机构投资者、公司特质信息与股价波动同步性--基于R2的研究视角被引量：48

Institutional Investors,Firm-specific Information and the Synchronicity of Stock Price Variation:A R^2-Based Perspective

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摘要本文以2006至2010年中国非金融上市公司为考察对象,分别从水平效应和增量效应两个角度,考察机构投资者与股价波动同步性之间的关系。实证研究发现,机构投资者的参与提高了整个市场投资者的理性程度,有助于市场信息传递机制的完善,推动了股票价格对公司特质信息的吸收,从而有力抑制了股价波动的同涨共跌现象。本文的实证结果从股价波动同步性的角度,支持了机构投资者的参与有助于市场稳定和信息传递的观点。 Based on a panel data of Chinese listed firms during 2006 -2010, this paper empirically tests the relation between institutional investors and the synchronicity of stock price variation from mean effect and increment effect separately. The results show that the institutional investors promote the rational degree of security market investors, increase the information content of stock prices, and restrain the synchronicity greatly as a result. These evidences support the point of statement that institutional investors conduce to market stabilization and information transmission.

作者游家兴汪立琴

机构地区北京大学光华管理学院会计系厦门大学管理学院财务学系

出处《南方经济》 CSSCI 2012年第11期89-101,共13页 South China Journal of Economics

基金国家自然科学基金青年项目(项目编号:71102061)的资助

关键词机构投资者特质信息同步性 R2 Institutional Investors Firm - specific Information Synchronicity R2

分类号 F830.91 [经济管理—金融学]

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