媒体报道、机构持股与股价波动非同步性

Media Coverage,Institutional Ownership and Stock Price Non-synchronicity

本文在分析媒体报道和机构持股者对股价波动非同步性影响的理论基础上,运用百度搜索引擎和中国上市公司的数据,分析了媒体报道数量与股价波动非同步性之间的关系,以及机构持股比例对这种关系的影响。结果发现:媒体报道数量对股价波动非同步性存在显著"U"型影响,即当媒体报道贫乏时,股价波动非同步性随着报道数量的增加而减少,而当媒体报道丰富时,股价波动非同步性随着报道数量的增加而增加;机构持股比例的增加会减弱上述"U"型关系。本研究表明,新闻媒体在我国股票市场总体上扮演了信息提供者的角色,并提供了不同类型投资者对新闻媒体反应差异的直接证据。

Based on the theories that explain how media coverage and institutional ownership affect stock price fluctuations, this paper examines the relationship between stock price non-synchronicity and media coverage, and the effect of institutional ownership＇ s proportion on this relationship, by using data from Baidu search engine and from Chinese listed companies. The results show that there is a U- shape relationship between the stock price non-synchronicity and the media coverage, i.e. the stock price non-synchronicity decreases with the increment of the number of media coverage when a stock is poorly reported by media, while it increases with the increment of the number of media coverage when it is reported richly. Moreover, the proportion of institutional ownership will reduce the above U-shape relationship. The findings suggest that the media plays a role of information provider in Chinese stock market on the whole, and direct ev- idence is provided to demonstrate different investors＇ reactions to media.