CAJ | 학술논문

与股票的行业联动类似，股票的地域联动逐步引起学术界和投资者的关注。本文以APrr模型为基础．建立了包含地域因素的定价模型。检验A股上市公司之间地域联动性的存在性及其内在机制。实证研究发现．总部位于相同省份的A股上市公司的股票收益率之间存在着明显的联动性。通过对联动性的影响因素分析．我们发现联动性在规模较小、总资产回报率较低、个人投资者持股比例较高、处于市场化程度较低的地域和处于年人均生产总值较低的地域的上市公司之间．表现得更为明显。省级地域产生的政治经济特征一定程度上导致了我国资本市场的分割，并显著影响股权资产的定价。这说明。我国股票的地域联动性产生的原因不仅限于国外文献中所述的信息发现的地域优势。本研究对我国资本市场的理论、实务和监管有重要意义。
여고표적행업련동유사，고표적지역련동축보인기학술계화투자자적관주。본문이APrr모형위기출．건립료포함지역인소적정개모형。검험A고상시공사지간지역련동성적존재성급기내재궤제。실증연구발현．총부위우상동성빈적A고상시공사적고표수익솔지간존재착명현적련동성。통과대련동성적영향인소분석．아문발현련동성재규모교소、총자산회보솔교저、개인투자자지고비례교고、처우시장화정도교저적지역화처우년인균생산총치교저적지역적상시공사지간．표현득경위명현。성급지역산생적정치경제특정일정정도상도치료아국자본시장적분할，병현저영향고권자산적정개。저설명。아국고표적지역련동성산생적원인불부한우국외문헌중소술적신식발현적지역우세。본연구대아국자본시장적이론、실무화감관유중요의의。
We provide evidence that A-share stocks headquartered in the same （provincial） geographic area share co-movements controlling for the market and industry factors. Our further studies indicate that the geographic co-movement of stock returns is stronger for the regions of finns with smaller size, lower ROA, and lower institutional ownership. The advancement of the economy （GDP per capital） and marketlisation of China＇s provincial areas are also found to be inversely related to the magnitude of the geographic co-movement of their stocks. We suggest that the political and economic characteristics of the provincial regions contribute to the segmentation of China＇s A-share market and hence affect the pricing of A-share stocks. This cause is in addition to the geographical information advantage that is more studied and documented in the overseas literature. Our paper makes significant implications to China＇s capital market theory, practice and regulation.