Information transmission between large shareholders and stock volatility |
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| Institution: | 1. School of Finance, Nanjing Audit University, Nanjing, Jiangsu 211815, China;2. College of Management and Economics, Tianjin University, Tianjin 300072, China;3. School of Government Audit, Nanjing Audit University, Nanjing, Jiangsu 211815, China;1. Institute of Business and Management, National Yang Ming Chiao Tung University, 118 Chung-Hsiao West Road, Section 1, Taipei, Taiwan;2. Graduate Institute of Finance, National Taiwan University of Science and Technology, 43, Keelung Rd., Section 4, Taipei, Taiwan;3. Center for General Education, Chung Yuan Christian University, 200 Chung Pei Road, Chung Li District, Taoyuan City, Taiwan;4. Science and Technology Policy Research and Information Center, National Applied Research Laboratories, 106 Heping East Road, Section 2, Taipei, Taiwan;5. Power Generation Division, Taiwan Power Company, 242, Roosevelt Road, Section 3, Taipei, Taiwan;1. Department of Business Administration National Taipei University, 151, University Rd, San Shia District, New Taipei City 23741, Taiwan;2. College of Management, Yuan Ze University, Taiwan |
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| Abstract: | Does information transmission between large shareholders exacerbate stock volatility or reduce stock volatility? In this study, based on the common shareholding data in the Chinese stock market from 2007 to 2017, we establish the shareholder’s coshareholding network, and use the weighted network clustering coefficient to measure the information transmission speed. Moreover, we investigate the impact of information transmission speed on stock volatility. The empirical results show that a nonlinear U-shaped relationship exists between information transmission speed and stock volatility. The findings are robust to the inclusion of other determinants of stock volatility identified in the literature. Finally, we verify the existence of private information interaction in the coshareholding network. |
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| Keywords: | Shareholder behavior Information transmission Stock volatility Coshareholding network Clustering coefficient |
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