所有权结构与股票价格的同步性——来自中国股票市场的证据

OWNERSHIP STRUCTURE AND STOCK PRICE CO-MOVEMENT： EVIDENCE FROM THE CHINESE STOCK MARKET

本文以我国上市公司1995—2003年的6432个观测点为研究样本，对股票价格同步性（co—movement）与公司所有权安排之间的关系进行了实证分析。结果表明，所有权结构对股票价格的同步性具有显著的影响。其中，第一大股东的持股比例与股票价格同步性之间存在显著的非线性关系（股票价格的同步性随第一大股东持股比例的提高先增强后减弱）；其他大股东的持股比例与股票价格的同步性之间表现出显著的负相关关系。另外，无论是政府部门直接控制还是国有企业集团控制的上市公司的股票价格的同步性都显著高于非国家控股的公司，并且，国家控股公司股票价格的同步性也因其控制方式的不同而有所差异。

Based on a sample of 6,432 observations of Chinese-listed companies during 1995-2003, this paper empirically tests the relationship between the information content of the stock price and ownership structure. The results indicate that both ownership concentration and the largest shareholder＇s identity have significantly influenced the information content of the stock price. Ownership levels by other large shareholders are also positively related to the information content of the stock price. In addition, the information content is higher for companies controlled by a non-state entity than for those controlled by the state, whether the state is represented by a government agency or a state-owned enterprise.