Environmental Information Disclosure,institutional Investors And Stock Price Synchronicity

In the stock market,information,which is closely related to market effectiveness,is significant for guiding the market to allocate resources.Studies about how stock price reflects information and factors affecting its fluctuation have long been main focuses of scholars at home and abroad.Existing researches generally believe that an improvement of information disclosure system and a step forward of the quality of investors will enhance the efficiency of information by increasing the amount of information contained in stock price.Recently,under the guidance of the “carbon peaking and carbon neutrality” target,environmental information disclosure(EID)has become an increasingly important aspect of corporate social responsibility,and also attracted more and more attention from both companies and investors.EID has already promoted the way environmental information reflects to stock price,accelerated the process of the upgrading and adjustment of China’s industrial structure,as well as helped us build a sound market operation mechanism.On the other hand,with the deepening of China’s capital market opening and the continuous improvement of China’s multi-level capital market,the proportion of institutional investors in China’s financial market is rapidly increasing.By using their excellent information mining and resource coordination capabilities,institutional investors can identify information more accurately,thereby ultimately enhance the effective operation of China’s capital market.This study takes the perspective of stock price synchronicity,selects heavy-polluting companies that are sensitive to environmental information disclosure as samples,and studies the impact of environmental information disclosure measured by the “content rating method” on stock price synchronicity in the noisy China’s stock market.The article also explores the role of institutional investors transmitting environmental information into stock prices.The study conducts empirical analysis using a fixed-effect regression model on heavy-polluting companies listed on the Shanghai and Shenzhen stock exchanges from 2011 to 2021.Based on the theoretical analysis and empirical results,the conclusions are as follows:(1)Due to the widespread noise in China’s stock market,the synchronicity of stock prices of heavy-polluting companies is positively correlated with the level of environmental information disclosure.(2)The positive correlation between stock price synchronicity of heavy-polluting companies and environmental information disclosure weakens as institutional investors’ attention increases,indicating that the participation of institutional investors can make environmental information more efficiently transmitted into stock prices.(3)The proportion of institutional investors’ holdings and the strength of their trading activity are positively correlated with whether heavy-polluting companies disclose environmental information.The policy recommendations from the above conclusions and the reality of China’s financial market are as follows:(1)Improve the environmental information disclosure system and strengthen the supervision of it.(2)Assist heavy-polluting companies establish a sense of green responsibility and continuously improve their enthusiasm for environmental information disclosure.(3)Optimize the investor structure and attach importance to the role of institutional investors in improving market efficiency.