Company Association And Stock Price Comovement

The linkage of stock prices usually refers to the phenomenon that the stock prices of different companies are rising and falling because of the same impact.Since the 80 s of last century,the phenomenon of the linkage of stock prices has attracted the attention of the academia.Such as industry linkage effect,regional linkage effect,market linkage effect,index linkage effect,style linkage effect and so on.The traditional financial theory,the behavioral finance theory and the information efficiency view are explained from different angles on the causes of the linkage effect of stock prices.The research on the linkage of stock prices is of great significance to the stock pricing,portfolio management,risk contagion and control of the financial market.Company association refers to multiple independent operating companies through equity or non-equity joint together,company fundamentals such as accounting performance and non-fundamentals such as the linkage of investor classification thinking is clearly greater than that of non-linkage between the associated companies,so we have reason to have high linkage between related company's share price.However,most of the existing literatures are on the macro level market or the stock price linkage between industries.This paper is based on the institutional background of Chinese,a combination of theory and empirical methods,from the micro level to study the ultimate control right of enterprise human judgment related impact on stock price linkage,the linkage between the subsidiaries of the group is.This article mainly includes 5 chapter.The first chapter is an introduction that introduces the motive and objective of this article as well as the relevant study.The second chapter discusses the existence of a subsidiary of the group's share price linkage.This chapter first through the relevant theoretical analysis and puts forward the existing hypothesis of price linkage of subsidiary of the group,and select the appropriate sample and model for empirical test and robustness test of hypothesis.The third chapter discusses the characteristics of stock price linkage group subsidiaries.This chapter discusses the management characteristics of the group and the influence of the state property of the ultimate control person on the linkage of stock prices.The fourth chapter is the subsidiary of the group of price linkage analysis.This chapter discusses the formation mechanism of the share price linkage in the group from the basic factor andthe non basic factor.The fifth chapter is the conclusion,suggestions and prospection.This paper is based on CAPM and Fama-French three factor model,use the relevant data of China's family group from 2006 to 2015,research the stock price comovement.The results show that after controlling the market and industry influence,the share price between the subsidiaries belonging to the same group presents a significant positive linkage feature,,the result is still significant.By examining the changes in the linkage of stock prices before and after a company's new joining group,it is found that after the company has joined a group,it is with the other companies in the group.The linkage of stock prices has increased significantly,and this increase is not caused by industry factors.Further analysis showed that the influence of state-owned property management feature group and ultimate control people have on the stock price linkage size,linkage of the professional management group subsidiary shares a diversified stock price linkage operating subsidiaries of the group is higher,the government control the price linkage linkage enterprise shares than private dumpling control of the subsidiary higher.Finally,this paper from the fundamental and non fundamental respectively discussed the causes of price linkage of the subsidiaries of the group,from the fundamental point of view,the group within the business activities of the company,profitability and capital structure are showing a significant positive correlation,but only the correlation between profitability and related transactions can explain a small part from the price linkage;the basic point of view,group management makes the market friction within the group decreased,the information spread faster,and exchange correlation caused by the thinking of investors is an important source of price linkage,and this effect is particularly significant in the large group.This study is a combination of traditional finance theory and behavioral finance theory,provides a new perspective for the causes of price linkage,help investors to deepen the understanding and recognition of the price linkage of behavior,forecast better stock price,adjust the investment portfolio and risk management.This study also helps the regulatory authorities to carry out more efficient risk prevention and promote the healthy development of the financial market.