国际化经营、机构投资者与股价同步性  

International Operation,Institutional Investor and Stock Price Synchronicity

作　　者：金鑫[1] 雷光勇[2] 王文[1] 

机构地区：[1]对外经济贸易大学国际商学院 [2]对外经济贸易大学国际财务与会计研究中心

出　　处：《科学决策》2011年第8期1-21,共21页Scientific Decision Making

基　　金：国家社会科学基金项目(10BGL017);对外经济贸易大学"211工程"项目(73200032)和学术创新团队项目

摘　　要：文章研究了中国上市公司的国际化经营对股价同步性的影响,以及机构投资者在二者关系中所起的作用。结果发现,相对于非国际化经营公司而言,国际化经营公司的股价同步性较高;而国际化经营程度越高,股价同步性越低,且二者的反向关系会随着机构投资者持股比例的增加而增强。结论表明,上市公司提供的信息量、投资者获取信息的成本、投资者的理性程度及结构等因素都会影响投资者识别和区分特质信息和噪音的能力,进而影响股价同步性。This paper examines the effects of international operation of Chinese listed companies on stock price synchronicity and the influence of institutional investor on the relationship between international operation and stock price synchronicity, using data from Chinese stock market and annual reports of the listed companies. The paper finds that companies which operate interna- tionally have higher stock price synchronicity compared with companies without international oper- ation. Further analyses show that there is a significant negative correlation between the level of international operation and stock price synchronicity and that this negative correlation increases with the ratio of current shares held by institutional investors. The empirical results also show that some factors such as the amount of information disclosed by listed companies, the cost of infor- mation to investors, the extent of rationality of investors and investors＇ structure, may impact the investors＇ ability to recognize and distinguish information and noise, which may even have further impact on stock price synchronicity.

关 键 词：国际化经营 机构投资者 股价同步性 公司透明度 

分 类 号：F275.5[经济管理—企业管理]