Abstract: The quantity of information is an important factor influencing stock price volatility. By using the monthly panel data of Chinese A-share firms between 2014 and 2016, this paper empirically tests how the quantity of information affects stock price volatility. The results show that the quantity of information is negatively associated with stock price volatility, indicating that information reduces volatility. However, it is shown that different types of information have different impacts on volatility of different companies. So far as such two types of information as media reports and corporate announcements are concerned, media reports reduce stock price volatility for both large- and small-size firms whereas corporate announcements enhance volatility for large-size firms and reduce volatility for small-size firms. Furthermore, institutional investors increase volatility, and the existence of institutional investors adjusts the relationship between information and volatility, namely institutional investors hinder information's role of reducing volatility. The results highlight that the mechanism of information's impacts on stock price volatility is not homogeneous, but rather dependent on information types and company characteristics. The results also lend supports to the view that institutional investors increase volatility and fail to stabilize the markets.

Key words: information quantity, stock price volatility, institutional investors