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株式分割を通じた名目株価の変化とリターンの共変動

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  • 柳樂, 明伸

Abstract

本稿では，日本市場において，株式分割と株式併合を通じた株価水準の変更が，その後のリターンの変動に影響をもたらすかを検証する．分析の結果，株式分割により株価の水準が低くなると，株価の低い株式との連動が高まり，株価の高い株式との連動が低下することが確認された．他方で株式併合を行った企業は，併合実施後，株価の低い株式との連動が低下し，株価の高い株式との連動が上昇することが確認された．この結果は，単元株式数の調整を同時に行い，最低投資金額が変化しない場合でも同様であり，実質的には株式分割と同様の効果をもたらすと考えられる株式併合実施企業についても，株式併合と同じ結果が得られている．このことは，株価の高さそのものが投資家の投資行動に影響することを示している．株価の水準の変化によるリターンの共変動は，価格が低い株式ほど大きくなり，分割比率が大きい企業ほど高まることが示された．また分割実施時のマーケット全体のセンチメントも共変動の大きさに影響をもたらしている．これらの結果は，投資家が名目価格によって株式をカテゴライズし，投資判断を行っている可能性を示唆している．

Suggested Citation

  • 柳樂, 明伸, 2018. "株式分割を通じた名目株価の変化とリターンの共変動," Working Paper Series G-2-9, Hitotsubashi University Center for Financial Research.
    • Handle: RePEc:hit:hcfrwp:g-2-9
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