我国上市银行市值影响因素实证研究
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摘要
随着我国资本市场“股票全流通”时代的到来,市值管理已经引起社会相关各界的广泛关注,在我国弱有效的资本市场中,上市公司市值的大小的确与股价涨跌密切相关,但真正决定市值的不是股价,而是股价背后、影响股价的深层价值因素,是公司综合素质或价值的集中体现。究竟哪些因素影响上市银行市值,作者尝试对这一问题进行探讨,本文以14家上市银行为研究对象,以因素模型为理论基础,用面板数据模型实证分析了股票市场回报率波动、上海国债市场指数回报率波动、贸易加权汇率回报率波动、基准利率差波动对上市银行市值(股票回报率)影响的敏感度,实证结果表明：股票市场回报率波动、基准利率差波动对上市银行市值影响显著,并与银行市值分别平均有76%和578%的正相关,并从银行财务状况角度用截面数据模型进一步分析了影响银行预期系统性风险的因素,实证表明：上市银行盈利波动率、不良贷款率以及银行的高成长性都会增加银行面临的股票市场风险和基准利差风险,大型上市银行不具有降低其面临的股票市场系统风险的优势。
As China's capital market "stock tradable" era is coming, the market management has aroused widespread concern related, in our weak efficient capital market, the size of the market value of listed companies is indeed closely related with the stock price ups and downs, but the real decision not the stock market, but stock behind the underlying value of price factors, is the overall quality or value of the company embodies。What factors affect the market value of listed banks on earth, the authors attempt to explore this issue, this paper choose 14 listed banks as the research object, Using factor model as the theoretical basis, empirical analysis of panel data model with a stock market return volatility, the Shanghai government bond market index return volatility, trade-weighted exchange rate fluctuations in the rate of return, deposit and loan interest rates fluctuate the market value of listed banks (stock returns) affect the sensitivity of empirical results show that:the stock market return volatility, fluctuations in interest rates for deposits and loans market value of listed banks significantly affected, and the market value of the bank were 578% and an average of 76% is related to the financial situation from the perspective of banking data model with a cross section of bank is expected to further analysis of the systemic risk factors, evidence that:market volatility of bank profitability, non-performing loan ratio and the bank's high growth will increase the risks banks are facing, and the benchmark stock market risk difference, the article also found through empirical that large banks do not have the advantage of reducing its exposure to stock market risk.
As China's capital market "stock tradable" era is coming, the market management has aroused widespread concern related, in our weak efficient capital market, the size of the market value of listed companies is indeed closely related with the stock price ups and downs, but the real decision not the stock market, but stock behind the underlying value of price factors, is the overall quality or value of the company embodies。What factors affect the market value of listed banks on earth, the authors attempt to explore this issue, this paper choose 14 listed banks as the research object, Using factor model as the theoretical basis, empirical analysis of panel data model with a stock market return volatility, the Shanghai government bond market index return volatility, trade-weighted exchange rate fluctuations in the rate of return, deposit and loan interest rates fluctuate the market value of listed banks (stock returns) affect the sensitivity of empirical results show that:the stock market return volatility, fluctuations in interest rates for deposits and loans market value of listed banks significantly affected, and the market value of the bank were 578% and an average of 76% is related to the financial situation from the perspective of banking data model with a cross section of bank is expected to further analysis of the systemic risk factors, evidence that:market volatility of bank profitability, non-performing loan ratio and the bank's high growth will increase the risks banks are facing, and the benchmark stock market risk difference, the article also found through empirical that large banks do not have the advantage of reducing its exposure to stock market risk.
