机构投资者信息搜寻、公开信息透明度与私有信息套利

Institutional Investors Private Information Search, Public Information Transparency and Private Information Arbitrage

本文利用特有的机构投资者私有信息搜寻数据,研究了机构投资者的信息搜寻、透明度与私有信息套利的关系。本文的研究发现,机构投资者的信息搜寻和信息披露的透明度降低了私有信息套利,而且机构投资者信息搜寻、信息披露透明度在私有信息套利严重的公司对降低私有信息套利的作用更加明显。同时,本文的研究结果也表明,机构投资者信息搜寻与信息披露透明度对私有信息套利存在交互效应,随着信息披露透明度的提高,机构投资者信息搜寻对私有信息套利的边际效应下降。

The young Chinese stock market is still in its stages of development and incompleteness,causing severe information asymmetry between investors and listed companies.Taking advantage of this information,market markers manipulate stock prices at the expense of small and middle investors from time to time,and Chinese securities market is nicknamed 'the makers’ market'.In the situation of information asymmetry,arbitrageurs can drive stock prices up and down through manipulating fundamental information of listed companies in order to seize abnormal return.This price-manipulation behavior,which acts through collusions with listed companies to make inside trading,is only found in a small number of institutional investors.The majority of institutions investors are still in a state of information shortage,and they intent to seek information in the market.This promotes the moderation of information asymmetry.This paper uses 1,310 samples from the year 2006 to 2008 to study the relationship among information seeking of institutional investors,transparency and inside information arbitrage.We find that the information seeking behavior of institutional investors and information transparency bring down arbitrages of private information,and this effect is much more distinct in face of companies with serious private information arbitrage behaviors.Additionally,there exists an interaction effect between the information seeking behaviors of institutional investors and the information transparency,which means that with the improvement of the transparency of information,the marginal effect of active seeking information of institutional investors on private information arbitrage decreases.This study shows that the information seeking by institutional investors is a significant mechanism for compensating the lack of public information,and the active information seeking behaviors of institutional investors accelerate the publicity of private information of listed companies,at the same time,bring down the probability of arbitrage behaviors through private information.This paper not only contributes to exploitations of pervious literature on public information,private information and stock pricing efficiency,but also bears significant policy implications.We find that instead of encouraging new market manipulating and arbitrage behaviors,information seeking by institutional investors helps depress arbitrages on private information,which is probably because institutional investors who have the intentions to collude with listed companies to manipulate the market already possess the inside information and do not have to make the information seeking.This behavior is only found in institutional investors who are in shortage of private information,and interferes with the possible collusions of market manipulation.It moderates information asymmetry not just between institutional investors and potential manipulators(including listed companies),but also that of institutional investors and small investors.