利益相关者、信息与股价同步性研究——基于2015年股市异常波动视角
Research on Stakeholders, Information and Stock Price Synchronization—Based on the 2015 Stock Market Abnormal Fluctuation Perspective

论文利用2014~2016年股市发生重大异常波动时期A股上市公司数据，研究分析师、媒体和机构投资者三种利益相关者对股价同步性的影响，得出了以下结论：(1) 分析师行为、媒体关注度和机构投资者持股比例均与股价同步性负相关，但媒体是通过制造噪音影响股价同步性，而分析师和机构投资者则是向市场传递了有效的公司层面的信息降低同步性；(2) 分析师和媒体在披露上市公司特质信息方面具有相互促进的作用，但相比于媒体披露的信息，机构投资者更倾向于利用证券分析师出具的报告和给出的投资意见进行交易。本文研究有助于了解分析师、媒体和机构投资者在传递上市公司特质信息方面的作用，同时从利益相关者的层面为提高国内资本市场运行效率提出了参考建议。
The paper uses the data of A-share listed companies in the period of major abnormal fluctuations in the stock market during 2014~2016 to study the influence of analysts, media and institutional in-vestors on stock price synchronicity, and draws the following conclusions: (1) Analyst behavior, me-dia attention, and institutional investor shareholding are all negatively correlated with stock price synchronicity, but the media influences stock price synchronicity through making noise, while ana-lysts and institutional investors reduce synchronicity through conveying effective company-level information to the market; (2) Analysts and the media have a mutually reinforcing role in disclosing the trait information of listed companies, but institutional investors are more inclined to trade us-ing the reports and investment advice issued by securities analysts rather than the information disclosed by the media. This paper helps to understand the role of analysts, media and institutional investors in conveying the trait information of listed companies, and at the same time, puts forward some suggestions for improving the operation efficiency of domestic capital markets from the per-spective of stakeholders.