【摘要】：股價(jià)的信息含量是影響資本市場(chǎng)資源配置效率的關(guān)鍵因素。股價(jià)同步性是衡量股價(jià)信息含量的主要指標(biāo),表明了在某一時(shí)間段內(nèi)公司股價(jià)同時(shí)上漲或下跌的現(xiàn)象。與發(fā)達(dá)國家相比,我國資本市場(chǎng)中股價(jià)的“同漲共跌”現(xiàn)象比較嚴(yán)重,股價(jià)信息含量位居世界倒數(shù)第一,導(dǎo)致公司股價(jià)中包含了大量的噪音,降低了股價(jià)中公司層面信息的含量,嚴(yán)重影響資本市場(chǎng)引導(dǎo)資源配置的有效性,且在不同程度上損害了中小投資者的利益。機(jī)構(gòu)投資者制度應(yīng)運(yùn)而生,作為市場(chǎng)參與者,機(jī)構(gòu)投資者擁有一定的專業(yè)技能和資金優(yōu)勢(shì),其對(duì)股價(jià)同步性的影響如何?在提高上市公司信息質(zhì)量與保護(hù)投資者合法權(quán)益方面,媒體作為外部治理機(jī)制越來越發(fā)揮著不容忽視的作用,媒體的關(guān)注能否真正改善資本市場(chǎng)的信息環(huán)境?媒體對(duì)股價(jià)同步性影響如何?媒體對(duì)機(jī)構(gòu)投資者與股價(jià)同步性之間的關(guān)系發(fā)揮著怎樣的調(diào)節(jié)作用?本文將針對(duì)以上問題展開研究。本文結(jié)合規(guī)范與實(shí)證研究?jī)煞N方法,首先對(duì)國內(nèi)外關(guān)于媒體關(guān)注、機(jī)構(gòu)投資者、股價(jià)同步性相關(guān)的文獻(xiàn)進(jìn)行了回顧,在此基礎(chǔ)上,基于信息經(jīng)濟(jì)學(xué)理論、行為金融理論、信息不對(duì)稱理論分析了機(jī)構(gòu)投資者對(duì)股價(jià)同步性的影響機(jī)理并提出研究假設(shè),實(shí)證檢驗(yàn)了機(jī)構(gòu)投資者對(duì)股價(jià)同步性的影響,基于聲譽(yù)理論、信息不對(duì)稱理論分析了媒體關(guān)注對(duì)股價(jià)同步性的影響機(jī)理并提出研究假設(shè),實(shí)證檢驗(yàn)了媒體關(guān)注對(duì)股價(jià)同步性的影響。研究結(jié)果:機(jī)構(gòu)投資者持股比例的增加和媒體關(guān)注度的提高均能夠顯著降低股價(jià)同步性;相對(duì)于灰色機(jī)構(gòu)投資者,獨(dú)立機(jī)構(gòu)投資者對(duì)股價(jià)同步性的降低作用更顯著;加入媒體關(guān)注變量后,機(jī)構(gòu)投資者與股價(jià)同步性的關(guān)系顯著為正,表明機(jī)構(gòu)投資者與媒體關(guān)注對(duì)股價(jià)同步性的作用表現(xiàn)為替代關(guān)系,媒體關(guān)注程度的增加會(huì)削弱機(jī)構(gòu)投資者對(duì)股價(jià)同步性的負(fù)向作用。由此得到啟示:在我國資本市場(chǎng)上,股價(jià)同步性負(fù)向地反映股票市場(chǎng)信息效率。一方面,應(yīng)完善證券市場(chǎng)相關(guān)制度,促進(jìn)機(jī)構(gòu)投資者的多元發(fā)展及其自身專業(yè)素質(zhì)的提高;另一方面,應(yīng)完善媒體管理制度,規(guī)范媒體報(bào)道行為,進(jìn)而降低股價(jià)同步性。
[Abstract]:The information content of stock price is the key factor that affects the efficiency of resource allocation in capital market. The synchronization of stock price is the main index to measure the information content of stock price, which indicates that the stock price of a company rises or falls simultaneously in a certain period of time. Compared with the developed countries, the phenomenon of "rising and falling together" in China's capital market is more serious, and the information content of stock price ranks first in the world, which results in a large amount of noise in the stock price of the company. It reduces the content of company level information in stock price, seriously affects the effectiveness of capital market guiding resource allocation, and damages the interests of small and medium-sized investors in varying degrees. Institutional investor system emerges as the times require, as a market participant, institutional investors have certain professional skills and capital advantages, how does it affect the synchronism of stock price? In improving the information quality of listed companies and protecting the legitimate rights and interests of investors, the media, as an external governance mechanism, is playing a more and more important role. Can media concern really improve the information environment of the capital market? How does the media affect the synchronism of stock prices? How does the media regulate the relationship between institutional investors and stock price synchronization? This article will carry on the research to the above question. Combining normative and empirical research methods, this paper first reviews the literature on media concern, institutional investors and stock price synchronism at home and abroad, based on the theory of information economics and behavioral finance. The information asymmetry theory analyzes the mechanism of institutional investors' influence on stock price synchronism and puts forward research hypotheses. It empirically tests the influence of institutional investors on stock price synchronism, which is based on reputation theory. The information asymmetry theory analyzes the influence mechanism of media attention on stock price synchronism and puts forward the research hypothesis, and empirically tests the influence of media attention on stock price synchronicity. The results show that the increase of shareholding ratio and media attention of institutional investors can significantly reduce the synchronicity of stock prices, compared with gray institutional investors, independent institutional investors have a more significant role in reducing the synchronicity of stock prices. After adding media attention variables, the relationship between institutional investors and stock price synchronization is significantly positive, which indicates that institutional investors and media concern play a substitute role in stock price synchronization. The increase of media attention will weaken the negative effect of institutional investors on stock price synchronism. The revelation is that the stock price synchronously reflects the information efficiency of the stock market in China's capital market. On the one hand, we should perfect the relevant system of securities market, promote the diversified development of institutional investors and improve their own professional quality; on the other hand, we should perfect the media management system, standardize the behavior of media reporting, and then reduce the synchronism of stock price.
【學(xué)位授予單位】：中南財(cái)經(jīng)政法大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：G206;F832.51

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