股票名称与股票价格非理性联动——中国A股市场的研究

The Irrational Co-movement of Stock Names and Stock Prices

本文利用中国A股市场中独特的配对股票样本对股票价格间的"非理性联动"现象进行了研究,并探讨了导致这种非理性联动的原因。本文发现:(1)仅名称相似,但没有其他相关性的配对股票收益率之间存在很高的正相关性;(2)比较名称变更前后股票收益率相关性的变化发现,名称变更对股票之间的联动性具有显著影响;(3)与机构投资者相比,个人投资者更容易对名称相似的配对股票产生混淆;另外,投资者情绪变化幅度越大,配对股票之间的联动性越高,说明投资者情绪变化对配对股票之间的联动起到了放大作用;除此以外,对配对股票来说,如果一只股票价格变动反映的是"坏消息"("好消息"),则该股票收益率对另一只股票的收益率具有更高(低)的解释力,意味着投资者由于损失厌恶而对"坏消息"的反应程度要大于对"好消息"的反应程度。

By the use of the unique sample of matching stock in China’s H-share markets,we have made a study on the phenomenon of 'the irrational co-movement' among stock prices,and explored the cause for this co-movement.We have discovered that (1) if the names are similar but if there is no other relative matching,there exists a very close positive correlation between stock returns;(2) by analyzing the changes in the correlation that took place after listed companies changed their sock ticker symbols,we have found that the changes in ticker symbols have significant effects on the co-movement between stocks;(3) compared with institutional investors,individual investors are more possible to be confused about the matching stocks with similar names;the greater the degree of the change in investors’ emotion,the greater the co-movement between the matching stocks,which demonstrates that the change in investors’ mood plays a role of amplification in the co-movement of between the matching stocks;for the matching stocks,if the change in one kind of stock reflects 'bad information',the returns of this stock will have a greater power for the explanation for the returns rate of another kind of stock,and if the said change reflects 'good information',the returns of this stock will have a weaker power for the said explanation,which means that,because of investors’ aversion for loss,the degree of investors’ response to 'bad information' is greater than the degree of their response to 'good information'.