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本文研究产品市场竞争与异质波动之间的关系,并进一步基于自然避险与信息不确定的角度考察两者的内在影响机制。结果发现:公司的市场力量与异质波动之间呈显著负相关;这种负向关系主要来自于信息不对称机制,即公司的市场力量通过影响投资者对该股票的未来平均利润率的不确定性,进而间接影响股票的异质波动;同时,公司通过其市场力量作用于资产波动的自然避险机制,则效果不明显。本文的研究具有明晰的政策含义,即加强信息披露质量,降低信息不确定性,从而进一步降低市场波动。
This paper studies the relationship between product market competition and heterogeneous volatility, and further examines the inherent mechanism of the two based on the nature of hedging and information uncertainty. The result shows that there is a significant negative correlation between the market power and the heterogeneity of the company. The negative relationship mainly comes from the information asymmetry mechanism, that is, the market power of the company does not influence the future average profit rate of the stock Certainty, and then indirectly affect the heterogeneous fluctuations in stocks; the same time, the company through its market forces acting on the natural hedging mechanism of asset volatility, the effect is not obvious. The research in this paper has a clear policy meaning, that is, to enhance the quality of information disclosure and reduce the uncertainty of information, so as to further reduce market volatility.