货币政策环境对公司股价异质性的助推效应研究——基于二元所有制结构的视角

Study on Boosting Effect of Monetary Policy Environment on Heterogeneity of Company Stock Price——Based on Two Elements Ownership Structure

本文通过构建二元所有制结构下公司股价异质性的生成模型,从理论上分析了二元所有制结构下货币政策环境对公司股价异质性的助推效应;在此基础上,选取2006年1月至2015年6月中国证券市场月度数据,对二元所有制结构下货币政策环境对公司股价异质性的长期和短期助推效应进行实证分析。研究结果表明,二元所有制结构是公司股价异质性生成的根本原因,货币政策环境已成为公司股价异质性的外部助推器。作为货币政策环境重要替代变量的货币供给量,对公司股价异质性存在显著的长期和短期助推效应,但是作为货币政策环境另一替代变量的利率,对公司股价异质性的长期和短期助推效应均不显著。对于事先设定的货币政策环境,通货膨胀水平的变动短期内不会加剧公司股价异质性特征及程度,但是经济增长水平的变动短期内会加剧公司股价异质性特征及程度。本文的研究将为中国政府高效治理公司股价异质性以实现中国证券市场的健康稳定发展,提供重要的理论指导与决策参考。

This paper constructs generation model of heterogeneity of companies stock price under two elements ownership structure. It analyzes boosting effect of monetary policy to stock price heterogeneity under two elements ownership structure. It gives an empirical research on boosting effect of monetary policy to stock price heterogeneity by selecting monthly data of Chinese stock market from January 2006 to June 2015. The research shows that two elements ownership structure is fundamental reason for generation of stock price heterogeneity, and monetary policy environment has become an external booster of stock price heterogeneity. As an important alternative to monetary policy, money supply has a long and short term boosting effect to stock price heterogeneity, but interest rate has no boosting effect to stock price heterogeneity. Moreover, for the set of monetary policy environment, changes of inflation level will not increase the degree of stock price heterogeneity, but changes of economic growth level will increase the degree of stock price heterogeneity in short term. This research result will provide important theoretical guidance and decision-making reference for Chinese government to govern heterogeneity of company stock price efficiently and fufill Chinese securities with the healthy and stable development.