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作为新兴市场的代表,我国证券市场在信息披露、投资者保护、最终控制人性质、股权结构等方面与西方成熟市场还存在差距。如我国公司股权结构可能导致最终控制人通过交叉持股、金字塔结构等多种方式分离控制权和现金流量权。本研究从金字塔结构特征出发,考察金字塔不同类型链条数规模以及是否跨级持股等因素对上市公司股价同步性的影响。实证结果显示,在金字塔结构单变量因素考察中除了持股持续递增的链条数、总链条中绝对持股链条数及持股先减后增的链条数与股价同步性负相关外,其余单变量均与股价同步性正相关,说明金字塔结构确实能够影响股价同步性;采用主成分分析法构造金字塔结构综合变量,结果发现金字塔结构综合变量对股价同步性产生正向影响,而且这种正向影响在宏观经济下行时更明显;考察上市公司所在地区外部环境对于二者关系的影响,结果发现上市公司所在省份市场化程度和GDP增长率越低,金字塔结构综合变量对股价同步性产生的正向影响越显著。
As a representative of emerging markets, there is still a gap between China’s securities market and mature western markets in information disclosure, investor protection, nature of final controller, ownership structure and so on. For example, the shareholding structure of our company may cause the ultimate controller to separate the right of control and cash flow through various ways such as cross-shareholding, pyramid structure and so on. Based on the structural characteristics of the pyramid, this study examines the impact of the factors such as the number of different types of chains in the pyramid and whether the shares are held across the hierarchy on the stock price synchronization of listed companies. The empirical results show that in addition to the number of continuous increasing shareholdings, the number of absolute shareholding chains in the total chain and the number of chains that increase first and then decrease after the shareholding is negatively correlated, the other univariate variables Both of them are positively correlated with the stock price synchronization, indicating that the pyramid structure can really affect the stock price synchronization. Using the principal component analysis to construct the pyramid structure comprehensive variable, we find that the pyramid structure comprehensive variable has a positive effect on the stock price synchronization, and this positive effect It is more obvious when the macroeconomic goes down. Examining the influence of the external environment of listed companies on their relationship, the result shows that the marketization degree and the GDP growth rate of the province where listed companies are located are lower. The synthetical variables of pyramid structure have a positive effect on the stock price synchronization The more significant the impact.