Ownership Concentration, Dual Listing And Stock Price Synchronicity

From a macro perspective, stock price synchronicity mainly refers to phenomenon that most of the stock prices rise or fall simultaneously in a certain period of time. Then from the microscopic point of view, it means comovements of stock market. China, as a typical emerging market, shows greatly higher stock price synchronicity in a long term, which reduces the effectiveness of the stock market and makes stock market less conducive to realize its price discovery function and resource allocation function. Why dose Chinese stock market show a more significant higher stock price synchronicity? What has an deeply impact in stock price synchronicity? From the existing researches, the above problem remains unsolved and needs more and deeper analysis and research. In order to better explore the meaning and influencing factor of synchronicity, This paper base on the specific characteristics of the market environment and corporate governance in China to explore how the corporate level of ownership concentration, as well as the institutional level dual listing impact on stock price synchronicity. Then we analyze how to reduce synchronization and improve the operating efficiency of Chinese capital market based on our results.This paper investigates the effects of largest-shareholder ownership concentration and dual listing on the amount of firm-specific information incorporated into share prices, as measured by stock price synchronicity, of Chinese A-share listed companies over2003-2012period. The last decade has witnessed the declining synchronicity. The results shows that Chinese stock price synchronicity averages about45%,higher than developed market. The trend of synchronicity varied, from2003to2006showed a more significant decline, but a sudden rise in2007-2008, then from2009to2012continued to fall. But excluding the sudden ups and downs of the stock market during2007-2008financial crisis, stock price synchronicity showed obvious downward trend. Secondly, The results show that synchronicity is a concave function of ownership by the largest shareholder, as well as the disparity between the largest shareholder’s position and those of other substantial investors. Besides that, ownership balance and stock price synchronicity negative correlated. If the largest shareholder is government related, stock price synchronicity will be significantly higher. Finally, our results proved the level of external governance mechanism do influence synchronicity and dual listing is inversely associated with synchronicity. Further, stock price synchronicity is significantly lower for companies issuing A+H shares than for companies issuing A+B shares.