【作者】 王远林；

【导师】 郭多祚；

【作者基本信息】 东北财经大学 ， 数量经济学， 2012， 博士

【摘要】 经过二十多年的发展,中国证券市场逐步成长壮大,成为世界上重要的资本市场之一,在新兴证券市场中占有重要地位。证券市场对我国优化资源配置,调整经济结构,筹集更多的社会资金,促进国民经济的发展发挥了重要作用。中国证券市场成为建立市场经济体制的重要基础,使得市场化取向的改革成为中国不可逆转的选择。截止2011年12月底,上海、深圳两个市场境内上市公司数(A、B股)共有2342家、股票市价总值214758.10亿元、总股本29746亿股,日均股票成交金额1728.06亿元,投资者开户总数20259.2万户,证券化率达到64%。在人们最初的怀疑眼光中诞生的中国股票市场在短短20年的时间内,走过了发达国家资本市场需要100多年的路程。但是,中国股票市场在运行机制、法律制度、城信文化、参与主体和监管体系等方面与成熟市场相比存在较大的差距,在功能的完备性、运作的规范性、信息的公开性、市场的有效性等方面还有明显的不足,一个突出问题就是上市公司重融资,轻回报,分红不足,特别是同境外成熟市场相比,中国上市公司股利分配缺乏连续性,上市公司频繁变动支付股利的水平和方式。在这样一个背景下,本文对中国股票市场股利、股价之间的关系从理论和实证两个方面进行研究,研究结果对于中国股票市场的效率提升,更有效地发挥股票市场在资源配置方面的基础性作用,对促进上市公司合理制定可持续的红利分配政策,树立回报投资者的正确理念将起到了积极作用。主要研究工作有：(1)对中国股票市场的发展状况和股利状况进行了描述、比较和分析。总起来看,中国股票市场无论在市价总值、流通市值和占国内生产总值的比重方面,都有快速的发展,特别是股权分置改革完成后,在上市股票数、上市公司数、融资金额、股票成交金额和投资者开户数等方面都有了较大的增长,但是,中国股票市场的换手率和市盈率都较高,投机色彩浓厚；从股利方面来看,我国上市公司中分红公司的比率高于美国和中国台湾,比英国、日本和中国香港低；分红比率高于美国,低于英国、日本、中国台湾和中国香港；从股利和股价的关系来看,中国股票市场的股息率低于其他国际市场。(2)从理论上对股利、股价的决定过程进行了分析。首先对股票价格决定的理论基础有效市场假说进行评述,并对近年来各种检验有效市场假说的检验方法进行了评析,指出了检验中存在的一些问题；其次,对股票价格反映信息的过程进行了理论分析,并在考虑容量约束的条件下,建立了风险资产价格和信息成本、公司治理水平和市场监管水平的数理模型,认为股价对信息的反映是不完全的、有选择的,这种反映是不同的投资者通过市场交易进行的,反映信息的深度在一定程度上说明了市场有效性的程度；最后,在对Demarzo和Sannikov (2011)模型进行简化的基础上,使用连续时间方法讨论了考虑学习和信息不对称情况下委托人和代理人之间最优合约的特征,并根据这种特征对公司的股利政策进行了讨论,得到了在公司现金不同情况下股利政策,认为在公司发展的初期,应该尽快地积累现金达到有效水平,以避免遭遇清算；在公司达到现金有效水平后,公司开始发放股利,并且股利的增长水平达到期望收益的水平；在公司发展到一定阶段后,现金流会降低,发放的股利会减少,当公司现金低于有效水平时,公司进入破产清算阶段。并对这个结论的政策含义进行了简要说明。(3)使用线性和非线性Granger因果关系的检验方法,对中国股票市场上股价、股利之间的关系进行了检验。本文认为在中国、日本、英国和德国的股票市场上,股利对股价没有非线性因果影响,而美国股票市场上,股利和股价存在显著地双向非线性因果影响；对于日本和英国来说,股利和股价之间不存在非线性因果关系,而对于中国和德国来说,存在股价对股利的非线性因果关系。同线性因果关系检验的结果相比,发现了存在股价对股利的非线性因果关系,尽管二者之间不存在线性因果关系。认为和其他成熟市场相比,中国股票市场股利、股价之间的关系有一些特殊性,这表现在二者之间不存在Granger意义上的线性因果关系,也不存在股利对股价的非线性Granger因果影响,但是存在股价对股利的非线性Granger因果关系,这说明股价中含有股利的信息。(4)使用最近提出的非线性关系的分析方法——基于秩检验的单位根检验和非线性协整检验方法,对中国股票市场股利和股价之间的关系进行了研究,发现了用通常协整检验方法无法发现的一些关系,在中国股票市场上,股利和股价之间存在显著的非线性协整关系,这表明从长期看,股利和股价之间存在非线性的均衡关系。(5)在使用连续时间方法建立股利和股价波动率之间关系的理论模型基础上,使用多元GARCH模型,根据我国股票市场上股利和股价的有关数据,对股利、股价波动率之间的关系进行了实证研究,根据实证研究结果,认为我国股票市场股利、股价之间波动率存在传递效应,并且,这种传递效应具有持续性。本文认为这种传递效应的来源在于股利和股价都是其相应实体经济的衍生产品,实体经济的波动最终会传递到股利、股价的波动中,因此,减小实体经济的波动程度,可以减小股利和股价的波动情况。主要创新点有：(1)借鉴Shiller在研究美国股票市场时发展的一套处理股利数据的方法,得到我国上海证券交易所上市A股从1994年到2010年的股利月度数据,使用Diks和Panchenko (2006)提出的一种新的非参数检验方法,对中国股票市场股利、股价之间的非线性Granger因果关系进行了检验,认为不存在股利对股价的非线性Granger因果影响,但是,存在股价对股利的非线性Granger因果关系,而使用通常的线性Granger因果检验,认为二者之间不存在Granger因果关系。(2)使用基于秩检验的单位根检验和非线性协整检验方法,对中国股票市场股利和股价之间的关系进行了研究,发现了用参数协整检验方法无法发现的一些关系,认为在中国股票市场上股利和股价之间存在显著的非线性协整关系,这表明从长期看,股利和股价之间存在非线性的均衡关系。(3)使用连续时间方法建立股利的决定模型、股利和股价波动率之间关系的模型,在此基础上,使用多元GARCH模型,对股利、股价波动率之间的关系进行了实证研究,认为我国股票市场股利、股价之间波动率存在传递效应,并且,这种传递效应具有持续性,这种传递效应的来源在于股利和股价都是其相应实体经济的衍生产品,实体经济的波动最终会传递到股利、股价的波动。更多还原

【Abstract】 With the development in the past two decades, China’s stock market has become one of the fastest growing capital markets in the world and plays an important role in the emerging market in a transitional economy. China’s securities market has prompted quickly in improving resource allocation efficiency and carrying out adjustment of economic structure and raising more capital from the public and maintaining the growth of the Chinese economy. China’s securities market has become an important platform for the construction of a socialist market economy system and makes it possible for the market-oriented economic reform in China. By the end of December2011, the Shanghai and Shenzhen Stock Exchanges hosted2,342listed