公司治理、机构持股与股价同步性  

Corporate Governance,Institutional Ownership,and Stock Price Synchronicity

作　　者：周林洁[1] 

机构地区：[1]中国青年政治学院经济管理学院,北京100089

出　　处：《金融研究》2014年第8期146-161,共16页Journal of Financial Research

摘　　要：本文旨在探讨在噪音交易较多的中国股票市场中,公司治理对股价同步性的影响。实证结果显示,以控制权和现金流权之差度量的超额控制权和股价同步性之间存在显著的负相关关系,机构持股加强了这种负向关系。进一步,本文采用南开治理指数和配对方法对公司治理综合指标和股价同步性进行研究,发现治理好的公司表现出更高的股价同步性和更好的未来盈余。本文研究表明,当噪音交易是股价同步性的主要驱动因素时,较差的公司治理,特别是较高的超额控制权,会增加基本面的不确定性,吸引较多的噪音交易,进而降低股价同步性。This paper studies the relations of corporate governance and stock price synchronicity using a sample from the Chinese stock market. The results indicate that there is a strong negative relationship between private control benefit, measured by disparity between＇control rights and cash flow rights; and price synehronicity. The result is profound for firms with more institutional ownership. By matching methodologies, we show that firms with better corporate governance exhibit lower idiosyncratic volatility and higher growth in future earnings. Overall, under the noise - based interpretations, our findings indicate that poor governance, especially greater private control benefits, result in more uncertainty into markets via noise trading and thereby reduce price synchronicity of stocks.

关 键 词：公司治理 股价同步性 噪音交易 机构持股 

分 类 号：F271[经济管理—企业管理] F832.51[经济管理—国民经济]