大股东交易能够改善股票市场效率吗——基于股价信息含量的视角

Can the Major Shareholders Trading Improve Market Efficiency——From the Perspective of the Information Content of Stock Price

全流通市场中解禁的大股东已经成为我国股票市场最重要、最活跃的参与主体,由于大股东特殊的地位和身份,其交易行为对股票市场效率的影响一直都备受争议。基于此,本文从特质信息提供者的角度对大股东交易在影响股价信息含量中所起的作用进行了理论分析和实证检验,实证结果表明大股东交易确实可以提高股价信息含量,而稳健性检验进一步证实了股价信息含量的改变是由于大股东交易所致而不是噪声所致。

The major shareholders with lock-up expiration has served as most important and active investors in Chinese stock market under full circulation. Owning to major shareholders＇ special status, the effect of their trading on market efficiency has been drawn heated debate. From the perspective of information provider, the paper examines the role of major shareholders trading on the information content of stock price. The results show that major shareholder trading has indeed increased information content of stock price. The robust test shows that the change of information content of stock price is due to the trading behaviors other than the noises.