投资者本地偏好对股票市场信息效率影响研究

Influence of investors’local bias on the information efficiency of stock market

投资者因认识偏差购买本地股票难以向股价融入更多特质信息,对股票市场信息效率造成不利影响.本文以百度搜索指数构建的本地偏好代理指标作为研究对象,分别从一线、新一线和非一线城市的上市公司来探讨本地偏好对股票市场信息效率影响的区域差异,并探讨证券分析师和新闻媒体作为信息中介的参与能否减轻投资者本地偏好倾向.研究发现:1)投资者本地偏好对股票市场信息效率存在显著负向影响;2)相比一线城市,位于新一线和非一线城市的上市公司,投资者本地偏好对其信息效率的影响更加显著;3)分析师和新闻媒体的参与有效缓解了投资者本地偏好对公司信息效率的影响.此外,本地偏好对上市公司股票流动性和信息不对称程度的提高是影响信息效率的重要途径.

Investors’behavior of buying too many local stocks due to misunderstanding is difficult to incorporate more corporate-specific information into the stock price.Stock prices contain more noise and deviate from their basic value,which adversely affects the information efficiency of the stock market.This article takes the local preference proxy index constructed by Baidu search index as the research object,and discusses the regional differences of the influence of local preference on the information efficiency of the stock market from listed companies in first-tier,new-tier and non-first-tier cities,and discusses securities analysts and news media.Can participation as an information intermediary alleviate investors’local preferences?The research found that:1)The local preference of investors has a significant negative impact on the information efficiency of listed companies;The impact is more significant;2)Compared with the-first-tier cities,the local preference of investors has a more significant impact on the information efficiency of listed companies located in the new-tier and non-first-tier cities;3)The participation of analysts and news media can effectively alleviate the impact of investors’local preferences on the company’s information efficiency.Further research shows that local preference is an important way to improve stock liquidity and information asymmetry of listed companies.