摘要
本文利用2010年深圳证券交易所"互动易"网络交流平台的推出作为外生冲击,用上交所上市公司作为对照组,借助双重差分的方法考察了基于互联网的管理层接触方式对股票市场信息效率的影响。通过研究发现,"互动易"平台设立后,深交所上市公司股价非同步性的提升幅度以及分析师盈余预测绝对偏差的降低幅度都比上交所大。而平台设立前后,分析师对两个市场上市公司盈余预测相对偏差的降低幅度并没有显著差异。以上实证结果表明,基于互联网的管理层接触为投资者增加了一个新的直接从上市公司管理层获取公司经营信息的渠道,进而改善了投资者获取信息的准确性,提升了市场信息效率水平。
Using the operation of＂Hudongyi＂online communication system of Shenzhen Stock Exchange as an exogenous impact in the year of 2010,this paper investigates whether investors＇ online communication with listed firms improves the information efficiency of the stock market. We find that both the stock return synchronicity and the analysts＇ forecast error have decreased significantly for the firms listed in Shenzhen stock market since the operation of＂Hudongyi＂system. In addition,we find that the synchronicity and the analysts＇ forecast error decrease much more for firms listed in Shenzhen stock market than those in Shanghai stock market after the year of 2010. These findings show that the online communication between investors and listed firms improves the information accuracy and hence enhances the information efficiency of the stock market.
出处
《金融研究》
CSSCI
北大核心
2016年第3期174-188,共15页
Journal of Financial Research
基金
中国人民大学科学研究基金(中央高校基本科研业务费专项资金)项目成果(项目批准号:10XNJ060)
关键词
管理层接触
市场信息效率
“互动易”平台
Management Access
Information Efficiency
＂Hudongyi＂Online Communication System
