信息披露监管模式变更与股价同步性

Change of Information Disclosure Supervision Model and Synchronization of Stock Price

基于信息披露监管由区域监管变更为分行业监管的制度背景,首次从股价同步性的视角考察监管制度转型所产生的经济后果。研究发现:行业监管模式的实施显著降低了股价同步性,这种效果主要源自行业监管模式促进了公司特质性信息融入股价。在排除了替代性解释和内生性问题后,结论仍然成立。不仅拓展了股价同步性影响因素的研究文献,为信息披露监管制度变更的经济后果提供了增量证据,也为如何降低股价同涨同跌提供了新思路。

Based on the institutional background of changing information disclosure supervision from regional supervision to sub industry supervision, this paper examines the economic consequences of the transformation of supervision system from the perspective of stock price synchronization for the first time. It is found that the implementation of industry supervision mode significantly reduces the synchronization of stock price, which is mainly due to the fact that industry supervision mode promotes the integration of company specific information into stock price. After excluding alternative interpretation and endogenous problems, the conclusion is still valid. It not only expands the research literature on the influencing factors of stock price synchronization, providing incremental evidence for the economic consequences of the change of information disclosure supervision system,but also provides a new idea on how to reduce the rise and fall of stock price.