机构投资者实地调研、信息效率与股价波动

Field Research on Institutional Investors,Information Efficiency and Stock Price Volatility

以2015—2018年深交所A股主板上市公司的面板数据为样本,运用面板随机效应模型,探究机构投资者实地调研对公司股价波动的影响。研究发现机构投资者实地调研的强弱程度影响公司股价的波动。具体来看,机构投资者的实地调研频次与股价波动呈现出正相关的关系,这表明实地调研可以发现更多的私有信息,提升了信息的使用效率。进一步研究显示,对于信息发布不全、行业竞争不激烈的公司来说,机构投资者实地调研的作用更大,这说明在信息披露较少的情况下,实地调研得到的信息发挥的作用更加显著。

Using the balance panel data of the listed companies on the Shenzhen Stock Exchange’s A-share main board from 2015 to 2018,and using the panel random effects model,we explore the impact of institutional investors’field investigations on the company's stock price fluctuations.The results show that the strength of field investigations by institutional investors affects the fluctuation of the company’s stock price.Specifically,the frequency of on-site investigations by institutional investors is positively correlated with stock price fluctuations,which shows that on-site investigations can find more private information and increase the efficiency of information use.Further research shows that for companies with incomplete information release and low industry competition,institutional investor field research is more effective for companies with poor information disclosure content and low industry competition.This shows that in the case of less information disclosure,the information obtained from field research plays a more significant role.