地理距离与股价暴涨暴跌——基于软信息不对称的视角

Geographical Distance and Stock Price Spikes and Drops——A Perspective Based on Soft Information Asymmetry

本文基于软信息不对称视角,以地理距离衡量由“软信息”带来的信息不对称程度,利用A股上市公司数据探究了股价暴涨暴跌的成因。研究发现:地理距离显著增加了股价暴涨暴跌次数,即软信息不对称程度越高,股价暴涨暴跌的可能性越大;投资者调研活动在地理距离影响股价暴涨暴跌的过程中发挥了重要的负向调节作用;对于属于沪(深)港通标的、机构持股比例低和信息披露考核差的上市公司,地理距离显著增加了股价暴涨暴跌的可能性。本文对于拓展软信息不对称相关研究、促进资本市场健康发展具有一定意义。

Based on the perspective of soft information asymmetry,this paper measures the degree of information asymmetry brought about by"soft information"in terms of geographic distance,and explores the causes of the sharp rise and fall of stock prices using data of A-share listed companies.It is found that:geographical distance significantly increased the number of stock price spikes and plunges,i.e.the higher the degree of soft information asymmetry,the greater the likelihood of stock price spikes and plunges;investor research activities play an important negative moderating role in the process by which geographical distance affects stock price spikes and drops;for listed companies that are the subject of Shanghai(Shenzhen)Hong Kong Stock Exchange,have low institutional shareholding and poor information disclosure assessment,the geographical distance significantly increases the possibility of share price surge and plunge.This paper has implications for expanding research related to soft information asymmetry and promoting the healthy development of capital markets.