高铁开通提升了资本市场效率吗?——基于股价同步性的研究

Does the Opening of the High-Speed Rail Increase the Efficiency of the Capital Market?——A Study Based on Stock Price Synchronicity

本文以股价同步性为落脚点,探讨了高铁开通对资本市场的影响及其作用机制。研究结论表明,高铁通车会显著降低当地公司的股价同步性,上述影响在机构持股比例低、分析师跟踪数量少等信息透明度低的公司中更为显著。进一步地,对其影响机制的研究发现,高铁开通增加了分析师实地调研次数,分析师发挥了信息中介的作用,有助于公司特质信息融入股价。以上结果表明,高铁开通增加了信息的流动,降低了投资者信息搜寻成本,使得公司特质风险在股价中得到体现,表现为股价同步性的降低以及资本市场效率的提升。本文从微观的视角解释了高铁开通带来的信息效应,以及高铁开通在改善公司治理环境方面发挥的积极作用。

From the perspective of stock price synchronization,this paper examines the impact of the opening of the high-speed rail on China’s capital market.The results show that the opening of the high-speed rail has reduced the stock price synchronization,and the above effects are more significant in companies with low information transparency,such as low institutional shareholdings and few analysts.Furthermore,the opening of the high-speed rail increases the number of analysts’field investigations,and the analysts play the role of information intermediary,which help to integrate the company’s traits information into the stock price.The above results show that the opening of the high-speed rail has increased the flow of information and reduced the cost of investor information search,so that the company’s idiosyncratic risk is reflected in the stock price.