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

企业集团内部股票收益率的联动性：基于基本面还是基于情绪？

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：本文研究了韩国企业集团内部股票收益率的联动性。采用1980年到2009年之间所有公开交易的股票数据，我们发现属于同一个企业集团的公司股票联动性要比同一个行业的股票联动性更紧密。集团间相关性超过行业间相关性随着时间而更加显著，这一点尤其体现在1997-1998年亚洲金融危机之后。相关性的增加似乎更多的是被非基本面因素（例如相关性交易）所驱使，而不是基本面的因素（例如关联交易）。我们的研究进一步显示出非基本面的股票收益率相关性，例如归类和企业所在地所驱使的股票联动性，甚至在企业集团层面上也是存在的。

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.

原文链接：http://www.sciencedirect.com/science/article/pii/S0927538X15000037

翻译：阙江静