地方官员更替、企业辖区知名度与股价同步性

廖义刚+林婷+邓贤琨

摘要：以2009-2013年我国A股上市公司为研究样本，实证分析了地方官员更替、辖区企业知名度与股价同步性的关系。研究结果表明：地市级政府官员变更所带来的政治不确定性会显著降低辖区企业的股价同步性，并且相对于新任官员来源于本地而言，新任官员来源于异地更能够显著地降低辖区内企业的股价同步性。进一步研究还发现，当地市级政府官员发生变更时，相对于辖区知名度较高的企业而言，辖区知名度较低的企业会披露更多的企业私有信息以应对政治不确定性风险，从而其股价同步性有了更大程度的降低。研究的结论证实了政治不确定风险的增加能够显著降低辖区内企业的股价同步性，客观上有助于提高股价的信息含量。

关键词：地市级官员变更；政治不确定性；股价同步性；企业辖区知名度

Officials Turnover， Regional Reputation of Enterprises and Stock Price Synchronicity

liao yi gang，linting，DENG XIAN KUN

School of Accounting， Jiangxi University of Finance and Economics

Abstract： Based on samples of A-share listed firms in china from 2009 to 2013， this paper investigates the relationship between officials turnover， regional reputation of enterprises and stock price synchronicity. The results show that the political risk and policy uncertainty brought by municipal officials change can significantly reduce the stock price synchronicity of firms in their jurisdiction. Moreover， compare with officials local change and not change， officialsnon-local change will reduce the stock price synchronicity of firms in their jurisdiction more significantly. Furthermore， we include regional reputation of enterprises in the analytical framework and find that when municipal officials change， with respect to the enterprises with higher regional reputation， the companies with lower regional reputation will disclose more private information to deal with political uncertainty risk， thereby reduce its stock price synchronicity.This conclusion can further confirm that the increase of political uncertainty risk will significantly reduce the stock price synchronicity of firms within their respective jurisdictions， improve the information content of stock price.

Key words： municipal officials change；political uncertainty； stock price synchronicity； regional reputation of enterprises

地方官员更替、辖区企业知名度与股价同步性

一、引言

资本市场存在一种股价“同涨同跌”现象，即单个公司股票价格的变动与市场平均变动之间存在着关联性。尤其对处于新兴加转轨时期的中国资本市场而言，这种股价同步性现象更是普遍存在。已有研究发现，中国股价同步性程度分别位居40多个国家中的第二和第一位（Morck et al.，2000；Jin & Myers，2006）。如此居高不下的股价同步性反映了我国资本市场运行效率的低下，这会对企业经营活动和投融资活动产生一定的负面影响（Gul et al.，2010）。因此，考察我国资本市场股价高同步性的原因，探寻降低股价同步性、提高市场运行效率的有效途径，已成为学术界关注的重要研究课题之一。……