| In the early days of the western securities market,market participants were mainly individual investors.Since the 1970 s,the securities market in Western countries has shown a trend of institutionalization.According to relevant statistics,the market share of institutional investors in the European and American securities markets has reached 70% in the early 1990 s,becoming the backbone of the securities market.At the end of 2000,the number of institutional investors in China's securities market was small,and the number of institutional investors accounted was less than 0.5%.In order to change the imbalance of the investor structure and maintain the stability of the financial market,China is taking measures to gradually cultivate and develop institutional investors.According to the statistics of China Securities Depository and Clearing Co.,Ltd.,in recent years,the proportion of the market capitalization of listed companies in China has gradually increased.This proportion has increased from around 30% in 2010 to around 40% in 2017.With the rapid development of institutional investors,academic research on institutional investors has gradually enriched.The current literature focuses on the types and roles of institutional investors,and there is little literature on the behavior of institutional investors.Moreover,the existing research mainly focuses on the shareholding behavior of institutional investors or the difference between the “herd behavior” of the institutional investors and the “herd behavior” of the retail investors.Further enriching the behavior of institutional investors from a new perspective has stimulated the research interest of this paper.The capital market is an information-led market.The efficiency of capital information is a hot issue in historical research.Good capital market efficiency has an important impact on the rational pricing of stocks and the allocation of market resources.As an important player in the market,institutional investor is increasingly received market attention.It is the starting point of this paper to explore whether institutional investors' institution have significantly improved the efficiency of capital market information.Drawing on the relevant research of the predecessors,this paper uses the number of institutional investors participating in the company's investigation of the listed companies of the Shenzhen Stock Exchange to measure the institutional investors' investigation.This paper uses stock price synchronization as an indicator to measure the efficiency of capital market information,and studies institutional investigation behavior on stock price synchronicity.The empirical results show that institutional investors' investigation reduce stock price synchronicity and improve the efficiency of capital market information.Next,this paper takes the results of the integrity evaluation of the official website of the Shenzhen Stock Exchange as the representative of the company's information disclosure quality,and studies the effect of the institutional investor's investigation activities on the stock price synchronization among the companies with different information disclosure quality.The empirical results show that in companies with poor information disclosure,institutional investors' investigation activities can significantly reduce stock price synchronicity.For companies with better information disclosure quality,institutional investors obtain more public information of higher quantity and quality,and limited private information obtained by institutional investors from investigation activities.Therefore,in companies with better information disclosure quality,institutional investors' investigation activities have a weaker effect on stock price synchronization.Further,this paper examines the impact of different types of institutional investors' investigation activities on market information efficiency from the perspective of heterogeneity of institutional investors.It finds that the negative impact of institutional investors' investigation on stock price synchronicity is significant in institutional investors such as securities,funds,insurance companies,insurance asset management companies,and private equity firms.However,the negative trend among other institutional investors such as banks and trusts is not significant.Moreover,this paper also attempts to classify enterprises into state-owned enterprises and non-state-owned enterprises according to their nature.It finds that compared with non-state-owned enterprises,in the state-owned enterprises,the investigation activities of institutional investors can significantly reduce the stock price synchronization.Compared with the existing research results,the innovation of this paper reflected in three aspects.First,research perspective innovation.The existing literature mainly focuses on the role of institutional investors,and there is less literature on the institutional investors' investigation activities of institutional investors.From the perspective of institutional investors' investigation,this paper studies the impact of institutional investors' investigation activities on capital market efficiency,and the perspective has certain innovation.Second,the data is more abundant.Compared with the existing literature,the institutional investors in this paper survey data information for a longer time span and more abundant.The time span of existing institutional investors to research relevant data is basically between 1 and 2 years,the data time is short,lack of continuity and stability.Since 2012,the Shenzhen Stock Exchange has forced the listed companies to disclose the information about the investigation.This paper selects the survey data of institutional investors in the Wind database from 2013.Compared with existing research,the data in this paper is more abundant.Third,the views of this paper enrich the research on the influence of institutional investors on the efficiency of capital market information.Through empirical research,this paper finds that institutional investors' investigation activities have a significant effect on the efficiency of capital market information.And by analyzing the effect of the investigation activities of different information disclosure quality on the stock price synchronization,the effect of the research activities of different institutional investors on the stock price synchronization,and the effect of the research activities on the stock price synchronization in different enterprise nature.The result enriches the research on the influence of institutional investor behavior on the efficiency of capital market information.Due to personal time and ability limitations,this paper also has some shortcomings.First,the selection of indicators may not be accurate enough.Measuring the strength of institutional investors' investigation by simply counting the number of institutional investors involved in the survey may not fully characterize the investigation activities of institutional investors.Second,there is still a lack of model explanatory power.The fluctuation of stock prices is complicated.In addition to the factors that can be observed,there are many unobservable influencing factors that may also affect the stock price,which in turn affects stock price synchronicity.The advantage of the model is that it can simplify complex problems,but it also affects the ability of the model to interpret.I have not considered all the factors due to time and ability limitations.I hope to have the opportunity to do further research on the above deficiencies. |
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