信息披露质量、压力抵制型机构投资者与股价同步性研究——基于深市A股公司的数据分析

A Study on the Synchronicity Between Institutional Investors and Stock Prices Under Pressure and Resistance to Information Disclosure Quality——Based on the Data Analysis of Shenzhen A share Market

中国的证券市场虽然还在不断发展、完善中,但与发达国家相比,股价的同步性仍处于较高水平。这反映中国当前的证券资本市场的信息效率水平不高,没有充分反映公司层面的特质信息,股价波动受到噪声影响较大,并在一定程度上降低市场运行效率。此外,上市公司的信息披露质量以及压力抵制型机构投资者对于缓解投资者与公司之间的信息不对称有重要作用,从而在一定程度上影响股价同步性。本文以2015-2017年的深市A股上市非金融公司为样本,研究结果表明:由于受到市场噪声行为和异象活动的干扰,公司信息披露质量的提高会提高股价同步性即信息披露质量会对股价同步性产生正向作用。更进一步,研究还发现压力抵制型机构投资者持股比例越高会在一定程度上减弱公司信息披露质量对股价同步性的正相关关系。

Although China s securities market is still developing and improving,compared with developed countries,the synchronicity of stock prices is still at a higher level.This reflects that the information efficiency level of China s current securities capital market is not high and does not fully reflect the characteristic information at the company level.In addition,the quality of information disclosure of listed companies and pressure-resistant institutional investors play an important role in alleviating the information asymmetry between investors and companies,thus affecting the synchronicity of stock prices to a certain extent.This paper takes non-financial companies listed on a-shares in Shenzhen from 2015 to 2017 as samples.The research results show that due to the interference of market noise,the improvement of information disclosure quality of companies will improve the synchronicity of stock prices,that is,the quality of information disclosure will have A positive effect on the synchronicity of stock prices.Furthermore,this paper also finds that the higher the shareholding ratio of pressure-resistant institutional investors is,to some extent,the lower the positive correlation and sensitivity between the quality of corporate information disclosure and stock price synchronicity.