交叉持股关系影响股价联动吗

Does Cross-Holding Affect Share Price Linkage?

本文研究上市公司交叉持股关系对股价联动的影响。通过我国上市公司数据构建交叉持股关系矩阵和股价相关系数矩阵,运用QAP方法进行回归分析,实证研究表明:交叉持股存在地域效应和行业分散化特征,上市公司交叉持股网络关系与股票价格收益相关系数矩阵显著正相关,表明交叉持股形成的企业联结网络导致股价联动;进一步研究发现,相比于简单的交叉持股关系,同一大股东控制下的交叉持股关系对股价联动影响更小。本文认为,正确认识交叉持股行为对资产价格的影响,有助于投资者有效规避风险,监管者应出台相应政策确保交叉持股行为对股市风险传染的影响,以确保证券市场平稳发展。

.The paper studies the influence of cross-shareholding relationship of listed companies on share price linkage. By using QAP method, we conduct the analysis of regression through cross-shareholding relationship matrix and correlation coefficient matrix of share price established with the data of China＇s listed companies. Empirical research indicates that cross-shareholding has regional effect and characteristics of industry diversification, and there exists an obvious positive correlation between cross shareholding network relationship of listed companies and correlation coefficient matrix of share price earnings. It shows that enterprise connection network formed by cross-shareholding leads to share price linkage. Further research shows that cross-shareholding relationship controlled by the same major shareholder is less influential to share price linkage compared with simple cross-shareholding relationship. The paper holds the opinion that correctly knowing about the influence of cross-shareholding behavior on asset price is beneficial for investors to avoid risks efficiently. In addition, regulators should implement corresponding policies to guarantee the influence of cross-shareholding behavior on risk contagion in stock market and the steady development of securities market.