Governance and Stock Market Performance
Governance and Stock Market Performance
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治理和股市表现
DOI：
10.2139/ssrn.807204
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发表时间：
2005
期刊：
影响因子：
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通讯作者：
Asfandyar Uppal
中科院分区：
文献类型：
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作者：
Vincent J. Hooper;A. Sim;Asfandyar Uppal
本研究使用国际资产定价模型来研究政府机构的质量与全球股票市场表现之间的联系。研究结果表明，股票市场绩效指标和制度环境的质量之间存在显着的正相关关系。对各国各部门的业绩衡量标准是股票指数每月平均超额收益和夏普比率。所有性能指标均根据已知的全球和当地风险因素进行调整，以解释其国际差异。治理的质量也被发现是负相关的股票市场的总风险和特质风险，与稳定的机构与股权回报率的变化减少的概念相一致。这些研究结果表明，治理体系较发达的国家的股票市场股本回报率较高，风险水平较低。研究结果支持了这样一种观点，即金融市场发展的先决条件是改善管理交换过程的制度。
This study uses international asset pricing models to investigate the link between the quality of government institutions and the performance of global stock markets. The results demonstrate a significant positive association between stock market performance measures and the quality of the institutional environment. Performance measures examined for the cross-section of countries were the average monthly stock index excess returns and the Sharpe ratio. All measures of performance were adjusted for global and local risk factors known to explain their international variation. The quality of governance is also found to be negatively associated with stock market total risk and idiosyncratic risk, consistent with the notion that stable institutions are linked to reduced variations in equity returns. These findings suggest countries with better-developed governance systems have stock markets with higher returns on equity and lower levels of risk. The results lend support for the view that a precondition for financial market development is the improvement of the institutions which govern the process of exchange.
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