【作者】 马静；

【导师】 刘黄金；

【作者基本信息】 南京理工大学 ， 金融学， 2018， 硕士

【摘要】 股价同步性是指单个公司股票价格的变动与市场平均变动之间的关联性,即在市场上表现为“同涨同跌”现象。在我国证券市场股价“同涨同跌”现象很严重。而过高的股价同步性将会影响公司治理的有效性,损害资本配置效率,进而影响经济增长。因此,研究资本市场股价同步性的影响因素并设法降低股价同步性具有重要的现实意义。通过对大量文献和理论的分析,得出媒体关注度主要通过两种机制影响股价同步性,一种是信息层面,一种是市场过度反应。本文主要从过度反应的视角研究媒体关注度对股价同步性的影响,为媒体关注度影响股价同步性的机制提供了新的解释,对于股价同步性的形成机理提供新的视角。本文利用2005.1.1-2014.12.31十年间A股上市公司样本对媒体关注度与股价同步性的关系做LSDV面板回归,在控制了行业和年份效应下,得出媒体关注度在5%水平下显著与股价同步性呈负相关。进一步地,我们将媒体关注区分为正面媒体关注和负面媒体关注以及中性媒体关注并考察这三种不同性质媒体关注对股价同步性的影响。实证结果表明,相比较中性媒体关注,正负媒体关注对股价同步性的影响更加显著。接下来,本文采用反转效应来衡量过度反应,以双排序分组法作为研究方法,计算出在形成期12个月,持有期依次为6个月、12个月、24个月的反转效应,用来考察媒体关注度与过度反应的关系和过度反应与股价同步性的关系。从结果中得出,首先,在我国,形成期为12个月,持有期依次为6个月、12个月、24个月的反转效应较强,并且都显著反转;其次,媒体关注度与过度反应在持有期为6个月、12个月时具有正相关关系;最后,过度反应与股价同步性在不同持有期都呈现出较强的负相关。即在持有期6个月和12个月时,媒体关注度可以通过市场过度反应降低股价同步性。由此可知,本文证实了媒体关注度通过过度反应的视角降低股价同步性的假设。但是,本文的结论仅限媒体关注度可以通过过度反应降低股价同步性,并没有否认公司信息层面的机制影响途径,这也是本文的缺陷之处,即并不能得出何种机制为主要影响途径。更多还原

【Abstract】 Stock price synchronicity refers to the correlation between the change of the stock price of a single company and the average change of the market,that is,the phenomenon of "same rising and falling down" in the market.In China’s securities market,the phenomenon of "rising and falling" is very serious.Too high stock price synchronization will affect the effectiveness of corporate governance,damage the efficiency of capital allocation,and then affect economic growth.Therefore,it is of great practical significance to study the factors that affect the synchronization of stock prices and try to reduce the share price synchronicity of the capital market.Through a large number of literature and theoretical analysis,it is concluded that the media attention mainly affects the stock price synchronicity through two mechanisms,one is the information level,the other is the market overreaction.This paper mainly studies the influence of media attention on stock price synchronicity from the perspective of overreaction,which provides a new explanation for the mechanism of media reporting affecting stock price synchronicity,and provides a new perspective for the formation mechanism of stock price synchronicityIn this paper,the LSDV panel regression of the stock price synchronicity is made by using sample of A listed companies during 2005.1.1-2014.12.31.Under the control of industry and year effect,it is concluded that the media attention is negatively correlated with stock price synchronicity at the 5%level.Further,we divide media concerns into positive media attention,negative media attention and neutral media attention,and investigate the influence of media attention on stock price synchronicity through these three different properties.The empirical results show that compared with neutral media,positive and negative media attention has more significant impact on stock price synchronization.Next,this paper uses the reversal effect to measure the reversal effect,based on double ordered grouping method as calculated in the formation period of 12 months,the holding period followed by the reversal effect of 6 months,12 months,24 months,was used to study the relationship of media attention and overreaction and overreaction and stock price synchronicity.From the results,first of all,in our country,the formation period of 12 months,the holding period followed by the reversal effect of 6 months,12 months,24 months of strong and significant reversal;secondly,the attention of the media and the overreaction has a positive correlation in the holding period is 6 months,at 12 months;finally,the overreaction and stock price synchronicity in different holding period show a stong negative correlation.In the 6 months and 12 months of the holding period,media attention can reduce stock price synchronism through overreaction in the market.Thus,this paper confirms the hypothesis that media attention reduces stock price synchronicity through overreaction.However,the conclusion of this paper is that only the media attention can reduce the stock price synchronicity through overreaction,and there is no denying the influence mechanism of the company’s information level,which is also the inadequacy of this paper.更多还原