产品市场竞争和异质波动：“自然避险”还是“信息不确定”-金融学专业论文.docxVIP

II II Abstract The aim of this paper is to find the relationship between the competitive environments that the enterprises pacing on the product market and their assets’ idiosyncratic volatility. According to the efficient market hypothesis, the heterogeneity fluctuation of earnings reflects the idiosyncratic volatility of enterprise operation cash flow and corporate dividend essentially. Therefore, when study the heterogeneity of stock fluctuations, it must exist contacts between enterprise profits. This paper investigates the relationship between market competition and idiosyncratic volatility, and furthermore, examines the underlying mechanism based on two arguments, i.e. natural hedge and information uncertainty. We find that, 1). Market power and idiosyncratic volatility reveal significantly negative correlation; 2). This kind of relationship mainly comes from uncertainty channel, which means market power influences investors’ uncertainty of firm’s future profitability; 3). The natural hedge mechanism effect is not significant in Chinese stock market, that is, the market power does not work well as a natural hedge to decrease the volatility of earnings and the idiosyncratic volatility. Our results have clear policy implications: the regulator should improve the quality of information disclosure, and reduce the uncertainty of market information, so as to achieve the purpose of market stabilization. Keywords: Market Competition; Idiosyncratic Volatility; Natural Hedge; Information Uncertainty III III 目 录 摘 要 I Abstract II 1 引言 1.1 选题背景和意义 (1) 1.2 论文研究内容、研究思路及创新之处 (2) 2 文献综述 2.1 产品市场竞争的相关文献 (4) 2.2 股票异质波动率的相关文献 (6) 2.3 异质波动与资本市场信息效率关系的相关文献 (9) 2.4 将市场竞争和异质波动相联系研究的相关文献 (9) 3 研究假说 (11) 4 数据来源与研究设计 4.1 数据说明 (14) 4.2 变量说明 (14) 5 计量模型设定 (18) 6 实证分析 6.1 描述性统计 (20) 6.2 市场竞争与异质波动的关系 (21) 6.3 市场竞争影响异质波动的渠道：自然避险 (24) 6.4 市场竞争影响异质波动的渠道：信息不确定 (26) 7 结论 (28) 致 谢 (29) 参考文献 (30) PAGE PAGE 10 1 引言 1.1 选题背景和意义 本文旨在研究企业所面临的产品市场竞争环境及其资产异质波动的关系。根据 市场有效性假说，收益率异质波动在本质上反映了企业经