Pacific-Basin Finance Journal Volume 35, Part A, November 2015, Pages 198–224

企業集團内部股票收益率的聯動性：基于基本面還是基于情緒？

作者：Min-Su Kim (Korea University Business School), Woojin Kim(Seoul National University Business School) , Dong Wook Lee(Korea University Business School)

摘要：本文研究了韓國企業集團内部股票收益率的聯動性。采用1980年到2009年之間所有公開交易的股票數據，我們發現屬于同一個企業集團的公司股票聯動性要比同一個行業的股票聯動性更緊密。集團間相關性超過行業間相關性随着時間而更加顯著，這一點尤其體現在1997-1998年亞洲金融危機之後。相關性的增加似乎更多的是被非基本面因素（例如相關性交易）所驅使，而不是基本面的因素（例如關聯交易）。我們的研究進一步顯示出非基本面的股票收益率相關性，例如歸類和企業所在地所驅使的股票聯動性，甚至在企業集團層面上也是存在的。

Stock return commonality within business groups: Fundamentals or sentiment?

Min-Su Kim (Korea University Business School) , Woojin Kim(Seoul National University Business School) , Dong Wook Lee(Korea University Business School)

ABSTRACT

We examine stock return comovement within business groups in Korea. Based on all publicly traded stocks from 1980 to 2009, we document that stocks of companies belonging to the same business group co-move with each other more than do stocks in the same industry. The within-group correlation in excess of the within-industry correlation has become more pronounced over time, especially following the 1997–98 Asian crisis. The increase in correlation appears to be driven more by non-fundamental factors such as correlated trading, rather than fundamental factors such as related-party transactions. Our study adds to the literature by showing that non-fundamental stock return correlation – i.e., categorization or habitat-driven stock comovement – exists even at the business-group level.

原文鍊接：http://www.sciencedirect.com/science/article/pii/S0927538X15000037

翻譯：阙江靜