摘要
信息经济学理论认为反倾销对资本市场信息效率的影响是不确定的。本文以股价同步性测度资本市场信息效率,构建了反倾销影响股价同步性的理论模型,并使用手动收集和匹配的我国上市公司和世界银行反倾销数据库进行实证检验。发现反倾销冲击会显著提高股价同步性,抑制资本市场信息效率。该效应只在分析师关注度低的公司、集中度较低的行业、反倾销的终裁阶段显著。反倾销会影响基金类投资者的投资行为,卖空有助于削弱该机制的作用。
Information economics puts the ambiguous effects of anti-dumping on informational efficiency capital market.We measure informational efficiency using the stock price synchronization and build a model to depict this effect.Furthermore,we manually match the Chinese company-level anti-dumping database to test this effect.We find anti-dumping could significantly increase stock price synchronization,implying a detrimental impact on informational efficiency.This effect only exists among companies with lower analysts'participation,industries with lower concentration and the last stage of the anti-dumping.Anti-dumping will reduce the investment of institutional investors,and then increase stock price synchronization.
作者
黄新飞
叶梓南
王升泉
HUANG Xinfei;YE Zinan;WANG Shengquan(Sun Yat-sen University;City University of Hong Kong,China;Beijing Normal University)
出处
《经济学（季刊）》
北大核心
2023年第5期1954-1972,共19页
China Economic Quarterly
基金
国家社会科学基金重大项目(16ZDA042)
国家自然科学基金青年项目(72003205)
广东省社科规划一般项目(GD22CYJ12)的资助。
关键词
反倾销
股价同步性
资本市场信息效率
anti-dumping
stock price synchronicity
informational efficiency of capital market
