上市公司现金股利与股价波动关系研究——基于深市主板、创业板、中小板数据的分析

Research on the Relationship between Listed Companies’ Cash Dividends and Stock Price Volatility——Empirical Analysis based on the data of Shenzhen Main Board, ChiNext Board, and Small and Medium-sized Board

在股票市场中,股价波动会受到现金股利发放水平的影响。为了探究二者之间的关系,本文基于股利发放水平的视角,重新评估了现金股利与股价波动之间的关系。以2012-2019年间我国深市主板、创业板和中小板上市公司为样本的实证研究发现,现金股利与股价波动呈负相关关系,上市公司股利发放水平的不同将对二者的关系产生显著影响。倾向于采用低股利发放策略的上市公司,其现金股利水平与股价波动的负相关性越强,反之则较弱。进一步,本文还检验了股利发放水平的变化对股价波动的影响,发现股利增长率对中高股利组股价波动具有解释能力,二者之间亦呈负相关关系。

Stock price fluctuations will be affected by the level of cash dividends in stock market. Based on the view of dividend level, the paper re-evaluates the relationship between cash dividends and stock price volatility. With a sample of Shenzhen Stock Exchange, including the data of Main Board, ChiNext Board and SME Board listed companies from 2012 to2019, we find that cash dividends are negatively related with stock price’s volatility, and the difference in the level of dividends will have a significant impact on it, too. For listed companies that tend to adopt low dividend payout strategies, the negative correlation will be stronger, and vice versa. Furthermore, the article also finds that there is a negative relationship between the dividend growth rate and the stock volatility.