Analysts’ Attention, Investors’ Heterogeneous Beliefs And Stock Price Synchronicity

Stock price synchronicity is an important indicator used to measure capital market efficiency. Investors’ heterogeneous beliefs would cause the increase of stock price abnormal fluctuation that leads to the generation and rupture of speculative bubbles, and makes a high level of stock price synchronicity. Analysts’ attention makes stock price absorb information in the level of market, industry and companies themselves, which could influence stock price synchronicity. Hence, studying on synchronicity by the influence of investors’ heterogeneous and analysts’ attention could be helpful to figure out realistic strategies to decreasing stock price synchronicity.This article uses Shanghai and Shenzhen A-share main board companies in 2010-2014 year as research object to test the influence of investors’ heterogeneous beliefs to stock price synchronicity, analysts’ attention to stock price synchronicity and the relation within three above by using adjusted daily turnover rate to measure investors’ heterogeneous beliefs and the number of analysts who pay attention to the target company to measuring analysts’ attention. The results are as follow:(1) investors’ heterogeneous beliefs are positively related to stock price synchronicity;(2) analysts’ attention increases stock price synchronicity;(3) analysts’ attention can restrain the positive influence of investors’ heterogeneous to stock price synchronicity.This article may have following innovations:(1) this article studies the reason of stock price synchronicity at the angle of investors’ heterogeneous beliefs, which enriches and develops related research achievements;(2) by studying the relation within analysts’ attention, investors’ heterogeneous and stock price synchronicity, this article could be used to cope with stock price’s booming and slumping, and improve the capital market.