Research On The Influencing Factors Of Stock Price Synchronicity In Chinese Stock Market

Stock price synchronicity is usually referred to the “rising and falling “phenomenon by our country, this phenomenon means that the company’s stock price changing contains little firm idiosyncratic information, stock price fluctuations are more caused by the public information from market level risk. When stock price synchronicity is serious, less firm specific information is included in the asset pricing to investors. Reference value of the company information is low for investors. So this phenomenon appears greatly weakens the stock price of company value screening, screening function, lead to stock price signal transfer mechanism failure, thereby reducing the stock market through stock price to the efficiency of the allocation of resources. MYY(2000) was first put forward the synchronization phenomenon of stock price fluctuation, and statistics found that, the stock price synchronicity of the emerging capital markets was more serious than many developed mature capital market, and through their research also found that China’s stock price synchronicity ranks second in the world, only after Poland.This paper analyzes the influence of the three aspects of the system construction, the information environment of listing Corporation and the investor’s behavior on the synchronization of stock price fluctuation in China’s stock market. We choose 876 companies from Shenzhen and Shanghai Stock Exchange to be the object of our research. And we use the capital asset pricing model decomposition method(R2) as a measure of the synchronization of stock price volatility. We select a market index(index), earnings aggressiveness(EA), institutional investors shareholding ratio(ratio) were used as the system construction, the listed company information and investors’ behavior of proxy variables, using panel data regression method to empirically study the relationship between the three variables and the synchronicity of stock price.This paper consists of six parts:The first chapter is the introduction part. This paper describes the research background and significance, and reviews the relevant research results of domestic and foreign.In the second chapter, the definition of the synchronization of stock volatility is defined, and the related theories of behavioral finance theory are explained.The third chapter is the theoretical analysis of stock price fluctuation in stock market from three aspects of institutional environment, corporate information environment and investor behavior respectively.The fourth chapter introduced the price synchronicity measure, feature and the current situation on China’s market stock.The fifth chapter is the empirical part. First, we put forward the research hypothesis, second we choose the sample, collect data to build the model, and finally through regression analysis and other relevant empirical results.In the sixth chapter, according to the empirical results, the possible reasons of the empirical results and the relevant conclusions are summarized. Finally we put forward reasonable suggestions.Through the empirical study, we have drawn three important results.(1) the system construction has a significant effect on share price volatility synchronicity, as the system construction of gradually perfect, the share price volatility synchronicity tend to be weakened;(2)For share price synchronicity, the information transparency of listed companies will produce effect. With the increased transparency of information of listed companies, the synchronicity of share price volatility tends to decline;(3) the investment behavior will also affect share price volatility synchronicity, the higher the institutional investors participate, the lower the share price volatility of synchronicity is.According to the conclusions, we put forward some suggestions:(1) further improve the legal system of securities market;(2) optimize the governance structure of listed companies;(3) strengthen the management of institutional investors themselves;(4) to strengthen the small and medium investors’ education;(5) promote the diversification of institutional investors.