境外大股东持股与股价同步性研究

Study on Large Foreign Shareholders Holdings and Share Price Synchronicity

以2006-2010年的中国所有上市公司为研究对象,采用多种方法分析境外大股东与股价同步性的关系。结果发现:首先,境外大股东在来源地方面具有显著的地缘特征和经贸关系特征;其次,行业不同股价同步性呈现出较大差异,如采掘业、金融业的股价同步性很高,而制造业、批发零售业相对较小;再次,境外大股东持股与股价同步性呈显著负相关性;最后,来自非港澳台的直接境外大股东对股价同步性有更大的影响,而直接境外大股东是否为金融机构差异不明显。

In this paper,it uses all listed companies in China as the research object from 2006 to 2010 year,analyzes the relationships of the share price synchronization and the large foreign shareholders using a variety of methods. it founds： First,foreign large shareholders has the significant geographic features and characteristics of trade relations for source areas. Secondly,the industry presents different stock price synchronicity,such as stock price synchronicity is higher in the mining industry,the financial sector,while it is relatively small in the manufacturing,wholesale and retail trade. Once again,there is significant negative correlation between the foreign large shareholder and the stock price synchronicity with. Finally,the direct foreign large shareholders from non- Hong Kong,Macao and Taiwan has a greater impact on stock prices synchronization,it is not obvious whether the foreign large shareholders is the financial institutions.