【作者】 欧阳瑞；

【导师】 宋海；

【作者基本信息】 暨南大学 ， 金融学， 2010， 博士

【摘要】 发展中国家股票市场开放的利弊之争一直是发展经济学研究的热点问题之一。尽管在影响程度和机制方面未能取得一致的结论,但既有研究对于市场开放会对本国市场环境、上市公司治理水平及经济发展带来显著的影响并不存在异议。本文沿袭上述研究线索,以我国股票市场为对象,对股票市场开放效应开展进一步的深入研究。在研究方法上,本文选择收益率风险作为市场开放效应的代理变量,同时为反映市场开放程度的动态变化,选择境外股东持股比例作为市场开放程度的代理变量。基于利用沪深两市上市公司1999-2008年的面板数据,本文集中考察境外资本进入对我国股市收益率风险的影响,进一步则对其潜在的影响机制开展理论和实证研究。在论文结构上,本文将先对境外股东持股与收益率风险之间的关系进行实证分析,并探讨不同性质境外股东作用的差异性。在此基础上,进一步从宏观和微观两个层面探讨其可能的影响机制：首先,基于信息经济学和公司治理理论,研究境外股东持股对股价特质性风险的影响；其次,则从风险传递的角度出发,研究境外股东持股对我国股票市场与世界市场一体化程度的影响。本文运用稳健的面板数据回归,在控制持股比例内生性的基础上对境外股东持股与收益率风险、股价特质性风险以及市场一体化程度的关系进行实证分析,研究发现：(1)境外股东持股比例的提高显著增加了收益率风险1)在控制住企业规模、换手率等公司特征变量以及股权结构等因素影响后,境外股东持股比例与收益率风险显著正相关,说明境外股东持股比例越高,股票收益率风险越大。境外股东在我国并未起到稳定市场的作用,相反增加了市场的收益率风险；2)在境外股东中,法人股东持股比例与收益率风险显著正相关,而个人股东持股比例回归系数并不显著,说明境外股东中对收益率风险起主要作用的是法人股东,且不同性质的法人股东的作用并无显著的差异；3)境外股东持股比例与收益率风险无显著的非线性关系,而国有股比例与收益率风险则呈现倒U型的关系；4)公司治理水平的高低对境外股东的作用没有显著的影响。境外股东在不同公司治理环境下都在一定程度上提高了股价收益率风险。(2)境外股东持股对股价特质性风险和市场一体化程度的影响是其对收益率风险的主要影响机制1)境外股东持股比例与股价特质性风险显著正相关,说明境外股东持股比例越高,相应公司股价中反映的特质性信息越多,境外股东持股在提高我国上市公司特质信息传递速度的同时增加了收益率风险中的特质性风险部分；2)从股东性质看,境外法人股东持股比例与特质性风险显著正相关,而个人股东持股比例与特质性风险显著负相关。从股份性质来看,B股和H股股东持股显著增加了特质性风险,但合格境外投资者持股对特质性风险并无显著影响；3)境外股东持股比例与市场一体化程度显著正相关,说明境外股东持股在一定程度上提高了我国股票市场与世界市场的一体化程度,增加了世界市场风险的向我国市场的传递的可能性；4)从境外股东性质来看,法人股东持股比例回归系数显著为正,但境外个人股东持股比例的回归系数并不显著,说明境外股东对市场一体化程度的影响主要由法人股东体现出来；5)从法人股东的构成来看,合格境外投资者持股比例的回归系数不显著,说明尽管合格境外投资者能够直接参与我国主板市场的交易,但其对市场一体化的作用并不显著。而境外法人股东的回归系数显著为正,说明境外法人股东对市场一体化的影响主要由一般法人机构体现。此外,金融类法人股东和非金融法人股东在作用上不存在显著的差异。更多还原

【Abstract】 The effect of stock market liberalization is the hot issue of development economics. Although there is no consensus on how and to what extent the opening of capital market influence the development of financial system and economy, all research agree that the opening strategy has impact on the market environment, corporation governance and economy development. In line with the current researchs, this paper put forward the research on the impact of opening of stock market. To do this, the paper will focus of the return volatility, and use the foreign ownership as the proxy for opening extent, in order to reflect the dynamic feature of opening process. Based on the panel data of Chinese listed company between 1999 and 2008, we analyze the impact of entry of foreign capital on the return volatility and the mechanic through which foreign ownership influence volatility. We first focus the research on the relation between foreign ownership and firm-specific volatility and if there is difference among the impact of different foreign shareholders. Based on this result, we then forward our research about the possible mechanism through which foreign ownership influence return volatility from two dimensions. Firstly, we focus on the change of information environment, analyze the impact of foreign ownership on the idiosyncratic volatility of stock prices. Secondly, we analyze the impact of foreign ownership on the integration between Chinese stock market and world market.The paper tests the relationship between foreign ownership and return volatility, firm-specific volatility and integration with the robust panel data regression, controlling for the potential endogeneity. It is found that:(1) Foreign ownership increases the return volatility.1) There is a positive relationship between foreign ownership and return volatility controlling for firm features such as size and turnover and ownership structure. This suggests a destabilizing role of foreign shareholders in Chinese stock market;2) Among the foreign shareholders, institutional ownership has a significant positive impact on the return volatility, but the influence of personal shareholders is insignificant. This suggests the major impact of foreign ownership on the return volatility is mainly from the institutional shareholders. We also find different foreign shareholders have the same impact on the return volatility; 3) There is a linear relationship between foreign ownership and return volatility, but the relationship between state ownership and return volatility is inversed U shape;4) Corporation governance environment has no significant impact on the role of foreign ownership. Foreign ownership has the same impact in the different governance environments.(2) The mechanism through which foreign ownership influence the return volatility are firm-specific volatility and market integration.1) There is a significant positive relationship between foreign ownership and firm-specific volatility, which suggests that foreign shareholders increase the response speed of stock prices to idiosyncratic information;2) Among the foreign ownership, institutional ownership has a significant positive impact on the firm-specific volatility, but the impact of personal shareholders is negative. B/H owners increase the firm-specific volatility, but the impact of qualified foreign institutional investors (QFII) is insignificant. The indirect foreign owners have stronger impact than direct shareholder;3) There is a positive relation between foreign ownership and integration, foreign ownership improves the integration with the world market, increase the possibility of risk transmission from world market to Chinese stock market;4) Among the foreign ownership, legal entities have a significant positive impact on the integration, but the influence of personal shareholders is insignificant, which suggests that the impact of foreign ownership on the integration is mainly from the institutional ownership;5) Among the foreign legal entities, although QFII has access to the main market, but there is no significant relation between QFII ownership and integration. In contrast, foreign legal entities have a positive impact on the integration. There is no significant difference between the impact of financial and non-financial institutional shareholders also.更多还原