companies including A-shares and B-shares. The market capitalization of listed companies reached214,758.10billion, equivalent to about64%of China’s GDP. Total shares of listed Chinese companies were29,746billion. The total turnover per day was1,728.06billion. The number of securities account was20259.2million. China’s securities market which were emerged under criticized have been able to reach a level of development that took many mature markets a hundred years to achieve.However, compared with more mature markets, Chinese capital market still lags behind in terms of market efficiency, legal systems, fiduciary trust, competitiveness of market participants and regulatory frameworks. China’s capital market should be further developed into fully-functioning and well-regulated market with improved efficiency and expanded market depth and width. A major issue is that some listed companies care more about financing, less about return to investor and pay inadequate dividend. The dividend policy isn’t consistent and often changes in the manner of dividend.This dissertation analyzes the relationships between dividend and stock price in China’s stock market with mathematical models and empirical methods under such a background. The results are useful to improve the efficiency of China’s stock markets resource allocation and to have fully recognizing the fundamental role of capital market in resources allocation and to have a significant impact on listed companies form sustain dividend policy and to have right invest culture. The main results are summarized as follows.(1)I describe the facts about the development of China’s stock market and dividend. In general there is a rapid growth in all respects such as total market value of shares, market value of floatable shares and market capitalization as percentage of GDP. Especially after the non-tradable share reform, the number of listed shares, the number of listed companies, total funds raised from shares, trading volume and the number of investor’s accounts opened continued to steady growth. But the turnover rate and PE are very high. China’s stock market is still largely characterized by short-term investment and a shortage of long-term investors. The ratio of payout dividend listed companies to total listed companies is more than those in the U S and Tai Wan but is less than those in the UK, Japan and Hong Kong. The ratio of dividend to earnings in China’s stock market is more than those in the U S but is less than those in the UK, Japan, Tai Wan and Hong Kong. The dividend yield is less than the others.(2) I research the theoretical models of dividends and stock prices. After a review of efficient-market hypothesis which is the basis of stock pricing theory, I compare a few method of testing efficient-market hypothesis and point out their shortcomings. Then I do some works about the process which stock price incorporate information. Under capacity Constraints, I set up a mathematical model about risk asset price which is considered information cost, corporate governance and the effort of supervision. Stock price is reflected partly information. At last, I revisit DeMarzo&Sannikov (2011) model and study a principal-agent setting in which output carries information about both effort and future profitability. In the optimal contract, young firms are financially constrained, do not pay dividends, and may be liquidated inefficiently. If the firm survives and accumulates sufficient financial slack, it initiates dividends. I also give some policy implication of this result.