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Institutional investors' effects on Stock Price Synchronicities: Evidence of Shanghai Stock Exchange

Liu, Zhouqi LU (2015) NEKN02 20151
Department of Economics
Abstract (Swedish)
The tendency of stock prices always attracts investors’ attention, which is related to their earnings. So it is increasingly concerned that what information will affect the stock markets and how the stock market reacts to investors’ investment strategy. So this paper investigates the phenomenon of stock price synchronicity in Shanghai Stock Exchange, and what reflects stock price synchronicity in terms of firm-specific information and institutional investors’ characteristics. We use the proxy of stock price synchronicity: R-square statistic is decreasing within the time period, as which reflects the maturity procedure of the China’s equity market. Based on stock market information and institutional specific information from 2007 to 2012,... (More)
The tendency of stock prices always attracts investors’ attention, which is related to their earnings. So it is increasingly concerned that what information will affect the stock markets and how the stock market reacts to investors’ investment strategy. So this paper investigates the phenomenon of stock price synchronicity in Shanghai Stock Exchange, and what reflects stock price synchronicity in terms of firm-specific information and institutional investors’ characteristics. We use the proxy of stock price synchronicity: R-square statistic is decreasing within the time period, as which reflects the maturity procedure of the China’s equity market. Based on stock market information and institutional specific information from 2007 to 2012, we find a significantly negative relation between stock price synchronicity and institutional investors’ shareholdings, and domestic institutional investors have larger effects than foreign institutional investors because of the easy access to firm-specific information. Moreover, the inner associated relation between firm-specific information and institutional investors’ characteristics is explored. (Less)
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author
Liu, Zhouqi LU
supervisor
organization
course
NEKN02 20151
year
type
H1 - Master's Degree (One Year)
subject
keywords
Stock price synchronicity, Domestic Institutional Investors, Qualified foreign institutional investors, firm-specific information, Shanghai Stock Exchange
language
English
id
7370121
date added to LUP
2015-06-29 13:23:30
date last changed
2016-06-19 04:08:08
@misc{7370121,
  abstract     = {The tendency of stock prices always attracts investors’ attention, which is related to their earnings. So it is increasingly concerned that what information will affect the stock markets and how the stock market reacts to investors’ investment strategy. So this paper investigates the phenomenon of stock price synchronicity in Shanghai Stock Exchange, and what reflects stock price synchronicity in terms of firm-specific information and institutional investors’ characteristics. We use the proxy of stock price synchronicity: R-square statistic is decreasing within the time period, as which reflects the maturity procedure of the China’s equity market. Based on stock market information and institutional specific information from 2007 to 2012, we find a significantly negative relation between stock price synchronicity and institutional investors’ shareholdings, and domestic institutional investors have larger effects than foreign institutional investors because of the easy access to firm-specific information. Moreover, the inner associated relation between firm-specific information and institutional investors’ characteristics is explored.},
  author       = {Liu, Zhouqi},
  keyword      = {Stock price synchronicity,Domestic Institutional Investors,Qualified foreign institutional investors,firm-specific information,Shanghai Stock Exchange},
  language     = {eng},
  note         = {Student Paper},
  title        = {Institutional investors' effects on Stock Price Synchronicities: Evidence of Shanghai Stock Exchange},
  year         = {2015},
}