Empirical research on relationship between ownership structure and transparency

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1 JOURNAL OF SYSTEMS ENGINEERING Vol.30 No.3 Jun , 1, 2 (1., ; 2., ) :.. A,. : 1),. 2),,,. : ; ; : F832.5 : A : (2015) doi: /j.cnki.jse Empiricl reserch on reltionship between ownership structure nd trnsprency Xiong Wei 1, Chen Lngnn 1, Zhu Jie 2 (1. Lingnn College, Sun Yt-Sen University, Gungzhou , Chin; 2. Industril nd Commercil Bnk of Chin, Gungdong Brnch, Gungzhou , Chin) Abstrct: The idiosyncrtic voltility is minly driven by noise in Chin s stock mrkets. However, the idiosyncrtic voltility decreses with stock price informtiveness. This pper tests the reltionship between the ownership structure nd trnsprency by utilizing the idiosyncrtic voltility of A-shre listed compnies in Chin. The empiricl evidence shows tht: 1) the trnsprency decreses with the stte-owned shreholdings nd ownership concentrtion, but increses with the institutionl shreholdings. 2) The institutionl trding improves the firm s informtion environment, nd the ccurcy of forecsting ctivities, nd decreses the noise component in the stock price. Key words: ownership structure; informtion trnsprency; idiosyncrtic voltility 1 -.,, [1].,,, [2]., : ; : : (14ZDA020); (14YJA7900); (02-04); (2013B ); (GD10CYJ01).

2 3 : 345,,.,,., 1. [3],.,,,., [4].,,. Cmpbell [5],,.,,.,,., Roll [6],., Berrd [7]. Roll [6],.,,. Piotroski [8],,. Morck [9] Jin [10], ( ). Morck [9] 2,,.,,,. West [11],.. [12 14],.,,,,., Lee [15], U. [16],.,,, [6, 9, 10].,,, [17].,,,,.,,,. [18],,., 1 (mngeril entrenchment),. 2. CAPM, APT Fm French, R 2,.,.

3 ,, [19].,,, [20]..,,. [21],. [22],. [23],. [24], ( ).,, ;,.,..,,.,,, [25].,,,, [26]. Gul [27] ,,,,.,.,,,, [28],.,,,.,. 1,,.,,.,,,,.,,,. [29],,,. [30]. [31],,., [32],. [33],.,. 2,.

4 3 : 347,,.,,.,. [34],,,,.,. [35],.,., [36]. [37],.,.,,,,,. 3,..,. 1 2,,.. 4,, A, ( ) (Resset)., Mlkiel [38] Ang [39],, Fm French,.,. (CCER), Fm French Resset.., R i,d = α i,t + β i,t MKT d + s i,t SMB d + h i,t HML d + ǫ i,d, (1) R i,d i d,, d t. MKT d d, SMB d HML d d. α i,t, β i,t, s i,t h i,t t,i, ǫ i,d d i. AHXZ [39], i t IV i,t = n i,t σ i,t (ǫ i,d ), (2) σ i,t (ǫ i,d ) (1), n i,t t i.

5 [39].,,., IV i,t = α 0 + β 1 blnce i,t + β 2 insider i,t + β 3 institute i,t + β 4 mv i,t + β 5 turnover i,t + µ i + ǫ i,t, (3) IV i,t i t. IV i,t,,. insider i,t i t ; blnce i,t 1 2,. 1,,,,,., β 1, β 2. institute i,t. 2,,,., β 3.,, mv i,t turnover i,t,.,,,,.,, [40]. (3),, (4), IV i,t = α 0 + β 1 blnce i,t + β 2 insider i,t + β 3 institute i,t + β 4 nlyst i,t + β 5 nlyst i,t insider i,t + β 6 nlyst i,t institute i,t + β 7 mv i,t + β 8 turnover i,t + µ i + ǫ i,t, (4) nlyst i,t,. i t, nlyst i,t 1, IV, 10.86, 26.73,. 2006, 51.78%, 26.15%., , %, , 59 1, (blnce) (insider) (institute),. 1,,,

6 s i s n : 349,,,. 2007, 1 Tble 1 Summry Sttistics IV insider blnce institute nlyst turnover mv e c n l b 1 0 r d e i n y e r / y e r / te i tu t i n t s l y y e r / y e r / 1 Fig. 1 Men vlues of the min vribles over the yers, ( 2) (1.015).,. 2, ,

7 Tble 2 Correltion coefficient mtrix insider blnce institute nlyst mv turnover insider blnce institute nlyst mv turnover (3),, 3 (1) (2). 3, ;,.,,,, 1 ;,,. F, µ 1 = µ 2 = = µ N 1 = 0, OLS. Husmn,,.,., ;,,,., Fm McBeth. Fm McBeth,,,. Fm McBeth t ; t , 10%., 4.80, (3), nlyst, 3 3. nlyst,. (1), (2). (3),, nlyst i,t insider i,t, nlyst i,t institute i,t., 2.332, 5% , 10% ;, 10%. 3,,..,

8 3 : 351,.,,,, ;,.,,, (, ).,,,,.,.,,, ;,,. Tble 3 3 Empiricl results of regression models Model (1) (2) (3) (4) IV IV IV IV blnce *** *** *** (0.72) (3.52) (3.54) (3.59) insider *** *** ** *** (6.37) (3.35) (3.24) (3.63) institute ( 1.28) ( 1.81) ( 1.89) ( 0.38) turnover 3.691*** 3.740*** 3.744*** 3.752*** (46.03) (41.94) (41.98) (41.73) mv *** 2.389*** 1.907*** ( 1.37) ( 5.88) (-6.07) (-4.53) nlyst ** (1.67) (2.63) shre nlyst ( 1.81) ins nlyst 0.291* ( 2.31) cons *** 47.64*** 37.06*** (0.67) (5.32) (5.48) (3.98) stock dummy No Yes Yes Yes : t, *,**,*** 10%, 5%,1%. 5,,.,,.,,.,,.,,,,. : [1],,. [J]., 2003(5): Zhng Rong, Jin Xuejun, M Guoqi. Anlyses of symmetric informtion between investors nd listed compnies[j]. Economist, 2003(5): (in Chinese) [2]. : [J]., 2004(12): Feng Genfu. Double principl-gent theory: Another nlysis frmework of listed compnies governnce[j]. Economic Reserch

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