导　　师： 刘少波

学科专业： 020204

授予学位： 硕士

作　　者： ;

机构地区： 暨南大学

摘　　要： 随着中国经济的高速增长及对外开放程度的日益加深，外资持有中国上市公司股份的现象也越来越普遍。尽管我国股票市场依然为有限度的对外开放，但外资进入已经对股市风险造成实质上的影响。已有的研究发现，投资者异质信念是中国股市风险的重要来源。因此外资进入中国股市时，出于对风险的顾虑，必然会关注市场上投资者的意见分歧也即异质信念问题。 本文首次详细分析了外资大股东在持股中国上市公司过程中如何应对投资者的异质信念。通过将投资者异质信念分解为先验异质性指标（SUV）和信息不对称指标（PIN），并利用2006—2011年中国上市公司的A股数据，我们证实了外资基于追求短期套利的动机，对投资者异质信念采取了相应措施的假说。一方面，外资在进入中国股市时会选择那些投资者先验异质信念水平低、信息不对称程度较高的股票，在规避股票大涨大跌风险的同时为自己留下足够的套利空间；另一方面，外资进入后，会增加知情交易比重，使得市场的信息不对称情况提升。同时，外资的进入无助于改变投资者的先验异质性水平。这些证据表明，外资进入并不能有效提升公司治理水平，并会加剧我国股市的风险。 As the rapid growth of China’s economic and the deepening openness, foreignholding shares of Chinese listing corporation has become more and more popular.Although China’s stock market is still limited openness, foreign capital has resulted ina substantial impact on the stock market’s risk. The investors’ heterogeneous beliefsare the important sources of Chinese stock markets’ risk. Consequently, as the foreigncapital flows into Chinese stock market, out of concerns for risks, the foreignshareholders would inevitably pay close attention to the difference in opinion amongthe Chinese investors of the market, namely the heterogeneous beliefs. For the first time, the thesis analyzes in detail how the big foreign shareholdersdeal with the heterogeneous beliefs while they hold the shares of Chinese listedcompanies. Through decomposing investors’ heterogeneous beliefs into SUV and PINand analyzing the data about A shares of Chinese listed companies from2006to2011,we have confirmed that out of the motive of short-term arbitrage, the foreignshareholders had taken measures on the heterogeneous beliefs. On the one hand, whenthe foreign capital flows into Chinese stock market, the foreign shareholders wouldchoose those stocks with low SUV and comparatively high degree of informationasymmetry so that they could manage the risk of the stocks’ violent fluctuationsmeanwhile save themselves enough arbitrage space; on the other hand, after theinflow of foreign capital, the proportion of informed trading would increase whichwould promote the information asymmetry of the market. At the same time, theinflow of foreign capital makes no contribution to the investors’ SUV level. Theevidences above prove that the inflow of foreign capital would not improve thecorporate governance level but aggravate the risk of Chinese stock market.

关 键 词： 信息不对称 先验异质性 外资持股 中国上市公司

分 类 号： [F832.51]

领　　域： [经济管理]