媒体报道、机构持股与股价波动非同步性

›› 2016, Vol. 28 ›› Issue (12): 30-40.

媒体报道、机构持股与股价波动非同步性

杨洁¹, 詹文杰², 刘睿智¹

1. 武汉纺织大学会计学院, 武汉 430200;
2. 华中科技大学管理学院, 武汉 430074

收稿日期:2015-05-19 出版日期:2016-12-28 发布日期:2017-03-15
通讯作者: 詹文杰(通讯作者),华中科技大学管理学院教授,博士生导师
作者简介:杨洁,武汉纺织大学会计学院副教授,硕士生导师,博士;刘睿智,武汉纺织大学会计学院副教授,硕士生导师。
基金资助:
国家自然科学基金项目（71640020）；教育部人文社科项目（14YJA630074）；湖北省人文社会科学重点研究基地现代信息管理研究中心资助（2013WZ005）。

Media Coverage, Institutional Ownership and Stock Price Non-synchronicity

Yang Jie¹, Zhan Wenjie², Liu Ruizhi¹

1. College of Accounting, Wuhan Textile University, Wuhan 430200;
2. School of Management, Huazhong University of Science and Technology, Wuhan 430074

Received:2015-05-19 Online:2016-12-28 Published:2017-03-15

摘要/Abstract

摘要：

本文在分析媒体报道和机构持股者对股价波动非同步性影响的理论基础上，运用百度搜索引擎和中国上市公司的数据，分析了媒体报道数量与股价波动非同步性之间的关系，以及机构持股比例对这种关系的影响。结果发现：媒体报道数量对股价波动非同步性存在显著“U”型影响，即当媒体报道贫乏时，股价波动非同步性随着报道数量的增加而减少，而当媒体报道丰富时，股价波动非同步性随着报道数量的增加而增加；机构持股比例的增加会减弱上述“U”型关系。本研究表明，新闻媒体在我国股票市场总体上扮演了信息提供者的角色，并提供了不同类型投资者对新闻媒体反应差异的直接证据。

关键词: 媒体报道, 机构持股, 股价波动非同步性

Abstract:

Based on the theories that explain how media coverage and institutional ownership affect stock price fluctuations, this paper examines the relationship between stock price non-synchronicity and media coverage, and the effect of institutional ownership's proportion on this relationship, by using data from Baidu search engine and from Chinese listed companies. The results show that there is a U-shape relationship between the stock price non-synchronicity and the media coverage, i.e. the stock price non-synchronicity decreases with the increment of the number of media coverage when a stock is poorly reported by media, while it increases with the increment of the number of media coverage when it is reported richly. Moreover, the proportion of institutional ownership will reduce the above U-shape relationship. The findings suggest that the media plays a role of information provider in Chinese stock market on the whole, and direct evidence is provided to demonstrate different investors' reactions to media.

Key words: media coverage, institutional ownership, stock price non-synchronicity

杨洁, 詹文杰, 刘睿智. 媒体报道、机构持股与股价波动非同步性[J]. , 2016, 28(12): 30-40.

Yang Jie, Zhan Wenjie, Liu Ruizhi. Media Coverage, Institutional Ownership and Stock Price Non-synchronicity[J]. , 2016, 28(12): 30-40.

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