stock price, but the current dividend level does not have a significant impact on the stock price volatility. (3) A univariate study of whether dividend and stock price fluctuate in different stock market cycles from 2006 to 2012 proves that cash dividend has a significant negative correlation with stock price volatility in any stock market cycle, and it is also found that in a declining market period, cash dividend is negatively correlated with stock price volatility. The effect of cash dividend on stock price fluctuation is even greater, and the comparison results are significant at the level of 10%. Therefore, according to the regression results of Fama and MacBeth (1973), this paper concludes that the effect of cash dividend on stock price fluctuation is different under different stock market cycles. In the period of market decline, cash dividends play a more important role. After the theoretical and empirical research on the stable relationship between cash dividend and stock price, this paper puts forward the following suggestions combined with the two conclusions:. 1) in improving the internal dividend mechanism of listed companies, we should perfect the internal governance mechanism of listed companies and strengthen the supervision of the dividend distribution of listed companies. 2) in the aspect of perfecting semi-compulsory dividend policy, we try to set up a cash dividend mechanism linked to stock price, and adopt differential cash dividend ratio, at the same time, we make a standard for the persistence and stability of cash dividend. In strengthening the macro environment construction of stock market, we should perfect the macro environment of value investment and accelerate the construction of interest rate marketization.
【學(xué)位授予單位】：東華大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F832.51

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 唐清泉;羅黨論;;現(xiàn)金股利與控股股東的利益輸送行為研究——來(lái)自中國(guó)上市公司的經(jīng)驗(yàn)證據(jù)[J];財(cái)貿(mào)研究;2006年01期

2 申尊煥;;機(jī)構(gòu)投資者對(duì)現(xiàn)金股利影響的實(shí)證分析[J];財(cái)貿(mào)研究;2011年02期

3 王立文;;機(jī)構(gòu)投資者、現(xiàn)金股利政策與股票市場(chǎng)穩(wěn)定性研究——來(lái)自2005-2009年中國(guó)A股上市公司的經(jīng)驗(yàn)證據(jù)[J];當(dāng)代經(jīng)濟(jì)科學(xué);2011年05期

4 張亦春;劉猛;;機(jī)構(gòu)投資者投資策略與市場(chǎng)波動(dòng)的博弈分析[J];福建論壇(人文社會(huì)科學(xué)版);2009年07期

5 趙旭,吳沖鋒;證券投資基金業(yè)績(jī)與持續(xù)性評(píng)價(jià)的實(shí)證研究——基于DEA模型與R/S模型的評(píng)價(jià)[J];管理科學(xué);2004年04期

6 張羽,李黎;證券投資基金交易行為及其對(duì)股價(jià)的影響[J];管理科學(xué);2005年04期

7 范龍振,王海濤;上海股票市場(chǎng)股票收益率因素研究[J];管理科學(xué)學(xué)報(bào);2003年01期

8 展凱;陳華;;強(qiáng)制性現(xiàn)金分紅政策的合理性研究[J];廣東金融學(xué)院學(xué)報(bào);2012年01期

9 王蕾;;中國(guó)上市公司現(xiàn)金股利發(fā)放的統(tǒng)計(jì)研究——以2007—2010年為例[J];經(jīng)濟(jì)與管理;2012年02期

10 魏剛;我國(guó)上市公司股利分配的實(shí)證研究[J];經(jīng)濟(jì)研究;1998年06期

，

本文編號(hào)：1612416