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The Impact of Informed Market Participants on Stock Price Synchronicity

Author: XuXiaoZuo
Tutor: LingChunHua
School: Zhejiang University
Course: Accounting
Keywords: Stock price synchronicity Informed market participants Institutional investors Securities analysts Insider
CLC: F224
Type: Master's thesis
Year: 2010
Downloads: 223
Quote: 1
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Abstract


Stock price volatility synchronization (Synchronicity) that is on the market \The level of share prices can be used to evaluate the information content of the stock price. If the stock performance of the synchronization of the lower stock prices fully reflect private information, high information content. Otherwise less means that the qualities of the company reflected in the stock price in this case not only reduce the differences in personality between the company, but also weaken the stock price on the value of the company's screening, screening and feedback function, weakening the securities market through the price to the efficiency of resource allocation. Informed market participants (informed market participants), refers to securities analysts, institutional investors, company insiders control of the market participants. This type of participant is considered to play a role in the transmission of information, have the most direct impact on the stock price in the market. At present, the domestic stock price synchronicity relatively small, this paper is to establish informed market participants in the stock market has played the role of information transfer on the basis of this theory as an entry point to the Chinese listed companies to Roll stock price synchronicity index (R ~ 2) In order to test indicators, informed market participants to study three from securities analysts and institutional investors, internal traders on the stock price synchronicity, and to explore the informed market participants and stock price information content of the correlation. Selected 2004-2008 All listed A-share as samples, through multiple empirical model test securities analysts, institutional investors, insider trading three informed market participants with price synchronization relationship. Through empirical research found: First of all, the whole point of view, from 1995 to 2008, except for individual years, stock price synchronicity is basically in a downward trend; Second, the trading behavior of institutional investors on stock price synchronicity significant effect on the trading behavior of institutional investors will help reduce the price synchronization; once again, when the degree of analysts tracking the stock price synchronicity between the control variables introduced institutional investors or endogenous control of simultaneous equations regression negative correlation; Finally, insider trading behavior of stock price synchronicity presents negative impact, however, this interpretation of the variable in the addition of institutional investors holdings change variables regression coefficients become significant. In the last article, this paper based on the results of empirical research on China's securities market a number of recommendations.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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