投资者情绪与股价同步性研究

Research on Synchronicity of Investor Sentiment and Stock Price

以2018-2021年沪深证券交易所A股上市公司为样本,研究投资者情绪对股价同步性的影响及作用机制。研究表明:投资者情绪与股价同步性显著正相关,支持了“信息效率”说;高涨的投资者情绪能够通过提升融资约束加剧股价同步性。进一步研究发现,投资者情绪对股价同步性的积极作用在证券监管力度较低、会计稳健性较低与股权激励较高的企业中更为明显。从优化信息获取渠道、健全公司内部信息公开披露机制、强化监管部门监督职能等方面对抑制股价同步性提出了建议。

Taking A-share listed companies in Shanghai and Shenzhen Stock Exchanges from 2018 to 2021 as samples,this paper studies the influence and mechanism of investor sentiment on stock price synchronization.The results show that there is a significant positive correlation between investor sentiment and stock price synchronicity,which supports the theory of"information efficiency".High investor sentiment can increase share price synchronicity by increasing financing constraints.Further research shows that the positive effect of investor sentiment on stock price synchronization is more obvious in the enterprises with lower securities supervision,lower accounting conservatism and higher equity incentive.Some suggestions are put forward to restrain stock price synchronicity from optimizing information acquisition channels,perfecting internal information disclosure mechanism and strengthening supervision functions of regulatory departments.