产品市场势力能降低股票市场的异质信念吗——基于A股市场的实证研究

基于2001年至2009年A股市场的数据,本文检验了Peress(2010)提出的产品市场势力降低股票市场异质信念水平的推断,并分析了Miller(1977)提出的影响股票市场异质信念的因素。我们发现产品市场势力不仅不能降低反而可能会提高股票市场异质信念的水平。在将异质信念分解为异质先验导致的异质信念,渐进信息流动、有限注意导致的异质信念后,这种提高主要表现在对后者的提高上。该结果意味着产品市场势力可能因为提高了异质信念水平而促进了股票市场的交易,从而为交易异象的解释提供了新的思路。此外,实证结果显示上市公司的业务集中度、机构持股可以降低异质信念水平,而上市公司的已上市时间、市场中股票数量对于异质信念的影响与已有的理论分析并不完全一致。

Could Product Market Power Reduce Heterogeneous Beliefs:An Empirical Research Based on A-Share Market

Based on the data of A-share market from the year 2001 to 2009,we tests Peress’s(2010) proposition that product market power reduce heterogeneous beliefs in the stock market.Also factors suggested by Milller(1977) that may influence heterogeneous beliefs are analyzed.We find product market power cannot reduce but improve heterogeneous beliefs.Further,we decompose the whole heterogeneous beliefs into two parts,one is induced by heterogeneous prior,and the other by gradual information flow and limited attention.We find the improvement effect is mainly on the latter one.This result means that product market power encourages trade by increasing the disagreement,which suggests new way to explain the trading puzzle.Besides,the empirical result suggests that business concentration,institution’s ownership reduce heterogeneous beliefs.But the effect of the passage of time and the number of stock in the market is not well consistent with the existing theories.