Information Transparency, Analysts Tracking And Stock Price Synchronicity

Since established in1991, the Chinese securities market has experienced more than20years ofdevelopment and perfection. It made remarkable achievements, become an indispensable part in the marketeconomy in our country, and also is one of the most dynamic of the securities market in the world. At thesame time, maintained the characteristics of emerging markets, the securities market in our country still hascertain gap on the overall operation efficiency when compared with the mature capital market. Consideringthe present situation, it is necessary for us to do further research for the operation efficiency of oursecurities market.Compared with the mature capital markets, emerging market stock price tends to containthe larger market noise, and unable to reflect the characteristics of the corporate level information moreavailability, so it is difficult to effectively guide the allocation of resources. An important manifestation ofcapital market’s efficiency difference is the company’s stock price synchronicity. In addition, along with theestablishment of the securities market, securities consulting industry in our country also arises at thehistoric moment. As securities market information intermediary, those with high professional reputationand professional securities analysts can use their professional knowledge and information collecting andprocessing ability, to provide effective information reflecting the intrinsic value of securities to investors.Thereby securities analysts play a very important role in increasing the efficiency of securities market.Although there has many arguments for the value of the investment information for analysts and its facingthe conflicts of interest in the mature capital market, securities analysts’ role in enhancing market operationefficiency has won widespread recognition. However, in the emerging capital market, the problem forsecurities analyst whether improve the running efficiency of the capital market or not has yet to be furtherresearch.This article firstly reviews the relevant literature at home and abroad about information transparency,analysts tracking and stock price synchronicity, and is put forward on the research hypothesis based on theeffective capital market theory, behavioral finance theory, asymmetric information theory and Signalingtheory. It empirical tests the effects on stock price synchronicity of information transparency and analyststracking with the database of our country A shares non-financial listed companies in2007-2011. Empiricalanalysis is divided into three parts, firstly we use modified Jones model to measure informationtransparency, test the effect of information transparency on stock price synchronicity; and then we useanalysts tracking number, and analysts forecast accuracy and earnings forecast differences degrees to testanalysts trace’s impact on stock price synchronicity. Finally, we examine the information transparency andanalysts tracking combined impact of stock price synchronicity.The results showed that, firstly, the stock price synchronicity positively reflected the informationefficiency of listed companies, namely, the information transparency of listed companies is higher, its stockprice synchronicity is higher; secondly, the stock price synchronicity and analysts tracking number werepositively related, and analyst earnings forecast accuracy were positively correlated, negatively related withanalysts earnings forecast differences degrees; thirdly, with the increasing of analysts trace’s number, theimprovement of analyst earnings forecast accuracy, and the decreasing of the analysts earnings forecastdifferences degrees, the positive relationship between information transparency and the listed company’sstock price synchronicity become weaken.The resulting revelation, in our securities market, stock price synchronicity is positive to reflect theinformation efficiency of the stock market. On one hand, we should improve the information transparencyof listed companies, through further standardizing accounting standard for business enterprises, to perfectthe information disclosure system, encourage voluntary disclosure of listed companies and other methods to provide high quality accounting information for the securities analysts and investors; On the other hand,we should promote and standardize the development of the securities analyst industry, so as to alleviate theinformation asymmetry problem between listed companies and investors, prompting investors to makerational investment decisions according to the information provided by the securities analyst, then improvethe efficiency of securities market.