Research On Influencing Factor Of Stock Price Informativeness In Shanghai Stock Market

Stock price informativeness is the amount of the company’s private informationcontained in the stock price. And it’s the ratio of information explained by company’sinformation not market or business information while in the process of stock pricefluctuating. When there is more company’s private information in the stock price, thestock price is much closer to its practical value, more effectively guide the marketresources to achieve the optimal allocation. Stock price informativeness is an importantsymbol of measuring the capital market efficiency.For this reason, many scholars began to study the affecting factors on stock priceinformativeness. Lots of scholars learned the affecting factors from the macro-systemlevel. But there are much less thesis learning it from the micro-level, that is, studiesfrom the perspective of the internal corporate governance mechanisms is relatively less.Within the country stock market, it’s the micro-level factors that determine the level ofstock price informativeness. Therefore, on the basis of the existing papers, establishedin Chinese unique market environment, company characteristics and institutionalbackground, this article study the impacting factors from the internal corporategovernance, in order for providing empirical evidence and theoretical support forChina’s capital market system reforming in the transition economies.With a sample of China Shanghai A-share listed companies, used the asynchronousstock price index1-R~2proposed by Roll as the inspect index, this paper researches theimpacting factors on the stock price informativeness from ratio of independent director,proportion of state-owned shares, the annual number of board meetings and crosslisting.The article receives the following conclusions:Firstly, the average proportion of information explained by company’s fundamentalinformation in Shanghai A-share listed companies is about32.66%. Compared with themature stock market, the index of stock price informativeness of Chinese listedcompanies is still relatively low, and stock price co-movement effect is still verysignificant. See from the changing trend of stock price informativeness, informativenessis increasing year by year except2008, the co-movement of whole stock market isdwindling.Secondly, the higher proportion of stated-owned shares in the company, the lower its level of stock price informativeness, the stronger the stock price’s co-movement.That is the ratio of state-owned shares has a significant negative impact on stock priceinformativeness. Therefore, the improvement of the ownership structure will helpimprove the stock price informativeness.Thirdly, the ratio of independent directors has a significant effect on stock priceinformativeness. The improvement of the ratio of independent directors can helpimprove the amount of company’s unique information in the stock price. The higherratio of independent director, the higher level of stock price informativeness.Fourthly, the cross-listing company’s stock price has a lower synchronization withthe market. Issued B shares or H shares has a positive impact on stock priceinformativeness, but the impact strength is not very strong.