| 摘要: |
| 使用面板门槛模型研究发现，境外股东在中国股市充当了一定“调节器”的角色，即：当股价波动剧烈时，境外股东增持可以降低波动；当股票交易不活跃时，境外股东增持又能活跃市场。同时，境外股东持股对中国股市的影响存在门槛效应：境外股东持股市盈率、资产负债率相对高和基金持股相对少而波动性较大的企业时，境外股东持股能降低股价波动、股票收益率波动和系统风险；反之则会增加股市风险。应引导境外股东战略持股市盈率较高、资产负债率较高的股价波动较大的上市公司，从而充分发挥其“调节器”作用。 |
| 关键词: 股市风险 境外投资者 境外股东持股东 股价波动 股票收益率风险 系统风险 门槛效应 市盈率 资产负债率 基金持股 |
| DOI： |
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| Study on the Threshold Effect of the Shareholding of Foreign Shareholder on China’s Stock Market Risk |
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YANG Zhu-qing
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Industrial Development Section, the 38th Institute, China Electronic Science and Technology Group, Hefei 230088, China
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| Abstract: |
| By using the panel threshold model, this paper finds that the foreign shareholders play a certain “regulator” role in Chinese stock market, namely foreign shareholders can increase their shareholding amount to reduce the volatility when stock prices are seriously fluctuating and can increase their shareholding amount to activate the market when stock exchange is not active, specifically, foreign shareholders can reduce stock price volatility, share earnings rate risk and system risk when foreign shareholders buy the shares of the listed companies with relatively high price earning ratio and asset-liability ratio, with relatively small holding of funds and with big volatility, otherwise, their risk is increased. Therefore, China should introduce the listed companies with high market earnings rate and liabilities rate and with big share price volatility to foreign shareholders to strategically hold the shares of the companies so that their “regulator” role can be sufficiently played. |
| Key words: stock market risk foreign shareholders the shareholding of foreign shareholder stock price volatility stock earnings rate risk system risk threshold effect price earning ratio asset-liability ratio the shareholding of funds |
