股票市場一直是中國學術界關注的焦點之一，行為金融理論的興起使得眾多研究嘗試從行為偏差的角度對持股者的交易行為及其影響進行研究，從而解釋中國股票市場的效率問題，類別為論文。
基本介紹
- 中文名：產品市場勢力與持股者交易行為
- 類別：論文
- 關鍵字：產品市場勢力、交易行為
- 摘要：解釋中國股票市場的效率問題
中文摘要,外文摘要,
中文摘要
本文沿著Campbell et al．(2001)、Pastor and Veronesi (2003)、Gasper and Massa(2006)、Tookes(2008)、Peress(2010)的研究思路從產品市場勢力的角度進行了探討，分析產品市場勢力對於持股者交易行為的影響。
本文第一部分首先分析了產品市場勢力對於持股者交易行為影響的基礎機制，並證實產品市場勢力的提...>> 詳細
本文第一部分首先分析了產品市場勢力對於持股者交易行為影響的基礎機制，並證實產品市場勢力的提...>> 詳細
股票市場一直是中國學術界關注的焦點之一，行為金融理論的興起使得眾多研究嘗試從行為偏差的角度對持股者的交易行為及其影響進行研究，從而解釋中國股票市場的效率問題。本文沿著Campbell et al．(2001)、Pastor and Veronesi (2003)、Gasper and Massa(2006)、Tookes(2008)、Peress(2010)的研究思路從產品市場勢力的角度進行了探討，分析產品市場勢力對於持股者交易行為的影響。
本文第一部分首先分析了產品市場勢力對於持股者交易行為影響的基礎機制，並證實產品市場勢力的提高能顯著降低股票收益率的公司特質波動，從而降低交易時面對的不確定性。同時產品市場勢力還導致了異質信念水平的提高，原因可能在於產品市場勢力降低了不確定性的同時也增強了持股者的信心，因而更加相信自己的判斷。
在第一部分研究的基礎上，本文繼續分析了產品市場勢力對持股者交易的積極性、交易中的羊群行為、處置效應的影響。基於投資者是風險厭惡的和異質信念促進交易的假設以及前面的研究結論，本文推斷並證實產品市場勢力能夠顯著地促進交易，這種促進不僅表現在交易量的擴大上，還表現在每筆交易量的提高上。而對於羊群行為的分析是建立在信息不對稱導致羊群行為的假設下，當產品市場勢力減輕股票收益率的公司特質波動時信息不對稱程度下降，而交易水平的提高也意味著市場交易對信息傳遞的作用增強，這些都使得交易的信息環境改善，從而減少羊群行為。同時異質信念水平的提高意味著交易時會更多根據自己的判斷進行決策，而不是從眾。因此本文認為產品市場勢力的提高能夠降低交易中的羊群行為，第三部分的實證研究也提供了相應的證據。而對處置效應的研究則是基於由前景理論所得到的不確定性與處置效應之間的聯繫，即交易時面對的不確定性程度越高越可能發生處置效應等行為偏差，而產品市場勢力能夠降低交易時面對的不確定性，因而可以減輕處置效應。對此第四部分的研究給出了相關證據。
最後，本文分析了產品市場勢力通過持股者的交易行為而對股票價格信息含量以及股票市場流動性產生的影響，結果發現產品市場勢力因為促進交易、信息傳遞等降低了市場的信息不對稱水平，最終提高股票價格的信息含量和市場流動性。產品市場勢力的影響在控制公司治理水平的情況下依然顯著，並與公司治理之間存在互動關係。
關鍵字：產品市場勢力 交易行為 不確定性
本文第一部分首先分析了產品市場勢力對於持股者交易行為影響的基礎機制，並證實產品市場勢力的提高能顯著降低股票收益率的公司特質波動，從而降低交易時面對的不確定性。同時產品市場勢力還導致了異質信念水平的提高，原因可能在於產品市場勢力降低了不確定性的同時也增強了持股者的信心，因而更加相信自己的判斷。
在第一部分研究的基礎上，本文繼續分析了產品市場勢力對持股者交易的積極性、交易中的羊群行為、處置效應的影響。基於投資者是風險厭惡的和異質信念促進交易的假設以及前面的研究結論，本文推斷並證實產品市場勢力能夠顯著地促進交易，這種促進不僅表現在交易量的擴大上，還表現在每筆交易量的提高上。而對於羊群行為的分析是建立在信息不對稱導致羊群行為的假設下，當產品市場勢力減輕股票收益率的公司特質波動時信息不對稱程度下降，而交易水平的提高也意味著市場交易對信息傳遞的作用增強，這些都使得交易的信息環境改善，從而減少羊群行為。同時異質信念水平的提高意味著交易時會更多根據自己的判斷進行決策，而不是從眾。因此本文認為產品市場勢力的提高能夠降低交易中的羊群行為，第三部分的實證研究也提供了相應的證據。而對處置效應的研究則是基於由前景理論所得到的不確定性與處置效應之間的聯繫，即交易時面對的不確定性程度越高越可能發生處置效應等行為偏差，而產品市場勢力能夠降低交易時面對的不確定性，因而可以減輕處置效應。對此第四部分的研究給出了相關證據。
最後，本文分析了產品市場勢力通過持股者的交易行為而對股票價格信息含量以及股票市場流動性產生的影響，結果發現產品市場勢力因為促進交易、信息傳遞等降低了市場的信息不對稱水平，最終提高股票價格的信息含量和市場流動性。產品市場勢力的影響在控制公司治理水平的情況下依然顯著，並與公司治理之間存在互動關係。
關鍵字：產品市場勢力 交易行為 不確定性
外文摘要
Stock market is one of the focal points of Chinese academy. The rise of behavior finance has encouraged studies of trading behavior in the view of behavior bias to explain the efficiency of Chinese stock market. Following studies of Campbell et al. (2001), Pastor and Veronesi (2003), Gasper and Massa (2006), Tookes (2008) and Peress (2010), this paper focuses on the impact of product market power on shareholders'' trading behavior.
