A股林业板块股价联动性研究

The Effect of Coverage on Forestry Stock Synchronicity

对Morck（1999）论文中采用的方法进行改进,利用线性回归方法,以拟合系数R2作为个股股价联动性的标准,计算个股与市场及行业股票的联动性。回归结果显示,林业股所处一级行业农林牧渔业股价联动水平高于整个市场的平均水平;而林业作为二级行业,其联动系数同样处于较高水平。

Based on Roll （1988）＇s information disclosure assumption, this paper focuses on the effect of analyst cov erage on stock price synchronicity in forestry through R.2 estimation method, Results show that, as with forestry market, increase in analyst coverage is positively correlated with the disclosure of firmspecific information, The larger the analyst coverage is, the weaker the synchronicity effect. When it comes to the whole stock market, in creasing analysis coverage also benefits the diffusion of public information. The larger the analyst coverage is, the stronger the synchronicity effect.