引文
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[19]吴世农,李旭升,我国股票系统性风险的评价、调整和预测研究,中国会计与财务研究,2002,(9)：1-17
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[21]J.M.伍德里奇.计量经济学导论：现代观点.第1版.北京：中国人民大学出版社,2003.3,393-447
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[23]彼得.S.罗斯.商业银行管理.刘园译.第5版.北京：机械工业出版社,2004.(8)：135-150
[24]张丽华.加强国有商业银行资本充足性管制的探讨.中国金融,2004,(6)：30-31
[25]张雪丽,商业银行资本结构研究.财经问题研究,2004,(1),33-36
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[27]王汉锋,我国银行资金与股票市场关系的实证研究.南方金融[J],2004,(12)：40-42
[28]小约瑟夫.F.辛基.商业银行财务管理.黄金老译.第6版.北京：中国人民大学出版社,2005,257-310
[29]Cheng Hsiao,面板数据分析.第2版.北京：北京大学出版社,2005.9,1-69
[30]才宏远,王新华.商业银行中间业务发展现状分析.中国金融,2005,(14)：41-42
[31]刘华,邓启峰.国有商业银行不良贷款形成原因及化解机制,中国城市经济, 2006,(8)：3-4
[32]殷苒.论我国商业银行的资本管理：[硕士学位论文].北京：首都经济贸易大学,2006.03,30-31
[33]段军山,股票价格波动对银行稳定影响的理论及经验分析.上海金融,2006,(6)
[34]宿成建,中国证券多因素及三因素定价模型实证研究.系统工程理论与实践,2006,(8),18-26
[35]张晓艳.中外商业银行非利息收入分析与比较.金融管理与研究,2006,(9)：27-33
[36]李训,曹国华,我国上市公司股票收益率影响因素的实证研究,2006,(10)：143-147
[37]王琴,李洁.利率市场化下银行盈利模式的转变.中国市场,2006,(23)：20-21
[38]李海涛,王元月,沪市股票价格影响因素的实证分析.山东经济,2007,(2),82-86
[39]卢绮玲.商业银行如何应对利率市场化的挑战.中山大学学报论丛,2007.(4)：101-103
[40]张晓峒,Eviews使用指南与案例,北京：机械工业出版社,2007.2
[41]马广元,吴凌寒,刘军,我国汇率变动对商业银行盈利能力的影响研究.浙江金融,2008,(11)
[42]王伟,β系数影响因素的实证研究综述,商场现代化.2009,(2)
[2]Akella, Srinivas R. Greenbaum, Innovations Interest Raes, Duration Transformation,and Bank Stock Stock Returns,Journal of Money,Credit,and banking;1992;24:28-42
[3]Andrew Saporoschenko.The sensitivity of Japanese bank stock returns to economic factors[J]. Global Finance Journal,2002.13:253-270
[4]Beaver, W.H,Kettler,P,and Scholes,M.The Association between Maeket-Determined and Accounting-Determined Risk Measure,The Accounting Review,1970,(10),654-682
[5]Brewer,Elijah;Lee, Cheng Few.An Intracyclical Analysis of the Risk Sensitivity of Bank Stock Returns, Quarterly Journal of Business and economics, 1990;(29),125-143
[6]Choi, J. J., Elyasiani, E.,& Kopecky, K. J. The sensitivity of bank stock returns to market, interest and exchange risks[J]. Journal of Banking and Finance,1992: 983-1004
[7]Flannery,M.J&James.The effect of interest rate changes on the common stock return of financial institutions,Journal of Finance,1984;39,1141-1153
[8]Klstas Drakos. Assessing the success of reform in transition banking 10 years later:an interest margions analysis, Journal of Plicy Modeling,2003, (25):309-317
