基于面板数据模型的股价波动非同步性方法测度股价信息含量的有效性检验

The Validity Test of Stock Price Non-synchronicity Method Used to Measure Stock Price Informativeness Based on Panel Data Model

本文以1995-2007年中国上市公司的非平衡面板数据为研究样本,沿用并改进了Durnevetal.(2003)的研究方法,对股价波动非同步性方法测度中国上市公司股价信息含量的有效性进行了实证检验。在面板数据模型选择中,对个体固定效应模型、随机效应模型与普通OLS回归技术进行了准确检验与判断。实证结果表明:股价波动非同步性值越高,则股票价格反映未来会计盈余信息的能力越强。这一结果在行业和公司两个层面实证检验中均得到了支持,这样说明是公司层面信息对股价波动非同步性起到了决定性影响作用,而异质噪音只起到了较小影响作用,因此股价波动非同步性是一个有效的中国上市公司股价信息含量测度指标。

Taking the unbalanced panel data of Chinese listed companies from 1995 to 2007 as the study sample,the paper adopts and improves Durnev＇s,（2003）research method to empirically investigate the validity of using stock price non-synchronicity method to measure the stock price informativeness of Chinese listed companies.In the process of panel data model choice,the individual fixed-effects model,random effects model and ordinary OLS regression model are analyzed and chosen accurately.The empirical results indicate：the higher of stock price non-synchronicity,the stronger the ability of current share prices reflecting future accounting earnings;the results are supported by both industry and company level empirical research.So it＇s the corporate level information playing a decisive role in stock price non-synchronicity and heterogeneous noise only has a small impact.Consequently,stock price non-synchronicity is an effective indicator of measuring the stock price informativeness of Chinese listed companies.