股价异常波动时期公司业绩与股票价格的关系研究——基于2015年中国A股上市公司的经验证据

Research on Relationship between Corporate Performance and Stock Price Volatility during Stock Price Abnormal Volatility Period:Empirical Evidence from China's A-Stock Listed Company in 2015

近年来,随着我国资本市场的不断发展与完善,其资源配置效率有所提升。然而在央行降息降准、舆论呼吁、配资等多重因素的推动下,2015年中国股票市场呈现了"大起大落"的异常波动行情,市场效率显著下降。文章以2015年沪市A股制造业和创业板高新技术企业为研究样本,实证考察了不同行业特征和不同业绩表现的企业,其公司业绩和股价关系的变化差异。研究结果显示:股价异常波动时期,企业业绩增长对股价波动的影响由抑制变为加剧。其中,制造业比高新技术业的加剧程度更大;绩优企业业绩增长造成的股价波动程度更大。此外,在绩优企业中,高新技术行业企业的业绩增加影响股价波动程度更高;而在绩劣企业中,制造业企业的业绩对股价波动的影响程度更高。研究结论对股价异常波动时期,减轻投资者的盲目性和增强监管部门救市的针对性具有一定的借鉴意义。

In recent years, along with the development and improvement of capital market in China, there has been an in- crease in the efficiency of resource allocation. However, motivated by multiple factors such as lower interest rate and lower re- serve-deposit ratio by central bank, appeals from public opinion, capital financing, etc. , there emerged an abnormal volatility period of ＂ ups and downs＂ in 2015 on Chinastock market, with a significant decline in market efficiency. Using the A-share listed manufacturing enterprises on Shanghai Stock Exchange and the listed high-tech enterprises on Growth Enterprise Market （GEM） in the year of 2015 as the observed sample, this paper empirically examines the enterprises with different industrial char- acteristics and with different performances, as well as the variation and difference in their relationship between corporate perform- ances and stock prices. The result shows that during the period of stock price abnormal volatility, the impact of growing corporate performance has changed from suppression to exacerbation on stock price volatility, with a more exacerbated degree in the manu- facturing industry than in the high-tech industry, and a higher degree of stock price volatility in the enterprises with good perform- ances. Moreover, among the enterprises with good performances, the growing corporate performance in high-tech industry impacts the stock price volatility with a higher degree. Among the enterprises with poor performances, the corporate performance in the manufacturing enterprises impacts the stock price volatility with a higher degree. The research conclusions provide some reference to the investors in reducing the blindness and to the supervision authority in strengthening more targeted bailout measures during the period of stock price abnormal volatility.