数字化转型对股价特质性波动的影响研究

Enterprise Digital Transformation and Stock Price Idiosyncratic Volatility

本文以2007—2020年沪深A股全部上市公司为研究样本,实证检验了数字化转型对公司股价特质性波动的影响。研究发现,企业数字化转型能够降低公司股价的特质性波动水平。该结果在控制内生性以及一系列其他稳健性测试之后依然成立。信息透明度与信息不对称是数字化转型影响公司股价特质性波动的重要渠道,即企业的数字化转型通过提高信息透明度,改善信息不对称问题,降低了股价特质性波动。异质性分析表明,在数字技术应用方、审计质量低以及机构投资者持股较低的公司中二者负向关系更加显著。本研究有助于进一步打开数字化转型与企业股价特质性波动之间的黑箱,对企业防范和化解风险具有启示意义。

This paper takes all A-share listed companies in Shanghai and Shenzhen from 2007 to 2020 as research samples.It is found that enterprise digital transformation can reduce the stock price idiosyncratic volatility.This result held true after controlling for endogeneity and a series of other robustness tests.Information transparency and information asymmetry are important channels for digital transformation to affect the idiosyncrasies of corporate stock prices.In other words,the digital transformation of firms restrain the stock price idiosyncratic volatility by improving information transparency and relieving information asymmetry.Heterogeneity analysis shows that the negative correlation is more significant in the firms with digital technology application,low audit quality and low institutional investor shareholding.This study is helpful to further open the black box between the digital transformation and the characteristic volatility of stock price and has implications for firms to prevent and resolve risks.