30 3 2015 6 JOURNAL OF SYSTEMS ENGINEERING Vol.30 No.3 Jun. 2015 1, 1, 2 (1., 510275; 2., 510275) :.. A,. : 1),. 2),,,. : ; ; : F832.5 : A : 1000 5781(2015)03 0344 10 doi: 10.13383/j.cnki.jse.2015.03.006 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 510275, Chin; 2. Industril nd Commercil Bnk of Chin, Gungdong Brnch, Gungzhou 510275, 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]., : 2014 03 21; : 2015 03 12. : (14ZDA020); (14YJA7900); (02-04); (2013B070206025); (GD10CYJ01).
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,.,.
346 30. 2,, [19].,,, [20]..,,. [21],. [22],. [23],. [24], ( ).,, ;,.,..,,.,,, [25].,,,, [26]. Gul [27] 1996 2003,,,,.,.,,,, [28],.,,,.,. 1,,.,,.,,,,.,,,. [29],,,. [30]. [31],,., [32],. [33],.,. 2,.
3 : 347,,.,,.,. [34],,,,.,. [35],.,., [36]. [37],.,.,,,,,. 3,..,. 1 2,,.. 4,,. 3 3.1 2004 2009 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.
348 30 3.2 [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, 0. 4 4.1 1. IV, 10.86, 26.73,. 2006, 51.78%, 26.15%., 8.78 27.43.,. 18.32%,. 11.46, 59 1,. 1 2004 2011 (blnce) (insider) (institute),. 1,,,
s 5 0 0 i s n 0 5 0 3 : 349,,,. 2007, 1 Tble 1 Summry Sttistics IV 7867 10.856 8 26.729 4 0.000 0 410.184 9 insider 7 867 32.663 3 27.059 0 0.000 0 96.312 2 2006 5 867 26.148 3 0.261 3 0.000 0 0.963 1 2006 2 000 51.775 2 0.197 0 0.000 0 0.890 9 blnce 7867 8.781 9 27.425 2 0.000 0 659.9100 institute 7 867 0.183 2 0.189 6 0.000 0 0.977 5 nlyst 7 867 11.459 4 10.718 4 1.000 0 59.000 0 turnover 7 867 3.392 9 3.780 1 0.000 0 86.338 0 mv 7867 21.430 2 1.253 0 17.634 6 28.177 8 1 5 0. 8 e c n l b 1 0 r d e i n 0. 6 0. 4 0. 2 2 0 0 4 2 0 0 5 2 0 0 6 2 0 0 7 2 0 0 8 2 0 0 9 2 0 1 0 2 0 1 1 2 0 0 4 2 0 0 5 2 0 0 6 2 0 0 7 2 0 0 8 2 0 0 9 2 0 1 0 2 0 1 1 y e r / y e r / 0. 4 1 5 te i tu t i n 0. 3 0. 2 0. 1 t s l y 1 0 2 0 0 4 2 0 0 5 2 0 0 6 2 0 0 7 2 0 0 8 2 0 0 9 2 0 1 0 2 0 1 1 2 0 0 4 2 0 0 5 2 0 0 6 2 0 0 7 2 0 0 8 2 0 0 9 2 0 1 0 2 0 1 1 y e r / y e r / 1 Fig. 1 Men vlues of the min vribles over the yers, ( 2) (1.015).,. 2, 0.013 0.493 6.,
350 30 0.4936 0.429 9. 2 Tble 2 Correltion coefficient mtrix insider blnce institute nlyst mv turnover insider 1.000 0 blnce 0.118 3 1.000 0 institute 0.037 9 0.013 0 1.000 0 nlyst 0.493 6 0.119 1 0.000 2 1.000 0 mv 0.349 8 0.153 7 0.159 2 0.429 9 1.000 0 turnover 0.077 7 0.024 9 0.077 9 0.147 1 0.200 5 1.000 0 4.2 4.2.1 (3),, 3 (1) (2). 3, ;,.,,,, 1 ;,,. F, µ 1 = µ 2 = = µ N 1 = 0, OLS. Husmn,,.,., ;,,,., Fm McBeth. Fm McBeth,,,. Fm McBeth t 0.036 1.741; t 7.946 1.654, 10%., 4.80,. 4.2.2 (3), nlyst, 3 3. nlyst,. (1), (2). (3),, nlyst i,t insider i,t, nlyst i,t institute i,t., 2.332, 5%. 0.219, 10% ;, 10%. 3,,..,
3 : 351,.,,,, ;,.,,, (, 2010 03 22 ).,,,,.,.,,, ;,,. Tble 3 3 Empiricl results of regression models Model (1) (2) (3) (4) IV IV IV IV blnce 0.00705 0.0398*** 0.0401*** 0.0407*** (0.72) (3.52) (3.54) (3.59) insider 0.0670*** 0.0514*** 0.0499** 0.0689*** (6.37) (3.35) (3.24) (3.63) institute 1.823 3.53 3.696 0.888 ( 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 0.322 2.288*** 2.389*** 1.907*** ( 1.37) ( 5.88) (-6.07) (-4.53) nlyst 1.392 2.332** (1.67) (2.63) shre nlyst 0.00168 ( 1.81) ins nlyst 0.291* ( 2.31) cons 3.48 45.98*** 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): 117 122. Zhng Rong, Jin Xuejun, M Guoqi. Anlyses of symmetric informtion between investors nd listed compnies[j]. Economist, 2003(5): 117 122. (in Chinese) [2]. : [J]., 2004(12): 16 25. Feng Genfu. Double principl-gent theory: Another nlysis frmework of listed compnies governnce[j]. Economic Reserch
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