境外股东持股对中国股市风险的影响研究——来自PSM方法的经验证据

Study on the Foreign Shareholders Held Influencing on the Risk of Chinese Stock Market——Empirical Evidence From the PSM Method

以中国股市所有上市公司为研究对象,基于2006～2010年数据,使用面板随机效应回归稳健估计、IV估计和横截面估计以及PSM法等计量方法,以股价波动性、股票收益波动性和风险因子等指标衡量股市风险,探索了境外股东和境外大股东直接持股与中国股市风险间的关系。实证结果发现,境外股东直接持股能显著降低中国股市风险,起到稳定市场的作用。

This paper studies the all listed companies of Chinese stock market over the 2006 -2010 period,which use panel random effects regression robust estimation, IV estimation and cross - section estimation and PSM method. In order to meas-ure the risk of stock market, it＇ s has chosen the indexes of share price volatility, the stock returns and risk factor. And then explored the relation between the foreign shareholders held or foreign large shareholders directly owned shares with the risk of Chinese stock market that could significantly reduce the Chinese stock market risk. Study found that foreign shareholders held could reduce significantly the risk of Chinese stock market.