投服中心持股与上市公司股价同步性——基于一项准自然实验

摘要/Abstract

摘要： 中小投资者保护是资本市场高质量发展的内在要求，证监会于2014年设立的中证中小投资者服务中心(简称投服中心)便是为此开展的一项重要制度创新。本文巧妙利用投服中心于2016年2月在沪湘粤三地所发起公益性持股这一准自然实验情境，通过构造双重差分模型考察了其持股行为对资本市场信息效率的影响。研究发现，相较于非试点地区上市公司，投服中心进行公益性持股试点地区上市公司股价同步性更低，提升了资本市场信息效率。机制研究表明，投服中心持股主要通过改善信息环境与促进中小投资者积极主义来影响上市公司股价同步性。异质性分析发现，上述关系在投资者保护程度较低、机构持股比例较高与媒体关注度较高的样本中更显著。本文不仅拓展了投服中心持股与股价同步性领域的研究视角，还为提升我国资本市场信息效率提供了基于中小投资者保护层面的可行之策。

关键词: 投服中心, 股价同步性, 中小投资者保护, 资本市场信息效率

Abstract: Protecting small and medium investors properly has been viewed as the internal requirement for high-quality development of capital market. The China Securities Investor Service Center (CSISC) established by China Securities Regulatory Commission in 2014 is an important institutional innovation for this purpose. In February 2016, the CSISC has been the public welfare shareholder of listed firms located in Shanghai, Hunan and Guangdong firstly. We utilize the above quasi-exogenous event to construct a difference-in-difference model and investigate the impact of CSISC shareholding on the capital market information efficiency. We find that compared with listed companies located in non-pilot provinces, the stock price synchronization of listed companies located in the pilot areas is significantly lower, which represents the improvement of capital market information efficiency. The mechanism tests show that CSISC shareholding mainly affects the stock price synchronization through improving the information environment and promoting the activism of small and medium investors. Heterogeneity analysis finds that the above relationship is more pronounced in samples with lower protection degree of investors, higher institutional shareholdings and higher media attention. This paper not only expands the research perspectives of the CSISC shareholding and stock price synchronization respectively, but also provides plausible solution about how to improve China capital market information efficiency through the protection of small and medium investors.

Key words: investor service center, stock price synchronicity, protection of small and medium investors, capital market information efficiency

孙泽宇, 孙凡. 投服中心持股与上市公司股价同步性——基于一项准自然实验[J]. 管理评论, 2024, 36(2): 194-209.

Sun Zeyu, Sun Fan. Investor Service Center Shareholding and Stock Price Synchronicity—Based on a Quasi-natural Experiment[J]. Management Review, 2024, 36(2): 194-209.

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