机构投资者、现金股利政策与股票市场稳定性研究——来自2005-2009年中国A股上市公司的经验证据

Institutions,Cash Dividend Policy and Market Stability: Evidence from China Listed Companies through 2005-2009

论文基于2005-2009年中国A股上市公司年报数据的实证研究发现,当投资于发放现金股利的公司股票时,机构投资者持股比例与上市公司股票换手率、股票收益波动率、股价同步性等反映和衡量股票市场稳定性的三个渐次递进维度的指标都显著负相关;而当投资于不发放现金股利的公司股票时,机构投资者持股比例与衡量股票市场稳定性的指标显著正相关抑或不具有显著影响关系。这些结果表明上市公司的现金股利政策直接影响着机构投资者是选择长期的价值投资行为还是进行短期频繁的投机炒作,进而影响机构投资者稳定股票市场功能的有效发挥。论文的研究结论对于股票全流通时代发展机构投资者、引导投资者的长期价值投资行为以促进中国资本市场的健康稳定发展具有重要的启示和政策意义。

Using annual report data of Chinese A-share listed companies through 2005-2009, this paper finds that there is a significantly negative relationship between institutional ownership and market stability （as measured by stock turnover ratio, stock return volatility and stock price synchronicity） in cash dividend paying sample finns. However, there is a significantly positive or insignificant relationship between institutional own- ership and market stability in non-dividend paying sample firms. These empirical findings indicate that whether to adopt a buy-＆-hold strategy or a speculating strategy is directly affected by the target listed company＇s cash dividend policy. The findings have important policy implications for a healthy and stable development of China stock market. - ty; Stock Price Synchronicity