有限套利与股价同步性的实证研究

Empirical Study on Limited Arbitrage and Stock Price Synchronicity

通过构建代理变量衡量市场有限套利程度,验证了我国证券市场有限套利对股价同步性波动的影响。研究发现,现金股利作为控股股东利益输送的手段,增加了套利者的持有成本,现金股利与股价同步性显著正相关;交易成本越高,套利局限越严重,股价同步性波动越强;投资者成熟度越高,套利交易越活跃,股价同步性现象变弱。这说明,市场对套利的限制程度越高,股价同步性波动越强。

Proxy variables were used to measure limited arbitrage and examine the impacts of limited arbitrage on stock price synchronicity in Chinese stock market.The results show that cash dividend is positively related to synchronicity,because cash dividend became an expropriation of outside shareholders by controlling shareholders and increased holding costs.The higher the trading costs were,the more severe the limits of arbitrage were and the higher the synchronicity was.Sophisticated investors motivated arbitrage activities and reduced the phenomenon of stock price synchronicity.These findings supported the hypothesis that higher synchronicity is due to the limits of arbitrage.