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直观上,中国证券市场中不同公司股票价格常常齐涨同跌。本文以2002—2004年间沪深两市887家上市公司为样本,对中国证券市场股价联动效应开展实证考察。从统计上看,中国证券市场股价波动中公司特质信息的影响平均占到52%左右,而公司层面与行业层面信息的影响合计占到60%左右。在样本期内,股票价格的信息含量逐年提高,中国证券市场股价联动特征呈明显的减弱趋势。进一步的实证研究表明,经营绩效好的公司一般股价信息含量较高,而且投资者在传播公司信息方面发挥了重要功能,市场交易越活跃的公司股价信息含量越高,价格联动性则越弱。相反,资产规模大、流通股本大的公司股票价格波动与市场价格走势往往越一致,股价联动效应越显著。
Intuitively, the prices of different companies in China’s securities market often go up and down together. This paper takes 887 listed companies in Shanghai and Shenzhen Stock Exchanges from 2002 to 2004 as samples to conduct an empirical study on the stock price linkage effect in China’s securities market. Statistically, the influence of the company’s trait information in the stock price volatility of China’s securities market accounts for about 52% on average, while the influence of company-level and industry-level information accounts for about 60%. During the sample period, the information content of stock prices increased year by year, and the stock price linkage characteristics in China’s securities market showed a marked decrease trend. Further empirical studies show that companies with good business performance generally have higher share price information, and investors play an important role in disseminating company information. The more stock information information the market transaction is more active, the weaker the price linkage. On the contrary, stock prices with large assets and large circulating shares tend to be more consistent with the market price movements, and the more obvious the stock price linkage effect is.