摘要
本文将股票价格分解为持久性成分和暂时性成分,实证分析了深沪股市股票价格对分红变动的非对称反应。结果表明:深沪股市股票价格对分红变动的反应存在非对称性,符合不完全信息理论假设;深沪两市对分红历史变动的反应差异明显。非对称冲击反应视角下的实证分析为研究资本市场系统性风险提供了新思路,股票价格对分红变动冲击的动态反应过程,突显监管部门引导上市企业加强现金分红连续性、合理性和透明度的重要性。
This paper decomposes the stock price into a permanent component and a temporary component, and empirically analyzes the asymmetrical response of the Shanghai and Shenzhen stock market price changes to the dividend. The results show that: The response of stock price in Shenzhen and Shanghai stock markets to dividends is asymmetric, in line with the assumption of incomplete information theory. There are significant differences in the response to changes in dividend history between Shenzhen and Shanghai stock markets. The empirical analysis from the perspective of asymmetric impact response provides a new way of thinking about the systematic risk of capital market. The dynamic reaction process of stock price shocks to dividends highlights the importance of regulators guiding listed companies to enhance the continuity, rationality and transparency of cash dividends.
出处
《证券市场导报》
CSSCI
北大核心
2019年第1期48-54,共7页
Securities Market Herald
基金
教育部哲学社会科学研究重大课题攻关项目"资本市场的系统性风险测度与防范体系构建研究"(项目编号:17JZD016)
中国博士后科学基金资助项目"中国城市房价泡沫异质性动态识别
风险测度与防范"(项目编号:2017M611306)的阶段性研究成果
关键词
分红变动
持久性-暂时性分解
系统性风险
市场波动
systematic risk
dividend growth
temporary-permanent decomposition
market volatility
