机构地区: 厦门大学
出 处: 《经济学(季刊)》 2007年第A01期189-206,共18页
摘 要: 本文承袭Morck等(2000)的研究方法,运用资产定价回归模型的拟合系数(即R2)来捕捉股价波动的同步性。在引入中国证券市场制度建设过程中六个标志性事件的基础上,我们发现,伴随着制度建设的逐步推进、不断完善的历史过程,股价波动的同步性趋向减弱,股票价格所反映出的公司特质信息越来越丰富。在稳健性检验中,我们引入中国中小投资者法律保护分值作为反映制度建设进程的代理变量,发现投资者法律保护措施的加强有效抑制了股价波动的“同涨共跌”现象,再次验证了本文的研究结论。 Stock prices in the Chinese stock market are highly correlated. This implies that firm-specific information is not fully capitalized into stock prices. This article aims at finding out the information contents of the stock prices in the period of 1994 to 2005, paying specific attentions to the role played by institution building in enhancing the function of firm-specific information. Our empirical results show that with better institutions being introduced into the market, the information contents of stock prices have indeed been improved over time.
领 域: [经济管理]