Research On Stock Market Information Spillover Effect:Based On Analyst Forecast Revision

Capital market information spillover phenomenon is one of the special circumstances of capital market information transmission.Under the proliferation of various stakeholders in the capital market,investors may trigger stock price linkage,which will lead to the same rise and fall of stocks,triggering liquidity risk,distorting the resource allocation function of the stock market and impeding the healthy development of the capital market.As the main information intermediary in the capital market,securities analysts play an important role in interpreting and utilizing the accounting information disclosed by enterprises.Then,will the information spillover phenomenon in the capital market caused by securities analysts also have a linkage effect on stock prices? Existing research involves less information spillover effects on capital markets caused by analyst behavior.In order to reveal the diffusion and impacted mechanism of information spillover effects caused by analyst behavior in essence,a series of processes in which capital market information flows from dissemination to spillover must be studied in-depth from a specific analyst behavior.Firstly,this thesis combs and summarizes the domestic and international related literatures of information spillover effects and analysts' predictions.Secondly,on the basis of information asymmetry theory,signal theory,noise trading theory and behavioral finance theory,the thesis explores the conduction diffusion process of the analyst's forecasting information spillover effect and its influencing factors,and reveals the mechanism of the analyst's prediction of the information spillover effect.Thirdly,based on the information spillover effect transmission mechanism modified by analysts,this thesis proposes research hypotheses.Finally,on the basis of normative research,this thesis uses descriptive statistics,unbalanced panel data and fixed-effects models to diversify the data of 222,077 sample observations of 3,295 companies in Chinese 2007-2017 Shanghai-Shenzhen A-share listed companies.regression analysis.The empirical results show that analysts predict the existence of information spillover effects,and there are both contagion effects and competitive effects;further exploration of the characteristics of information spillover effect found that information spillover effects are directional,and firms with lower market share or higher institutional shareholdings are more affected by information spillover effect.The contributions of this thesis are: Firstly,it verifies the information spillover effect of the capital market in the Chinese context.This thesis clarifies the existence of information spillover effects in the Chinese context.Starting from the analyst's prediction of the amendment,the investor's channel is used to deeply explore the information transmission mechanism after information spillover and its impact on stock price fluctuations.Secondly,using the Chinese capital market data to explore the direction and speed of information spillover effect.Combined with the information dissemination model and behavioral finance theory,it is clear that the information spillover effect has directionality,and there are differences in the speed of propagation under different scenarios.The results of this thesis expand the researches on information spillover effect.Thirdly,the introduction of public and private information,further clarifies the influencing factors of information spillover effect,expand relevant researches,and controls the stock price linkage caused by information spillover effect in capital markets.Providing new theoretical and empirical references has an important practical significance for maintaining the stable development of the capital market.