交叉持股网络、波动率与股票收益——基于实物期权的视角

Cross-shareholding Network,Volatility and Stock Return:Based on the Perspective of Real Options

本文基于企业间交叉持股网络,利用其网络位置特征(网络中心性与结构洞)作为该网络平台具有的实物期权的代理变量,实证考察实物期权对股票收益和波动率之间关系的影响。结果发现:网络中心性和结构洞指标能显著增强股票收益率与同期波动率的变化之间的正向关系;相比国有企业而言,网络位置特征对民营企业的股票收益与波动率之间正向关系的促进作用更为显著。研究还发现,对于年轻企业而言,其交叉持股网络所具有的实物期权对于股票收益与波动率之间正向关系的影响更为显著。结论进一步肯定了实物期权对资产定价的重要影响。

Based on the cross-shareholding network, this paper empirically studies the effect of real options in cross- shareholding network measured by network position on the relationship between firm-level returns and firm-level volatility. We document that, network centrality and structural holes can significantly strengthen the positive relationship between firm-level returns and firm-level volatility. Contrast to state-owned firms, network position characteritic has a much stronger effect on improving the positive relationship between returns and volatility in the firm level for private firms. Moreover, real option for young firms has a more significant impact on the positive volatility-return relation.