股价信息含量与市场交易活跃程度  

Stock Price Informativeness and the Activity of Market. Trading

作　　者：陈梦根[1] 毛小元[2] 

机构地区：[1]天津财经大学统计学院,天津300222 [2]北京大学光华管理学院,北京100871

出　　处：《金融研究》2007年第03A期125-139,共15页Journal of Financial Research

基　　金：国家自然科学基金项目(批准号:70503005);霍英东教育基金会第十届高等院校青年教师基金项目(批准号:101088);教育部人文社会科学研究项目(批准号:05JC910005);中国博士后科学基金项目(批准号:2005038308)的资助

摘　　要：中国证券市场历来被认为是一个“政策市”,投资者跟风现象严重,股价齐涨同跌,股票价格走势与公司经营状况两张皮。本文以2002-2004年间沪深两市944只股票为样本,采用股价非同步性指标来测度股票价格的信息含量,研究表明,中国证券市场中股价波动反映公司基本面信息的比例平均为52％左右。在样本期内,股价信息含量指标呈逐年递增趋势,市场联动性特征不断减弱。进一步的实证研究表明,股票交易换手率与股价信息含量呈显著的正相关关系,由此可见,股价信息含量对股票交易的活跃程度具有重要影响。同时,本文还发现,股票价格波动率越大,则股票交易越活跃,投资者表现出明显的风险“偏好”,但是如果股价信息含量高,则股票交易活跃程度对风险的敏感性将降低。Chinese securities market is usually characterized as a policy - oriented market. Stock price moves synchronously because of investors＇ herding behavior and are often far away from the companies＇ fundamental value. This paper uses price non - synehronieity as a measure of stock price informativeness. With a sample of 944 stocks listed in Shanghai Stock Exchange and Shenzhen Stock Exchange during 2002 -2004, we find that firm - specific information accounts for about 52% of stock price variation on average and the degree of stock price informativeness increases significantly year by year in the sample period. Further empirical studies show that the degree of informativeness is positively correlated with stock turnover. This suggests that stock price informativeness has an important impact on the activity of stock trading. Moreover, this paper also finds that the higher the volatility of stock prices is, the more active the stock trading is. This may indicate that Chinese investors have strong risk preference. However, when stock price is more informative, the activity of stock trading will be less sensitive to risk.

关 键 词：股价信息含量 价格联动 换手率 风险 

分 类 号：F832.51[经济管理—金融学] F224