股价异常波动时期公司业绩与股票价格的关系研究——基于2015年中国A股上市公司的经验证据
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摘要
近年来,随着我国资本市场的不断发展与完善,其资源配置效率有所提升。然而在央行降息降准、舆论呼吁、配资等多重因素的推动下,2015年中国股票市场呈现了"大起大落"的异常波动行情,市场效率显著下降。文章以2015年沪市A股制造业和创业板高新技术企业为研究样本,实证考察了不同行业特征和不同业绩表现的企业,其公司业绩和股价关系的变化差异。研究结果显示:股价异常波动时期,企业业绩增长对股价波动的影响由抑制变为加剧。其中,制造业比高新技术业的加剧程度更大;绩优企业业绩增长造成的股价波动程度更大。此外,在绩优企业中,高新技术行业企业的业绩增加影响股价波动程度更高;而在绩劣企业中,制造业企业的业绩对股价波动的影响程度更高。研究结论对股价异常波动时期,减轻投资者的盲目性和增强监管部门救市的针对性具有一定的借鉴意义。
In recent years,along with the development and improvement of capital market in China,there has been an increase in the efficiency of resource allocation.However,motivated by multiple factors such as lower interest rate and lower reserve-deposit ratio by central bank,appeals from public opinion,capital financing,etc.,there emerged an abnormal volatility period of " ups and downs"in 2015 on China's stock market,with a significant decline in market efficiency.Using the A-share listed manufacturing enterprises on Shanghai Stock Exchange and the listed high-tech enterprises on Growth Enterprise Market(GEM) in the year of 2015 as the observed sample,this paper empirically examines the enterprises with different industrial characteristics and with different performances,as well as the variation and difference in their relationship between corporate performances and stock prices.The result shows that during the period of stock price abnormal volatility,the impact of growing corporate performance has changed from suppression to exacerbation on stock price volatility,with a more exacerbated degree in the manufacturing industry than in the high-tech industry,and a higher degree of stock price volatility in the enterprises with good performances.Moreover,among the enterprises with good performances,the growing corporate performance in high-tech industry impacts the stock price volatility with a higher degree.Among the enterprises with poor performances,the corporate performance in the manufacturing enterprises impacts the stock price volatility with a higher degree.The research conclusions provide some reference to the investors in reducing the blindness and to the supervision authority in strengthening more targeted bailout measures during the period of stock price abnormal volatility.
In recent years,along with the development and improvement of capital market in China,there has been an increase in the efficiency of resource allocation.However,motivated by multiple factors such as lower interest rate and lower reserve-deposit ratio by central bank,appeals from public opinion,capital financing,etc.,there emerged an abnormal volatility period of " ups and downs"in 2015 on China's stock market,with a significant decline in market efficiency.Using the A-share listed manufacturing enterprises on Shanghai Stock Exchange and the listed high-tech enterprises on Growth Enterprise Market(GEM) in the year of 2015 as the observed sample,this paper empirically examines the enterprises with different industrial characteristics and with different performances,as well as the variation and difference in their relationship between corporate performances and stock prices.The result shows that during the period of stock price abnormal volatility,the impact of growing corporate performance has changed from suppression to exacerbation on stock price volatility,with a more exacerbated degree in the manufacturing industry than in the high-tech industry,and a higher degree of stock price volatility in the enterprises with good performances.Moreover,among the enterprises with good performances,the growing corporate performance in high-tech industry impacts the stock price volatility with a higher degree.Among the enterprises with poor performances,the corporate performance in the manufacturing enterprises impacts the stock price volatility with a higher degree.The research conclusions provide some reference to the investors in reducing the blindness and to the supervision authority in strengthening more targeted bailout measures during the period of stock price abnormal volatility.
引文
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[3]邓晓霞.股价内部影响因素实证研究[J].现代商贸工业,2011(22):172-173.
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[8]郑瑞玺.我国上市公司财务绩效对股价影响的实证研究[J].求索,2009(8):39-41.
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[11]张建波,李振.行业因素对我国股价波动率的影响研究[J].山东大学学报:哲学社会科学版,2014(1):88-93.
[12]张鸣,税煜,陈明端.股票名称、选择性关注与股价的行业同步性[J].财经研究,2013(11):112-122.
[13]朱宏泉,陈林,潘宁宁.行业、地区和市场信息,谁主导中国证券市场价格的变化[J].中国管理科学,2011(4):1-8.
[14]劳兰珺,邵玉敏.行业股价指数波动特征的实证研究[J].南开管理评论,2005(5):6-10.
[15]姜继娇,杨乃定.行业特征、市场情绪与收益波动[J].管理学报,2006(5):607-613.
[16]冯梓洋,张显峰,唐亮.创业板公司自主创新与企业绩效、股价波动的关联分析[J].证券市场导报,2014(3):41-45.
