上市公司信息数量对股价波动的影响研究  

A Research on the Influences of the Listed Firms’ Information Quantity on Stock Price Volatility

作　　者：韩燕[1] 崔鑫[2] 成宇星 Han Yan;Cui Xin;Cheng Yuxing(School of Humanities&Social Science,Beijing Institute of Technology,Beijing 100081;Business School,University of International Business&Economics,Beijing 10002)

机构地区：[1]北京理工大学人文与社会科学学院,北京100081 [2]对外经济贸易大学国际商学院,北京100029

出　　处：《管理评论》2020年第12期27-36,共10页Management Review

基　　金：国家自然科学基金面上项目(71772013);国家自然科学基金重大项目(71790604)。

摘　　要：信息数量是影响股价波动的重要因素。本文选取2014—2016年间A股上市公司的月度面板数据,通过实证研究检验了信息数量对股价波动的影响。研究结果表明,信息数量与股价波动负相关,即更多的信息能够降低股价波动。但是,不同类型的信息在不同类型的公司中对股价波动会产生不同的影响。把信息区分为新闻报道和公司公告两个类型,新闻报道对规模大和规模小的公司都起到了降低股价波动的作用,而公司公告则提高了大公司的股价波动,降低了小公司的股价波动。进一步研究发现,机构投资者越多的公司股价波动越高,而且机构投资者对信息与股价波动关系具有调节作用,即机构投资者抑制了信息降低股价波动的作用。研究结果揭示了信息影响股价波动的机制不是同质的,而是因信息类型和公司特征的不同而不同的。研究结果还支持了机构投资者增加股价波动,无法稳定市场的观点。The quantity of information is an important factor influencing stock price volatility. By using the monthly panel data of Chinese A-share firms between 2014 and 2016,this paper empirically tests how the quantity of information affects stock price volatility. The results show that the quantity of information is negatively associated with stock price volatility,indicating that information reduces volatility.However,it is shown that different types of information have different impacts on volatility of different companies. So far as such two types of information as media reports and corporate announcements are concerned,media reports reduce stock price volatility for both largeand small-size firms whereas corporate announcements enhance volatility for large-size firms and reduce volatility for small-size firms.Furthermore,institutional investors increase volatility,and the existence of institutional investors adjusts the relationship between information and volatility,namely institutional investors hinder information’s role of reducing volatility. The results highlight that the mechanism of information’s impacts on stock price volatility is not homogeneous,but rather dependent on information types and company characteristics. The results also lend supports to the view that institutional investors increase volatility and fail to stabilize the markets.

关 键 词：信息数量 股价波动 机构投资者 

分 类 号：F832.51[经济管理—金融学]