金融研究
金融研究
금융연구
Journal of Financial Research
2007年
03A期
125~139
,共null页
股价信息含量 价格联动 换手率 风险
股價信息含量 價格聯動 換手率 風險
고개신식함량 개격련동 환수솔 풍험
stock price informativeness, price co- movement, turnover, risk
中国证券市场历来被认为是一个“政策市”，投资者跟风现象严重，股价齐涨同跌，股票价格走势与公司经营状况两张皮。本文以2002—2004年间沪深两市944只股票为样本，采用股价非同步性指标来测度股票价格的信息含量，研究表明，中国证券市场中股价波动反映公司基本面信息的比例平均为52％左右。在样本期内，股价信息含量指标呈逐年递增趋势，市场联动性特征不断减弱。进一步的实证研究表明，股票交易换手率与股价信息含量呈显著的正相关关系，由此可见，股价信息含量对股票交易的活跃程度具有重要影响。同时，本文还发现，股票价格波动率越大，则股票交易越活跃，投资者表现出明显的风险“偏好”，但是如果股价信息含量高，则股票交易活跃程度对风险的敏感性将降低。
中國證券市場歷來被認為是一箇“政策市”，投資者跟風現象嚴重，股價齊漲同跌，股票價格走勢與公司經營狀況兩張皮。本文以2002—2004年間滬深兩市944隻股票為樣本，採用股價非同步性指標來測度股票價格的信息含量，研究錶明，中國證券市場中股價波動反映公司基本麵信息的比例平均為52％左右。在樣本期內，股價信息含量指標呈逐年遞增趨勢，市場聯動性特徵不斷減弱。進一步的實證研究錶明，股票交易換手率與股價信息含量呈顯著的正相關關繫，由此可見，股價信息含量對股票交易的活躍程度具有重要影響。同時，本文還髮現，股票價格波動率越大，則股票交易越活躍，投資者錶現齣明顯的風險“偏好”，但是如果股價信息含量高，則股票交易活躍程度對風險的敏感性將降低。
중국증권시장력래피인위시일개“정책시”，투자자근풍현상엄중，고개제창동질，고표개격주세여공사경영상황량장피。본문이2002—2004년간호심량시944지고표위양본，채용고개비동보성지표래측도고표개격적신식함량，연구표명，중국증권시장중고개파동반영공사기본면신식적비례평균위52％좌우。재양본기내，고개신식함량지표정축년체증추세，시장련동성특정불단감약。진일보적실증연구표명，고표교역환수솔여고개신식함량정현저적정상관관계，유차가견，고개신식함량대고표교역적활약정도구유중요영향。동시，본문환발현，고표개격파동솔월대，칙고표교역월활약，투자자표현출명현적풍험“편호”，단시여과고개신식함량고，칙고표교역활약정도대풍험적민감성장강저。
Chinese securities market is usually characterized as a policy - oriented market. Stock price moves synchronously because of investors＇ herding behavior and are often far away from the companies＇ fundamental value. This paper uses price non - synehronieity as a measure of stock price informativeness. With a sample of 944 stocks listed in Shanghai Stock Exchange and Shenzhen Stock Exchange during 2002 -2004, we find that firm - specific information accounts for about 52% of stock price variation on average and the degree of stock price informativeness increases significantly year by year in the sample period. Further empirical studies show that the degree of informativeness is positively correlated with stock turnover. This suggests that stock price informativeness has an important impact on the activity of stock trading. Moreover, this paper also finds that the higher the volatility of stock prices is, the more active the stock trading is. This may indicate that Chinese investors have strong risk preference. However, when stock price is more informative, the activity of stock trading will be less sensitive to risk.
