媒体、证券分析师与股价同步性

Media,Securities Analyst,and Stock Price Synchronicity

以2010—2015年沪深A股上市公司为研究样本,用股价同步性衡量资本市场定价效率,探究究竟是媒体还是证券分析师影响资本市场定价效率。实证结果表明,媒体关注的提高能有效降低股价同步性,证券分析师本身不能直接降低股价同步性。进一步研究表明,媒体关注和分析师关注存在相互提升作用,分析师关注的提高可通过媒体关注这一中间渠道降低股价同步性。

This article,selecting shares from Shanghai and Shenzhen A-share listed companies from2010 to 2015 as research samples,measures the capital market pricing efficiency by stock price synchronicity and explores whether it is the media or securities analyst that influences the capital market pricing efficiency.The empirical results show that an increase in media attention can effectively reduce the stock price synchronicity,while securities analysts themselves cannot reduce the stock price synchronicity directly.Further analysis shows that the media attention and analyst attention have reciprocal positive influence on each other,and the increase in analyst attention can reduce stock price synchronicity through the channel of the increased media attention.