Abstract：Stock return synchronicity is one of the valid indicators to measure information efficiency in capital market Stock return synchronicity is the index to measure the company share, market and industrial index commove situation It reflects the impact degree of systematic volatility besides idiosyncratic volatility on individual share price The paper takes private placement of A share listed enterprise at Shanghai Stock Exchange from 2012 to 2014, 304 companies as sample and gets independent variable of stock price volatility synchronicity by using R2 operation in standard market model; takes SEO discount representing stock price informativeness as dependent variable; meanwhile, based on the characteristic of Chinese security market, the paper cites such two moderating variables as analysts recommendation and state owned to demonstrate the relation between stock price volatility synchronicity and SEO discount The result shows that the significant negative relationship exists between stock price volatility synchronicity and SEO discount, namely proves the hypothesis that Chinese security market conforms to “irrational behavior” Analysts recommendation has positive adjustment function to main effect, state owned has negative adjustment function to main effect and the adjustment functions are all significant.
邢静怡，瞿友凯，吴继兰，王帅杰，徐小林. 股票价格同步性与股价信息含量关系研究——来自中国沪市 A 股上市公司增发折价率的经验证据[J]. 管理研究, 2016, 12(2): 53-.
XingJingyi, Qu Youkai,Wu Jilan,Wang Shuaijie, Xu Xiaolin. An Empirical Research on the Relationship between Stock Return Synchronicity
and Price Informativeness: Evidence from SEO by Listed Firms in China. JOURNAL OF MANAGEMENT RESEARCH, 2016, 12(2): 53-.