西部论坛Issue(3)：65-72,8.DOI:10.3969/j.issn.1674-8131.2014.03.09
境外股东持股影响中国股市风险的门槛效应研究
Study on the Threshold Effect of the Shareholding of Foreign Shareholder on China’ s Stock Market Risk
摘要
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.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分类
管理科学引用本文复制引用
杨竹清..境外股东持股影响中国股市风险的门槛效应研究[J].西部论坛,2014,(3):65-72,8.基金项目
国家社会科学基金重点项目（11AJY013）“境外股东大额持股对中国股市风险的影响” （）