[9]Konstantinos Drakos,Interest Rate and Bank Common Stock Returns:Evidence from the Greek Banking Setor,Department of Economics,2007,(6),21-48
[10]Kwan,S,H,Reexamination of Interest rate Sensitivity of Commercial Bank Returns Using a Random Coefficient Model,Journal of financial Services Research,1991,(5),61-76
[11]Madura,jeff; Zarruk, Emilio R. Information Effects of Loan Portfolio Quality on Bank Value [J].Quarterly Journal of Business and Economics,1992,31:38-50
[12]Priti Verma, Dave O.Jackson. Interest rate and bank stock returns asymmetry:Evidence from U.S. banks[J].Journal Economic finance,2008,32: 105-118
[13]Rosenberg,B.and J.Guy,Prediction of a beta from Investment Fundamentals,Financial Analysts Journal,1976,(1),3-15
[14]Robert W.FaFF, AllAN HODGSON AND MICHAEL L. KREMMER.An Investigation of the Impact of Interest Rates and Interest Rate Volatility on Australian inancial Sector Stock Return Distributions, Journal of Business Finance & Accounting,2005,(32):1001-1031
[15]吴世农,股票beta估计值的影响因素,经济研究,1997,(6),21-27
[16]吴世农,冉孟顺,我国上市公司系统风险与会计变量之间关系的实证研究.会计研究,1999,(12),29-33
[17]樊志刚,陈建宁,我国资本市场发展对我行的影响及其对策.城市金融论坛,2000,(4),1-8
[18]陈信元,张余田,陈东华,预期股票收益的横截面多因子分析：来自中国证券市场的经验证据.金融研究,2001,(6)：22-35
[19]吴世农,李旭升,我国股票系统性风险的评价、调整和预测研究,中国会计与财务研究,2002,(9)：1-17
[20]范龙振,王海涛,上海股票市场股票收益率因素研究.管理科学学报,2003,(1)：60-67
[21]J.M.伍德里奇.计量经济学导论：现代观点.第1版.北京：中国人民大学出版社,2003.3,393-447
[22]苏宝通,陈炜,陈浪南,公开信息与股票回报率相关性的实证研究.管理科学,2004,(6)：68-75
[23]彼得.S.罗斯.商业银行管理.刘园译.第5版.北京：机械工业出版社,2004.(8)：135-150
[24]张丽华.加强国有商业银行资本充足性管制的探讨.中国金融,2004,(6)：30-31
[25]张雪丽,商业银行资本结构研究.财经问题研究,2004,(1),33-36
[26]汤光华,柯锦途,练丹,系统风险、规模与股票收益.中山大学学报(社会科学版),2004,(5),28-33
[27]王汉锋,我国银行资金与股票市场关系的实证研究.南方金融[J],2004,(12)：40-42
[28]小约瑟夫.F.辛基.商业银行财务管理.黄金老译.第6版.北京：中国人民大学出版社,2005,257-310
[29]Cheng Hsiao,面板数据分析.第2版.北京：北京大学出版社,2005.9,1-69
[30]才宏远,王新华.商业银行中间业务发展现状分析.中国金融,2005,(14)：41-42
[31]刘华,邓启峰.国有商业银行不良贷款形成原因及化解机制,中国城市经济, 2006,(8)：3-4
[32]殷苒.论我国商业银行的资本管理：[硕士学位论文].北京：首都经济贸易大学,2006.03,30-31
[33]段军山,股票价格波动对银行稳定影响的理论及经验分析.上海金融,2006,(6)
[34]宿成建,中国证券多因素及三因素定价模型实证研究.系统工程理论与实践,2006,(8),18-26
[35]张晓艳.中外商业银行非利息收入分析与比较.金融管理与研究,2006,(9)：27-33
[36]李训,曹国华,我国上市公司股票收益率影响因素的实证研究,2006,(10)：143-147
[37]王琴,李洁.利率市场化下银行盈利模式的转变.中国市场,2006,(23)：20-21
[38]李海涛,王元月,沪市股票价格影响因素的实证分析.山东经济,2007,(2),82-86
[39]卢绮玲.商业银行如何应对利率市场化的挑战.中山大学学报论丛,2007.(4)：101-103
[40]张晓峒,Eviews使用指南与案例,北京：机械工业出版社,2007.2
[41]马广元,吴凌寒,刘军,我国汇率变动对商业银行盈利能力的影响研究.浙江金融,2008,(11)
[42]王伟,β系数影响因素的实证研究综述,商场现代化.2009,(2)