Media Reports, Analyst Behavior and Stock Price Synchronicity
【中文摘要】媒体和分析师是公司外部信息环境的重要组成,二者都会对股价信息含量产生显著影响,并最终影响股价同步性。利用 2010—2013年中国创业板上市公司的数据,从新闻媒体和证券分析师两类信息中介的视角,可考察外部信息环境对公司股价同步性的影响。研究发现,媒体报道和分析师行为均与股价同步性显著负相关;表明随着外部信息环境的改善,更多公司特质信息将融入股票价格中,降低股价同步性。进而,由于搜寻和传播的信息存在重叠,媒体报道与分析师行为之间还存在某种替代效应,即一方活动的加强将挤占或削弱另一方降低股价同步性的积极作用。研究结论支持股价同步性能够度量股价特质信息含量或是资本市场效率的论断。 【Abstract】Media and analyst are two important components of external information environment for firms. Both of them will have significant impacts on the information content of a stock, which in turn leads to an impact on the stock price synchronicity. Using samples of Chinese firms listed on the GEM between 2010 and 2013 and from perspectives of both the media and analysts, we tested the impact of the external information environment on stock price synchronicity. The results show that both media reports and analyst behavior are negatively related to stock price synchronicity, indicating that as the information environment improves, more firm idiosyncratic information is reflected in stock prices, leading to decreased stock price synchronicity. Furthermore, there exists substitution effect between media reports and analyst behavior, meaning that the strength of effect from one party tends to reduce and squeeze the positive role played by the other party. The conclusions provide support to the argument that stock price synchronicity can be used to measure information content and capital market efficiency as well.