机构投资者信息能力与股价同步性——基于实地调研的证据

Institutional Investors'Information Capability and Stock Price Synchronicity Evidence Based on Field Research

本文利用机构投资者对上市公司实地调研的证据,考察机构投资者信息能力的提升对股价同步性的影响效果与作用机制。研究显示,首先,实地调研条件下机构投资者信息能力的提升能够显著降低股价同步性,这表明提高机构投资者信息能力是提高股票市场信息效率的有效方式;其次,异质性分析发现,在机构投资者持股较少、业绩较差和新闻报道较少的公司中,机构投资者信息能力的提升降低股价同步性的作用更显著;最后,作用机制检验发现,实地调研条件下机构投资者信息能力的提升同时通过发挥治理效应和信息效应降低公司股价同步性。文章对机构投资者信息能力、股价同步性和上市公司实地调研三个方面的研究进行了文献拓展,研究结果有助于全面理解机构投资者信息能力在证券市场的作用效果和路径,为当前监管部门规范上市公司运作、完善机构投资者治理制度、促进证券市场稳定健康发展具有重要意义。

Based on the evidences of corporate visits,this paper investigates the effect and mechanism of the improvement of institutional investors'information capability on stock price synchronicity.The study finds that:the improvement of institutional investors'information capability under the condition of field research can significantly reduce the stock price synchronization,which indicates that improving institutional investors'information capability is an effective way to improve the information efficiency of stock market.Secondly,the heterogeneity analysis finds that the improvement of institutional investors'information capability has a more significant effect on reducing stock price synchronicity in companies with low institutional investors'shareholding,poor performance and less news coverage.Finally,it is found that the improvement of institutional investors'information capability under the condition of field research has both the governance effect and the information effect to reduce the company's stock price synchronicity.This paper expands the literature on institutional investors'information capability,stock price synchronicity and listed company field research.The research results are helpful to comprehensively understand the effect and path of institutional investors'information capability in the security market,and have great significance for the current regulatory authorities to standardize the operation of listed companies,improve the institutional investors'governance system,and promote the stable and healthy development of the security market.