政治关系、制度环境与股票价格的信息含量——来自我国民营上市公司股价同步性的经验证据

以2004～2007年间所有的民营A股上市公司为样本,本文对政治关系与股票价格的信息含量(以公司的股价同步性衡量)之间的关系进行了实证检验。检验结果发现,与没有政治关系的公司相比,有政治关系的公司的股票价格同步性显著较高。并且,政治关系与股票价格同步性之间的正相关关系只在市场化程度较低、政府干预较多以及法制水平较差的地区存在。进一步区分政治关系的类型发现,代表委员类政治关系显著提高了公司的股价同步性,而政府官员类政治关系对股价同步性的影响则不显著。

Political Connections,Institutional environment and Information Content of the Stock Price:Evidence from the Synchronicity of Stock Price of Private Listed Firms of China

Using A-share sample of all private listed firms during 2004-2007,this paper empirically tests the relationship between the information content of the stock price(measured as co-movement of the stock price or synchronous stock price movements) and political connections.The results indicate that firms with political connections have higher synchronicity of stock price than those without such connections.Moreover,the positive relation between political connections and synchronicity only exists in firms locate...