产品市场竞争、成长性与股票特质性波动——基于中国上市公司的经验证据

Product Market Competition,Growth and Stock Idiosyncratic Volatility:Evidence from Chinese Listed Companies

本文以沪深A股上市公司2000～2012年数据为样本,检验＂竞争—风险＂（＂PMC—风险＂）关联,研究发现：中国资本市场的特质性波动已处于较高水平,且具有明显的阶段性波动特征;＂PMC—风险＂的非线性关联（U型）,即产品市场的适度竞争能有效缓解特质性波动,而日趋激烈的产品市场竞争会显著加剧特质性波动。成长性差异是影响＂PMC—风险＂效应的一个关键环境变量,处于新兴/转轨经济背景下的中国上市公司普遍面临的高成长压力是加剧其产品市场竞争并进而引致股票回报显著波动的一个重要推手,高成长压力具有＂竞争加剧效应＂。

Based on the sample of the listed companies in Shanghai and Shenzhen A-share data from2000 to 2012,this paper further investigates the connection of'PMC-Risk'.We find that China's listed companies' IR has been at a higher level,and has a clear characteristic of periodic fluctuations,and the correlation of'PMC-Risk'is nonlinear(U-shape),that is,firms' significant product market power can effectively weaken the IR and stabilize the firms' stock return.Growth difference is the important environmental factors that significantly affect the relationship of 'PMCRisk',this paper also firstly points out that high growth pressure is an important promoter which intensifies the PMC and leads to significant volatility of stock returns under the background of the emerging/transitional economy in China,and high growth pressure has the effect of increasing competition.