미국 주식시장에 대한 중국 기업의 동조화 현상과 기업특성
The Co-movement of Chinese Firms to the U.S. Stock Market and Firm Characteristics
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이 연구는 2010년부터 2019년까지 상해증권거래소에 상장된 기업을 대상으로 미국 주식시장에 대한 기업의 주식수익률 동조화 현상에 영향을 미치는 기업 특성요인을 분석하였다. 분석 결과, 투자자 관심 정도를 나타내는 거래회전율이 야간 동조화 정도를 심화시키는 것을 확인하였다. 중국 시장의 투자자들에게 미국 S&P500 지수의 등락은 참고할 수 있는 중요한 지표로서의 역할을 하고 있다고 할 수 있었다. 또한 대주주의 지분율이 높은 경우 동조화 수준이 낮았는데 이러한 결과는 대주주들이 소액주주에 비해 외부 정보에 덜 민감하게 반응할 수 있다는 점에서 동조화가 투자심리와도 관련이 있을 수 있음을 시사하는 결과이다. 또한, 수출비율이 높을수록 야간동조화 수준이 심화되는 것으로 나타났다. 이 연구는 개별 주식의 국제시장에 대한 동조화 현상을 분석하고, 기업의 차원에서 동조화에 영향을 미치는 영향을 분석하였다는 점에서 시장 간의 관계 분석에 초점을 둔 기존의 연구와는 차별적인 연구라 할 수 있다. 연구 결과는 시장 간 동조화 특성에 대한 이해는 물론 중국 주식시장의 특징을 이해하는 데 유용한 정보가 될 수 있을 것이다.
Abstract
This study analyzes the relationship between the characteristics of listed Chinese firms and the level of co-movement with the U.S. stock market. First, we confirm that there is a positive relationship in close-to-open co-movement between the listed Chinese firms and the U.S. stock market. And, we find that the level of close-to-open co-movement is positively correlated with stock turnover rate. These results imply that investors’ attention positively affects close-to-open co-movement between listed Chinese firms and the U.S. stock market. Second, we find that there is a negative relationship between the level of co-movement and the shareholding rate of major shareholders, which suggests that the co-movement may also be related to investor sentiment because large shareholders tend to have more inside information and are less affected by investment sentiment. Third, we find a positive relationship between a firm's higher export ratio and its co-movement level. The results of this study can be utilized as useful information on the research of the co-movement phenomenon between stock markets along with providing new information to investors about investment decision making.
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