股价同步性研究述评与展望

A Review of Stock Price Synchronicity Research and Prospects

股价同步性是近年来国内外财务学研究热点。股价同步性反映了单个公司股票价格波动与市场波动之间的关联性,是资本市场信息效率的重要体现。本文首先阐述了股价同步性的内涵和生成机理,并系统梳理了度量股价同步性的常用方法及模型;其次,从宏观、企业及利益相关者层面,总结和分析了股价同步性的影响因素;再次,从资源配置效率、公司治理等角度梳理了有关股价同步性的经济后果研究;最后,提出未来研究展望,呼吁学者从我国极具特色的资本市场制度实践出发,开展股价同步性的本土化研究,关注股价同步性对企业行为的影响,并采用跨学科视角进一步探讨股价同步性的生成机理。本文在完善资本市场机制、提升内外部公司治理水平、提升资本市场信息效率等方面具有一定的参考价值。

Stock price synchronicity is a hot issue in finance. Stock price synchronicity reflects the relevance between a single company＇s stock price volatility and market fluctuations, which is an important manifestation of capital market efficiency. This paper surveys prior literature on stock price synchronicity and its prospects. Firstly, we elaborate the definition of stock price synchronicity, introduce the debate on the mechanism of stock price synchronicity, and systematically review the measurements of stock price synchronicity. Secondly, we summarize and analyze the main factors of stock price synchronicity from perspectives of macro-economy, corporations and stakeholders. Thirdly, we review the studies on economic consequences of stock price synchronicity in terms of efficiency of capital allocation, corporate governance, etc. Lastly, we discuss prospects for future research in this field. We call for more papers to discuss the stock price synchronicity from the characteristics of China＇s capital market, focus on the impact of stock price synchronicity on corporate behavior, and further explore the stock price synchronicity mechanism from interdisciplinary perspectives. This paper has practical implications for improving capital market mechanisms, market efficiency and corporate governance.