[17]蔡洁,龙海明,杨胜.基于粗糙集理论的公司业绩与股价的相关性分析[J].湖南大学学报:自然科学版,2008(8):85-88.
[18]喻平,张应华.上市公司财务指标与股价波动关联性研究[J].财会通讯,2011(22):39-40.
[19]Rajgopal S,Venkatachalam M.Financial reporting quality and idiosyncratic return volatility[J].Journal of Accounting and Economics,2011,51(2):1-20.
[20]朱冬元,孙跻珂.我国创业板上市公司财务绩效与股价关系研究——基于四大行业2012—2014年的数据分析[J].中国地质大学学报:社会科学版,2015(6):86-94.
[21]吴敬琏.控股股东行为与公司治理[J].中国审计,2001(8):23-24.
[22]吴齐华,刘景,饶刚.持股集中度与股价波动关系的实证分析[J].证券市场导报,2001(6):4-9.
[23]罗进辉,杜兴强.媒体报道、制度环境与股价崩盘风险[J].会计研究,2014(9):53-59,97.
[24]张春红.上市企业并购重组与股价波动因素分析——以A股市场企业重大并购重组事件为例[J].中国注册会计师,2015(6):57-61.
(1)数据根据CSMAR数据库自行整理所得,其中股价波动的计算方法参见下文“关键变量的定义和度量”。
[2]李礼,洪源.我国上市公司业绩与股价之间关系的实证研究[J].经济问题探索,2005(9):115-117.
[3]邓晓霞.股价内部影响因素实证研究[J].现代商贸工业,2011(22):172-173.
[4]李云宏,纪璐璐.影响上市公司股价的会计信息分析[J].会计之友,2013(26):17-22.
[5]王汉生,张瀚宇,何天英,等.上市公司财务参数与其股价波动性关系探究[J].证券市场导报,2010(2):74-77.
[6]Morck R,Yeung B,Yu W.The information content of stock markets:why do emerging markets have synchronous stock price movements?[J].Journal of Financial Economics,2000,58(1/2):215-238.
[7]童元松,王光伟.境外机构投资者持股、公司业绩与股市质量[J].会计与经济研究,2015(6):101-110.
[8]郑瑞玺.我国上市公司财务绩效对股价影响的实证研究[J].求索,2009(8):39-41.
[9]Campbell J Y,Lettau M,Malkiel B G,et al.Have individual stocks becomemore volatile?An empirical exploration of idiosyncratic risk[J].Journal of Finance,2001,56(1):1-43.
[10]Roll R.Industrial structure and the comparative behavior of international stock market indices[J].Journal of Finance,1992,47(1):3-42.
[11]张建波,李振.行业因素对我国股价波动率的影响研究[J].山东大学学报:哲学社会科学版,2014(1):88-93.
[12]张鸣,税煜,陈明端.股票名称、选择性关注与股价的行业同步性[J].财经研究,2013(11):112-122.
[13]朱宏泉,陈林,潘宁宁.行业、地区和市场信息,谁主导中国证券市场价格的变化[J].中国管理科学,2011(4):1-8.
[14]劳兰珺,邵玉敏.行业股价指数波动特征的实证研究[J].南开管理评论,2005(5):6-10.
[15]姜继娇,杨乃定.行业特征、市场情绪与收益波动[J].管理学报,2006(5):607-613.
[16]冯梓洋,张显峰,唐亮.创业板公司自主创新与企业绩效、股价波动的关联分析[J].证券市场导报,2014(3):41-45.
[17]蔡洁,龙海明,杨胜.基于粗糙集理论的公司业绩与股价的相关性分析[J].湖南大学学报:自然科学版,2008(8):85-88.
[18]喻平,张应华.上市公司财务指标与股价波动关联性研究[J].财会通讯,2011(22):39-40.
[19]Rajgopal S,Venkatachalam M.Financial reporting quality and idiosyncratic return volatility[J].Journal of Accounting and Economics,2011,51(2):1-20.
[20]朱冬元,孙跻珂.我国创业板上市公司财务绩效与股价关系研究——基于四大行业2012—2014年的数据分析[J].中国地质大学学报:社会科学版,2015(6):86-94.
[21]吴敬琏.控股股东行为与公司治理[J].中国审计,2001(8):23-24.
[22]吴齐华,刘景,饶刚.持股集中度与股价波动关系的实证分析[J].证券市场导报,2001(6):4-9.
[23]罗进辉,杜兴强.媒体报道、制度环境与股价崩盘风险[J].会计研究,2014(9):53-59,97.
[24]张春红.上市企业并购重组与股价波动因素分析——以A股市场企业重大并购重组事件为例[J].中国注册会计师,2015(6):57-61.
(1)数据根据CSMAR数据库自行整理所得,其中股价波动的计算方法参见下文“关键变量的定义和度量”。