政府行为必然会提高股价同步性吗?——基于我国产业政策的实证研究  

Will Government Behavior Definitely Increase Stock Price Synchronicity? Empirical Evidence from China's Industrial Policies

作　　者：陈冬华[1] 姚振晔[1] CHEN Donghua;YAO Zhenye(Business School, Nanjing University)

机构地区：[1]南京大学商学院

出　　处：《经济研究》2018年第12期112-128,共17页Economic Research Journal

基　　金：国家自然科学基金课题"隐性契约对中国公司治理的影响:理论与实证"(项目批准号713772032)的后续性成果;国家自然科学基金课题"公司治理与政府行为--基于嵌入理论的解释与实证"(项目批准号71772085)的阶段性成果

摘　　要：通常认为,弱产权保护下,政府行为带来的不确定性会加大,会阻碍信息的套利交易,引发噪音交易,减少公司特质信息,提高股价同步性。本文发现,在特定条件下,政府行为也可能会降低股价同步性,提高股价中公司特质信息的含量。以我国产业政策实施的影响为切入点,研究发现:(1)产业政策的宣告使获得产业政策支持的企业股价同步性下降,且在受到重点支持的企业中更加明显;(2)截面分析发现,上述结果主要存在于分析师较多、机构投资者较多及媒体报道较多的企业中;(3)机构投资者的信息作用主要依赖于证券投资基金、社保基金、保险基金、证券公司等,合格的境外投资者作用不明显。文章从新的视角解释了我国股价同步性形成机制,说明政府的宏观政策同样是具有微观个体差异的公司特质信息,对政府行为与股价同步性的研究形成了有益补充,有助于重新认识"信息效率观"及我国证券市场的信息传递机制。Improving the information efficiency of the securities market has been an important area of research. The implementation of macroeconomic policies and the current situation of government intervention have a tremendous impact on corporate value at the micro level. This impact means that there is value relevance between corporate value and policy information. Therefore, under China s institutional background, we cannot explore promoting the information efficiency of the securities market without studying macro policies or government behaviors. From the perspective of information efficiency theory, government behaviors under imperfect property rights may result in more uncertainty, which lowers investors information arbitrage and increases the ratio of noise in transactions. Furthermore, it improves the stock price synchronicity of the securities market and reduces information efficiency. However, macro policy information has a lower cost of acquisition, and its direction of influence is explicit. With these two benefits, informed traders can conduct arbitrage transactions according to cost-benefit principles. Thus the macro information is embedded into stock prices and information efficiency improves. Clearly, whether government behaviors improve stock price synchronicity relies on the actual institutional background of government behaviors. When it rests on a specific institutional background, the relationship between government behaviors and stock price synchronicity under information efficiency theory can be clarified, and research on improving the information efficiency of the securities market can make progress. The universality and representativeness of China s execution of industrial policies provide an ideal research perspective on the effects of government behaviors. This paper examines whether the release and execution of industrial policies improves stock price synchronicity. Based on China s situation of industrial policy development and implementation, this paper analyzes the influence of industrial po

关 键 词：政府行为 产业政策 股价同步性 公司特质信息 

分 类 号：F832.51[经济管理—金融学]