股票名称、选择性关注与股价的行业同步性

Ticker Symbols,Selective Attention and Stock Price Synchronicity

文章基于认知心理学的相关理论,以中国沪深两市2004-2012年的A股上市公司为样本,研究了股票名称特征与股价行业同步性之间的关系,以及机构投资者持股对两者关系的影响。文章发现,在控制了公司基本面因素后,由于存在投资者选择性关注问题,股票名称中反映了所在行业信息的公司收益率与行业收益率之间具有相对较高的一致波动性,机构投资者因在信息搜集和处理上的优势而降低了这种波动的同步性。同时,投资者选择性关注使行业信息在不同类型公司中的传递速度存在差异。文章的发现从行为金融角度为我国股票市场上长期存在的高股价同步性现象提供了新的研究视角。

Based on related theories of cognitive psychology, this paper studies the relationship between the characteristics of ticker symbols and stock price synchronicity and the effect of the stock holdings of institutional investors on this relationship by a sample of Shanghai and Shenzhen A-share listed companies from 2004 to 2012. It draws the conclusions as follows. firstly, after controlling the fundamental characteristics at the firm level, because of selective attention of investors, there exists a relatively high syn- chronous volatility between the return rates of companies whose ticker sym- bols reflect the industry characters and corresponding industrial return rates, and institutional investors who take advantage of information collec- ting and processing reduce the synchronicity of the stock price volatility; secondly, the selective attention of investors leads to the differences in the transformation speeds of industry information in different types of compa- nies. It provides a new research perspective for long-term existing high stock price synchronicity in China＇s stock markets from a behavior finance per- spective.