高铁开通能否降低股价同步性?

Can the Opening of High-speed Rail Reduce the Stock Price Synchronicity?

本文基于中国开通高铁这一"准自然实验"背景,收集了2004~2018年中国322个地区的高铁开通数据,使用双重差分(DID)模型,研究了高铁开通对沿线城市上市公司股价同步性的影响。研究结果表明,高铁的开通能显著降低沿线城市上市公司的股价同步性。进一步研究发现,高铁开通通过提升分析师盈余预测准确度降低股价同步性。同时,对于国有企业、制造业企业和盈余管理水平较高的企业、股票换手率较低的企业以及股权集中度较高的企业,高铁开通对股价同步性的降低效应更加显著。本文在通过安慰剂检验、工具变量法以及进一步控制其他因素等方法进行检验后,发现上述结论稳健。

Using the opening of high-speed rail(HSR)as an exogenous shock to measure the sudden decrease of information asymmetry.This study try to investigate the impact of HSR opening on stock price synchronicity.We collect the data from 322 regions and cities in China from 2004 to 2018,Based on the DID model,we find that the opening of the HSR can significantly reduce the stock price synchronicity of listed companies along the route.Further research has found that the opening of the HSR reduces the stock price synchronicity by improving the analysts’earnings prediction accuracy.In addition,the impact of the opening of HSR on the synchronization of stock prices is heterogeneous,and the impact is mainly reflected in state-owned companies,manufacturing companies,companies with high earnings management levels,companies with low stock turnover rates,and companies with high equity concentration.Finally,after the placebo test,instrumental variable test,changing the measurements for main variables,controlling civil aviation and so on,the above conclusions are still robust.