股价同步性研究述评与展望——基于R^2的研究视角  

The Review and Prospect of Stock Price Synchronization--Based on the R^2 perspective

作　　者：胡才泓[1] 周文怡 HU Caihong;ZHOU Wenyi(School of Finance,Jiangxi Normal University,Nanchang,Jiangxi 330022,China)

机构地区：[1]江西师范大学财政金融学院,江西南昌330022

出　　处：《金融教育研究》2020年第6期40-48,共9页Research of Finance and Education

基　　金：国家社会科学基金项目“有限关注的机构投资者行为与板块股价同步性研究”(15BGL050)。

摘　　要：股价同步性是衡量资本市场信息效率的重要指标,也是近年来国内外财务学研究的热点。围绕R2的研究脉络展开,首先简述了R2度量股价同步性的起源,其次结合不同的因素分别详细梳理了信息效率学派和非理性行为学派的相关研究,以期集中展示国内外不同学派的学者们对股价同步性产生原因的探索,而这也正是学术界关注和争议最大的焦点问题,最后对未来研究提出展望。Stock price synchronization is an important index to measure the information efficiency of capital market,and it is also a hot issue in finance at home and abroad in recent years.This paper surveys prior literature on the research context of R2.Firstly,we introduces the origin of R2 to measure the synchronicity of stock price.Secondly,we systematically review the related research of information efficiency school and irrational behavior school in detail based on different factors,in order to show the scholars of different schools’exploration of the causes of the synchronicity of stock price,which is the focus of academic attention and controversy,then the future research is prospected.

关 键 词：R2 股价同步性 信息含量 述评与展望 

分 类 号：F830.91[经济管理—金融学]