Section one investigates the mechanism that product mark...>> 詳細
Section one investigates the mechanism that product mark...>> 詳細
Stock market is one of the focal points of Chinese academy. The rise of behavior finance has encouraged studies of trading behavior in the view of behavior bias to explain the efficiency of Chinese stock market. Following studies of Campbell et al. (2001), Pastor and Veronesi (2003), Gasper and Massa (2006), Tookes (2008) and Peress (2010), this paper focuses on the impact of product market power on shareholders'' trading behavior.
Section one investigates the mechanism that product market power influences sharholders'' trading behavior. It is found that product market power could reduce firm-specific return volatility, and then uncertainty in trade. And product market power increases heterogeneous beliefs, because shareholders will be more self-confident and insist on their own judgment when uncertainty is reduced.
On the basis of section one this paper explores the impact of product market power on shareholders'' trading motivation, herd behavior and disposition in trade. Based on the hypothesis of risk-aversion investor, disagreement encourage trade and conclusion of the first section, I believe that product market power can encourage trade. Proofs are given in section two, and I find that product market power improves both turnover and turnover per trade. The analysis of herd behavior is based on the assumption that information asymmetry induces herding. When product market power reduces firm-specific return volatility, information asymmetry alleviated. And improved trading volume implies that trading will convey more information. These all improve the trading environment for shareholders, and reduce herd behavior. Also, the increase of heterogeneous beliefs suggests that shareholders will be less likely to follow others, but behave as they believe. Section three gives empirical proofs. Research on disposition effect is base on the relation between uncertainty and disposition deduced from prospect theory. That is to say, uncertainty induces behavior bias such as disposition effect. Given product market power could reduces uncertainty, it will mitigate disposition. And proofs are given in section four.
Next I analysis the impact of product market power on stock market liquidity and the information content of stock price through shareholders'' trading behavior. It''s found that the increase of product market power will improve the information content of stock price and stock market liquidity by encouraging trading, information diffusion, and reducing information asymmetry. This impact is significant even when variables of corporate governance are controlled, and the product market power will interact with corporate governance.
Keywords: product market power; trading behavior; uncertainty
Section one investigates the mechanism that product market power influences sharholders'' trading behavior. It is found that product market power could reduce firm-specific return volatility, and then uncertainty in trade. And product market power increases heterogeneous beliefs, because shareholders will be more self-confident and insist on their own judgment when uncertainty is reduced.
On the basis of section one this paper explores the impact of product market power on shareholders'' trading motivation, herd behavior and disposition in trade. Based on the hypothesis of risk-aversion investor, disagreement encourage trade and conclusion of the first section, I believe that product market power can encourage trade. Proofs are given in section two, and I find that product market power improves both turnover and turnover per trade. The analysis of herd behavior is based on the assumption that information asymmetry induces herding. When product market power reduces firm-specific return volatility, information asymmetry alleviated. And improved trading volume implies that trading will convey more information. These all improve the trading environment for shareholders, and reduce herd behavior. Also, the increase of heterogeneous beliefs suggests that shareholders will be less likely to follow others, but behave as they believe. Section three gives empirical proofs. Research on disposition effect is base on the relation between uncertainty and disposition deduced from prospect theory. That is to say, uncertainty induces behavior bias such as disposition effect. Given product market power could reduces uncertainty, it will mitigate disposition. And proofs are given in section four.
Next I analysis the impact of product market power on stock market liquidity and the information content of stock price through shareholders'' trading behavior. It''s found that the increase of product market power will improve the information content of stock price and stock market liquidity by encouraging trading, information diffusion, and reducing information asymmetry. This impact is significant even when variables of corporate governance are controlled, and the product market power will interact with corporate governance.
Keywords: product market power; trading behavior; uncertainty
