The Effects Of Stock Market On Productivity Of Real Sector ——Analysis Based On Information Efficiency Of Stock Market

Financial sector as an important part of economic system,how it impacts on real sector attract a lot of attention.The reports of the 19^th CPC National congress point out that pushing through financial sector reform and improve its affects on real sector.Moreover,the reports require improve the system of multilevel capital markets and increasing the percentage of direct finance.The existence literatures mainly focus on finance function of stock market,and ignore one potential effect of stock market:Guide the allocation of resources.Hayek（1945）points out that stock price contains extra information,and managers can learn from its firm’s stock price.There are two important productive factors for firm:labor and capital,especially management ability and invest decision.Then,here are some interesting problems:whether stock price information（SPI）can improve productivity of real sector?Moreover,can SPI make firm more productive though improve the efficiency of management or investment?In Chinese stock market,the existing literatures mainly focus on financing function of stock market and ignore the potential effects and mechanisms of its on the efficiency of real sector.Therefore,we discuss whether stock market can improve the productivity of real sector,and the effect of stock market are more strong under which conditions.Those questions are quite important for financial system reform and the economy development.Basing on theory and reality,we combine the market microstructure theory and incentive theory about managers,and analysis the“governance effect”and“feedback effect”of stock market.Then,we further discuss the effect of stock market on improve productivity of real sector.These papers mainly focus on the following questions:（1）Whether stock market can make real sector more productive?How about the real effect of stock price information on firm’s productivity?（2）What are the mechanisms behind the effect of stock market on real sector?Does the“governance effect”or“feedback effect”of stock market exist in China?More precisely,does stock market improve the efficiency of management and investment?（3）Which internal governance system strengths the effect of stock market on real sector?Which circumstance ensures the Equity incentive plan or manager ownership plan can provide positive effect on firm’s productivity?We embed a market microstructure model into standard contracting framework,and analyze the potential effect of stock price information.Form our model and empirical evidences,the main conclusion are as follows:（1）SPI can make firm more productive though“governance effect”and“feedback effect”.In the theory analysis,we use the ratio between firm value with and without asymmetric information to measure the productivity of firm.We find that firm’s productivity is increasing with stock price information,which prove that stock market can make firm more productive.（2）The“governance effect”and“feedback effect”is tightly related with many factors,one important factor is the incentive contract terms to managers.The sensitivity of managers’compensation to stock price can strength the effects of SPI.Last,we use data of Chinese listed corporations to prove the inferences of our model.We find that:（1）The empirical evidences support our model that SPI in Chinese stock market can improve the productivity of firms;this result is same as Bennett et al.（2020）.And,the effects of stock market information are stronger when managers’compensations are highly sensitive to stock price.More specifically,we discuss the effect of SPI from respect of manager stock holdings,ratio of equity compensation,state-own enterprises and the profession characteristics.The empirical evidences prove the inferences of model:managers’compensation-price sensitivity can strength the effect of stock price information.（2）The empirical evidences prove the“governance effect”of stock market,which means that SPI can ease the agency conflicts between investor and managers and increase the efficiency of management.Then,we find that the“governance effect”of stock market is affected by managers’compensation-price sensitivity,and manager stock holdings or ratio of equity compensation increase the effect of stock market on the efficiency of management.Then,we test the mediator effect of management efficiency on productivity,we find that the“governance effect”is an important mechanism of how stock market improve firms’productivity.（3）The empirical evidences also prove the“feedback effect”of stock market,which means that SPI can guide firm invest more on R＆D and increase the efficiency of R＆D.Then,we find that the“feedback effect”of stock market is affected by managers’compensation-price sensitivity,and manager stock holdings or ratio of equity compensation increase the effect of stock market on the efficiency of management.Then,we test the mediator effect of R＆D on productivity,we find that the“feedback effect”is an important mechanism of how stock market improve firms’productivity.The structure of our dissertation is as follows:The 1^st section is introduction,including reaeach background,meaning and frame.The 2^nd section is literature review,including the definition of stock price information and influence factors,how to calculate toal factor productivity,the literatures about“governance effect”and“feedback effect”.The 3^rd section introduces the background of our research.Specifically,law and trading system of stock market;the importance of stock market in real sector;the main problem of Chinese stock market.And,the premise condition of our research.The 4^th section thoeritically analyze the“governance effect”and“feedback effect”of stock market,and whether stock market can make firms more productive.The 5^th section empirically prove the effect of stock market on firms pproductivity,and which conditions can make those kinds of effect stronger.The 6^th and 7^th section respectively discusses about“governance effect”and“feedback effect”of stock market.The 8^th summary our conclusions,and provide some points needs further research.Our main contributions are as follows:（1）This dissertation extends research about the potential effect of stock on real sector,enrich the related literatures.We theoretical analyze the“governance effect”and“feedback effect”of stock market and the real effect of stock market on firms’productivity.Then,we use data from Chinese stock market prove our theoretical inference.Our theoretical and empirical evidence show that stock price information can improve the efficiency of management and investment,and make firm invest more on invention,finally,stock price information increases the productivity of firms（which measured by total factor productivity）.Our results support the ignored other mechanism about how stock market impact on real sector:ease agency conflict and guide firm investment.（2）Although the government and scholars emphasis the financing sector should service real sectors,rare research focus on which kind of stock market can better service real sectors.Our study answer whether stock market can make firms more productive and how to strength the effect of stock market.Those results may provide some clues to debate about which kind of stock market can help our economy from factors increase to productivity drive.（3）The studies of how stock market affect real sector are interfered by endogeneity problem.In Chinese market,the reform of trading system provides us a quasi-natural experiment environment,including reform of share splitting,short-selling reform,and stock market liberalization（Shanghai or Shenzhen-Hong Kong stock Connect Scheme）.We use stock market liberalization（Shanghai or Shenzhen-Hong Kong stock Connect Scheme）as an exogenous shock to stock price information to ease the endogeneity problem.