Research On The Influence Of Private "Xi Zu" Business G Roup Internal Structure On Stock Return And Volatility

During the last decades,with the development of China's macro economy,and the continuous expansion of A-shares capacity,a large number of private "Xi Zu",business groups have been spawned through asset restructuring and other methods.The private"Xi Zu" business groups playing an important role in China's stock market and has made important contributions to the development of the national economy.At the same time,with the deepening of market supervision and the strengthening of public opinion,some negative impacts brought about by the private"Xi Zu" business groups have also attracted much attention.For example,the private "Xi Zu" business group is often closely related to benefits transmission,stock price manipulation and hollowing out,which seriously infringes on the interests of small investors,and news about the broken capital chain of a "Xi Zu" is also frequently reported.However,the empirical researches on the private "Xi Zu",business group are relatively rare.Therefore,based on the traditional research of a single enterprise,this dissertation takes the "Xi Zu",group as the research perspective,and summarize previous researches,proposes four dimensions to distinguish private "Xi Zu" group-affiliated companies from non-private "Xi Zu" group-affiliated companies and independent companies.That is,the way to enter "Xi Zu" group-affiliated companies(controller's purpose),separating extent of ownership and controlling right(ownership arrangement),whether there are members of financial listed companies(internal capital market),and "Xi Zu"diversification(operational risk management and control).Then,we provide empirical evidences for studying the impact of the four internal structure features on stock price returns and Volatility.We using the data of private "Xi Zu" group-affiliated listed companies from A-shares in 2009-2018 test the following five issues for stock return to perform grouped regression through Fama-French three factors model and Carhart four factors model.Then researches the relationship between internal structure features and stock volatility through regression model.We find that there is a significant difference between the returns and volatility of private "Xi Zu",group-affiliated companies and non-private"Xi Zu" group-affiliated companies.Compared with private "Xi Zu" group-affiliated companies,non-"Xi Zu" group-affiliated companies have better stock performance with higher returns and lower volatility.Among the private "Xi Zu" group-affiliated companies,those entered the group through IPO are more important and have higher stock excess returns and lower volatility;separating extent of ownership and controlling right is negatively related to excess returns,and is positive related to stock volatility;financial companies are important internal capital markets for private"Xi Zu" group,which will increase stock volatility and have no significant relationship with excess returns;private "Xi Zu" group mostly adopt diversification strategies on listed companies,which are positively correlated to excess stock return and have little effect on volatility.In addition,we propose several possible approaches about how internal structure features affect stock returns and volatility.This dissertation expounds the differences between this special group of private"Xi Zu" group and other enterprise groups from four dimensions,puts forward four internal structure features,and empirically examines the relationship between internal structure features and stock performance.Which provide important perspectives for the studying about stock performance and possible economic consequences.Besides,our research provide possible entry points and indicators for government departments to explore and establish a more comprehensive regulatory system for listed companies,give a reference for the management and strategy formulation of "Xi Zu" group,and help investors establish more reasonable investment strategies.