| 有限套利与股价同步性的实证研究 |
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| 引用本文： | 肖浩,夏新平.有限套利与股价同步性的实证研究[J].武汉理工大学学报(信息与管理工程版),2011,33(4):634-638. |
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| 作者姓名： | 肖浩 夏新平 |
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| 作者单位： | 华中科技大学管理学院,湖北武汉,430074 |
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| 基金项目： | 国家自然科学基金资助项目(70872035) |
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| 摘 要： | 通过构建代理变量衡量市场有限套利程度,验证了我国证券市场有限套利对股价同步性波动的影响。研究发现,现金股利作为控股股东利益输送的手段,增加了套利者的持有成本,现金股利与股价同步性显著正相关;交易成本越高,套利局限越严重,股价同步性波动越强;投资者成熟度越高,套利交易越活跃,股价同步性现象变弱。这说明,市场对套利的限制程度越高,股价同步性波动越强。
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| 关 键 词： | 股价同步性 有限套利 现金股利 交易成本 投资者成熟度 |
Empirical Study on Limited Arbitrage and Stock Price Synchronicity |
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| XIAO Hao,XIA Xinping.Empirical Study on Limited Arbitrage and Stock Price Synchronicity[J].Journal of Wuhan University of Technology(Information & Management Engineering),2011,33(4):634-638. |
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| Authors: | XIAO Hao XIA Xinping |
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| Affiliation: | XIAO Hao,XIA Xinping Doctorial Candidate,School of Management,Huazhong University of Science and Technology,Wuhan 430074,China. |
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| Abstract: | Proxy variables were used to measure limited arbitrage and examine the impacts of limited arbitrage on stock price synchronicity in Chinese stock market.The results show that cash dividend is positively related to synchronicity,because cash dividend became an expropriation of outside shareholders by controlling shareholders and increased holding costs.The higher the trading costs were,the more severe the limits of arbitrage were and the higher the synchronicity was.Sophisticated investors motivated arbitrag... |
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| Keywords: | synchronicity limited arbitrage cash dividend trading cost investor sophistication |
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