Research On The Measurement And The Determinants Of Bank Stock Synchronicity

Stock synchronism, also known as stock price synchronicity, refers to the phenomenon of the stock market’s rising and falling together. Since Roll (1988) put forward the goodness of fit (R2) of the regression of capital asset pricing model to reflect the content of the companies information in the stock price for the first time, domestic and foreign scholars have widely studied the synchronization of stock and its determinants, and found out that the stock price synchronicity reflects the level of the stock price’s efficiency of the resource allocation, which also reflects the performance of market efficiency; the lower the stock price synchronicity is, the more character information is contained in the stock price, the more achievable the allocation of resources will be. But there is few of research about the synchronization of bank stock price in foreign countries, there is few of relevant research literatures in China either.It has aroused the scholars’research on the information content of bank shares since the US financial crisis broke out in 2008 which caused by subprime crisis, and found out that the bank’s share price did not reflect the bank’s information thoroughly, consequently affect the banks’ efficiency in resource allocation and the realization of the banking system’s function. Due to the bank plays an important role in the allocation of resources on economic development and it is the tool to regulate and control national macroeconomic, furthermore, the stability of a country’s economy is related to the stability of the bank and bank is very different from other industries on the funding source which leads to the bank have a very high risk, so the study of bank stock price synchronicity is very meaningful to help to understand the present situation of China’s banking stock price synchronicity and the factors that affect bank stock price synchronicity, and enrich the research on bank stock price synchronicity.Firstly, this paper adopts frequency analysis and capital asset pricing model analysis to measure and compare stock price synchronicity of listed banks in China, then does a research on the determinants of bank stock price synchronicity from both macro and micro aspects by using the panel data model, and analyses the regression results. The results are as follows:In the macro factors, this paper studies the determinants of bank stock price synchronicity from the four parts to the expenditure of GDP, including consumption, investment, government spending and net exports, and found that the four parts all have positive effect to bank stock price synchronicity, but there are only consumption and investment statistically significant.In the micro aspect, this paper selects four factors including the institutional investor’s shareholding ratio, non-performing assets loan rate, net assets income rate and bank size to study the determinants of bank stock price synchronicity, as a professional institutional investor the institutional investor shareholding ratio and as the characteristics of bank non-performing assets loan rate are mainly studied on the determinants of bank stock price synchronicity, results show that institutional investor’s shareholding ratio has negative effect on bank stock price synchronicity and the effect is significant, non-performing assets loan rate has positive effect on bank stock price synchronicity and the effect is negative, net assets income rate and bank size have negative effect on bank stock price synchronicity and the effect is non-significant.In view of the above conclusions, suggestions are put forward for the government, the bank and the investor.