媒体关注、机构投资者与股价同步性
发布时间：2018-10-26 16:38
【摘要】：股价的信息含量是影响资本市场资源配置效率的关键因素。股价同步性是衡量股价信息含量的主要指标,表明了在某一时间段内公司股价同时上涨或下跌的现象。与发达国家相比,我国资本市场中股价的“同涨共跌”现象比较严重,股价信息含量位居世界倒数第一,导致公司股价中包含了大量的噪音,降低了股价中公司层面信息的含量,严重影响资本市场引导资源配置的有效性,且在不同程度上损害了中小投资者的利益。机构投资者制度应运而生,作为市场参与者,机构投资者拥有一定的专业技能和资金优势,其对股价同步性的影响如何?在提高上市公司信息质量与保护投资者合法权益方面,媒体作为外部治理机制越来越发挥着不容忽视的作用,媒体的关注能否真正改善资本市场的信息环境?媒体对股价同步性影响如何?媒体对机构投资者与股价同步性之间的关系发挥着怎样的调节作用?本文将针对以上问题展开研究。本文结合规范与实证研究两种方法,首先对国内外关于媒体关注、机构投资者、股价同步性相关的文献进行了回顾,在此基础上,基于信息经济学理论、行为金融理论、信息不对称理论分析了机构投资者对股价同步性的影响机理并提出研究假设,实证检验了机构投资者对股价同步性的影响,基于声誉理论、信息不对称理论分析了媒体关注对股价同步性的影响机理并提出研究假设,实证检验了媒体关注对股价同步性的影响。研究结果:机构投资者持股比例的增加和媒体关注度的提高均能够显著降低股价同步性;相对于灰色机构投资者,独立机构投资者对股价同步性的降低作用更显著;加入媒体关注变量后,机构投资者与股价同步性的关系显著为正,表明机构投资者与媒体关注对股价同步性的作用表现为替代关系,媒体关注程度的增加会削弱机构投资者对股价同步性的负向作用。由此得到启示:在我国资本市场上,股价同步性负向地反映股票市场信息效率。一方面,应完善证券市场相关制度,促进机构投资者的多元发展及其自身专业素质的提高;另一方面,应完善媒体管理制度,规范媒体报道行为,进而降低股价同步性。
[Abstract]:The information content of stock price is the key factor that affects the efficiency of resource allocation in capital market. The synchronization of stock price is the main index to measure the information content of stock price, which indicates that the stock price of a company rises or falls simultaneously in a certain period of time. Compared with the developed countries, the phenomenon of "rising and falling together" in China's capital market is more serious, and the information content of stock price ranks first in the world, which results in a large amount of noise in the stock price of the company. It reduces the content of company level information in stock price, seriously affects the effectiveness of capital market guiding resource allocation, and damages the interests of small and medium-sized investors in varying degrees. Institutional investor system emerges as the times require, as a market participant, institutional investors have certain professional skills and capital advantages, how does it affect the synchronism of stock price? In improving the information quality of listed companies and protecting the legitimate rights and interests of investors, the media, as an external governance mechanism, is playing a more and more important role. Can media concern really improve the information environment of the capital market? How does the media affect the synchronism of stock prices? How does the media regulate the relationship between institutional investors and stock price synchronization? This article will carry on the research to the above question. Combining normative and empirical research methods, this paper first reviews the literature on media concern, institutional investors and stock price synchronism at home and abroad, based on the theory of information economics and behavioral finance. The information asymmetry theory analyzes the mechanism of institutional investors' influence on stock price synchronism and puts forward research hypotheses. It empirically tests the influence of institutional investors on stock price synchronism, which is based on reputation theory. The information asymmetry theory analyzes the influence mechanism of media attention on stock price synchronism and puts forward the research hypothesis, and empirically tests the influence of media attention on stock price synchronicity. The results show that the increase of shareholding ratio and media attention of institutional investors can significantly reduce the synchronicity of stock prices, compared with gray institutional investors, independent institutional investors have a more significant role in reducing the synchronicity of stock prices. After adding media attention variables, the relationship between institutional investors and stock price synchronization is significantly positive, which indicates that institutional investors and media concern play a substitute role in stock price synchronization. The increase of media attention will weaken the negative effect of institutional investors on stock price synchronism. The revelation is that the stock price synchronously reflects the information efficiency of the stock market in China's capital market. On the one hand, we should perfect the relevant system of securities market, promote the diversified development of institutional investors and improve their own professional quality; on the other hand, we should perfect the media management system, standardize the behavior of media reporting, and then reduce the synchronism of stock price.
【学位授予单位】：中南财经政法大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：G206;F832.51
本文编号：2296343
[Abstract]:The information content of stock price is the key factor that affects the efficiency of resource allocation in capital market. The synchronization of stock price is the main index to measure the information content of stock price, which indicates that the stock price of a company rises or falls simultaneously in a certain period of time. Compared with the developed countries, the phenomenon of "rising and falling together" in China's capital market is more serious, and the information content of stock price ranks first in the world, which results in a large amount of noise in the stock price of the company. It reduces the content of company level information in stock price, seriously affects the effectiveness of capital market guiding resource allocation, and damages the interests of small and medium-sized investors in varying degrees. Institutional investor system emerges as the times require, as a market participant, institutional investors have certain professional skills and capital advantages, how does it affect the synchronism of stock price? In improving the information quality of listed companies and protecting the legitimate rights and interests of investors, the media, as an external governance mechanism, is playing a more and more important role. Can media concern really improve the information environment of the capital market? How does the media affect the synchronism of stock prices? How does the media regulate the relationship between institutional investors and stock price synchronization? This article will carry on the research to the above question. Combining normative and empirical research methods, this paper first reviews the literature on media concern, institutional investors and stock price synchronism at home and abroad, based on the theory of information economics and behavioral finance. The information asymmetry theory analyzes the mechanism of institutional investors' influence on stock price synchronism and puts forward research hypotheses. It empirically tests the influence of institutional investors on stock price synchronism, which is based on reputation theory. The information asymmetry theory analyzes the influence mechanism of media attention on stock price synchronism and puts forward the research hypothesis, and empirically tests the influence of media attention on stock price synchronicity. The results show that the increase of shareholding ratio and media attention of institutional investors can significantly reduce the synchronicity of stock prices, compared with gray institutional investors, independent institutional investors have a more significant role in reducing the synchronicity of stock prices. After adding media attention variables, the relationship between institutional investors and stock price synchronization is significantly positive, which indicates that institutional investors and media concern play a substitute role in stock price synchronization. The increase of media attention will weaken the negative effect of institutional investors on stock price synchronism. The revelation is that the stock price synchronously reflects the information efficiency of the stock market in China's capital market. On the one hand, we should perfect the relevant system of securities market, promote the diversified development of institutional investors and improve their own professional quality; on the other hand, we should perfect the media management system, standardize the behavior of media reporting, and then reduce the synchronism of stock price.
【学位授予单位】：中南财经政法大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：G206;F832.51
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