信息透明度、机构投资者与股价同步性

On the Infonnational Transparency, Institutional Investors and Stock Price Comovement

本文运用中国股票市场的数据,研究了股价同步性与信息透明度之间的关系,以及机构投资者持股比例对这种关系的影响。研究结果发现,公司信息透明度越低,股价同步性越低;股价同步性与信息透明度的正向关系随着机构投资者持股比例的提高而减弱。研究结果表明,在中国股票市场上,股价同步性正向地反映股票市场信息效率,而机构投资者能够提高股票市场的定价效率。研究结果揭示了中国股票市场的信息效率特征,也提供了股价同步性正向地反映股票市场信息效率的直接证据。

The paper examines the relationship between stock price eomovement and information transparency using the data from Chinese stock market. The authors find that the stock price comovement is positively correlated with the firm＇s information transparency, and the institutional ownership of the equity can reduce this positive correlation. These findings are consistent with the argument that stock price eomovement positively represents information efficiency and that institutional investors can improve the stock market information efficiency.