Research On The Relationship Of The Market Power And Changes In The Stock Price Of Chinese Listed Banks

Reform and change the course of Chinese banking industry is currently in a monopolistic competition pattern.There is a lot of research on the banking, mainly about the analysis of the market power from one of the views of the Industrial Economics,about the impact of bank management and financial data around the factors of stock price volatility.But the research about them is lack of effective linkages.This paper combines the market power and the stock price volatility to study the relationship between them and explains stock price volatility from the view of market power to outline the relationship among them.This paper firstly use Translog Cost Function to build the model of the Lerner index to measure the market power of2003-2011of Chinese fourteen listed banks. With the analysis of the data we found that the total monopoly level of the listed banks is declining because the market competition is more intense than ever and,the market power has a shocked downward trend.The state-owned banks in general has smaller market power than the city commercial banks and the national joint-stock commercial banks are between them.Then using return and mean true range as the measure of stock price volatility indicators, using non-systematic fluctuations as the measure of asynchronous indicators of stock price volatility with market volatility and compute these three from2008to2011. With the analysis of the data we found that the state-owned bank has the lower volatility and lower asynchrony level with the market than city commercial banks,and the national joint-stock commercial banks are between them.Finally, with the regression analysis of the current market power, the first-order lag of market power, the second-order lag of market power with return,mean true range,non-systematic fluctuations,we has the following conclusions:the current market power, the first-order lag of market power, the second-order lag of market power have the significant negative correlation with return,mean true range,non-systematic fluctuations. The larger the market power of the bank,the bank will have the smaller stock price volatility and the lower asynchrony level,and vice versa on the opposite.This influence will gradually be weaker with the time between themarket power and the stock price volatility.