国际资本抽逃对国有控股银行股价稳定性分析

The Influence of International Capital Flight on the Stability of Stock Prices of State-controlled Banks in China

本文以工行、中行、建行三家上市国有控股银行的股价为样本,研究在3年禁售期到期后国际战略投资者抛售所持中资银行股权情况下的股价稳定性。通过对2008年底以来集中发生外资减持时点当日以及前后10日股价变动情况的实证分析发现,在2008年末和2009年初,初期的恐慌效应加上国际国内经济形势不明朗等因素,外资减持对中资银行的股价造成了较大冲击,尤其是遭受外资股东直接减持的上述三家银行。随着我国经济回暖复苏迹象逐步显现,市场投资者的信心逐渐恢复,外资减持对中资银行的股价影响力越来越有限。

Using the stock prices of three state-controlled banks （ICBC,BOC and CCB） as samples, this paper studies the stability of stock prices under the circumstance that international strategic investors sold their equities in Chinese-funded banks after the deadlines of lock-up period. By observing the changes of stock prices 10 days before and after the days and on the days when foreign investors sold their equities in a mass, the paper found that along with the panic effect in the early stage and the uncertain economic situation in China and abroad, foreign investors＇ underweight behavior had made great impact on the prices of Chinese-funded banks, especially the three above-mentioned underweight banks in late 2008 and early 2009. As the signs of economic recovery emerge in China and market investors＇ confidence gradually recover, the impact of foreign investors＇ underweight behavior on Chinese-funded banks is becoming increasingly limited.