(3) I empirically examine the nonlinear Granger causality between stock prices and dividends using China’s securities market data. There is no linear causality between two series for China using the F test. Using the nonlinear Granger causality Diks-Panchenko test, I cannot reject the null hypothesis of no causality from stock price to dividend and reject the null hypothesis of no causality from dividend to stock price. I also compare the results with Chen&Shen (2009) results about the U.S., the UK, Japan and Germany. (4) I apply unit root test and nonlinear cointegration based ranks test to stock price and dividend of China’s securities market. I notice that there is a significant nonlinear relationship between two series, which is not found using linear cointegration test. This evidence shows that there is a long-term nonlinear equilibrium relationship.(5) Based on the mathematical model of dividends and stock prices volatility transition using continuous-time method which was developed by Robert Merton (1971), I apply multivariate GARCH model to make an empirical research of stock prices and dividends of China’s securities market. The findings show that there is a transition effect of volatility between dividends and stock prices. This transition effect exists for a long time. I regard that the source of this transition effect is that dividend and stock price are derivatives of corresponding corporate. Corporate volatility can transfer to dividend and stock price in the end.The main contributions of this dissertation are as follows.(1) According to the method which Shiller had developed in studied the U.S. securities market, I have got stock dividend month data listed in Shanghai stock exchange from1994to2010.I empirically examine the nonlinear Granger causality between stock prices and dividends using the nonlinear Granger causality Diks-Panchenko test. There is no linear causality between two series for China using the F test., I cannot reject the null hypothesis of no causality from stock price to dividend and reject the null hypothesis of no causality from dividend to stock price.(2) I adopt the unit root test and nonlinear cointegration based ranks test to investigate the price-dividend relationships of China’s securities market. I find that there is a significant nonlinear relationship between two series, which is not found using linear cointegration test. The empirical results show that there do exist a long-term nonlinear equilibrium relationship in China’s securities market.(5) There is no doubt that the use of continuous-time methods has turned out to be critical in financial economics. This dissertation uses continuous-time method to construct the relationship between dividends and stock prices volatility transition. I apply multivariate GARCH model to make an empirical research of stock prices and dividends of China’s securities market. The results show that there is a transition effect of volatility between dividends and stock prices. This transition effect exists for a long time. I think that the source of this transition effect is that dividend and stock price are derivatives of corresponding corporate. Decreasing the volatility of real economy could help relieve the excess volatility of stock price.更多还原