An Empirical Research On The Relationship Between Stock Return Synchronicity And Price Informativeness

Stock return synchronicity is the index to measure the company share, market and industrial index commove situation. It reflects the impact degree of systematic volatility besides idiosyncratic volatility on individual share price. R2 of stock informativeness reflected by systematic volatility of share price is usually used to measure stock return synchronicity in theoretical circle. Stock return synchronicity is deemed as the valid indicator to measure information efficiency in capital market. However, there are two totally opposite views about the research on stock return synchronicity and stock price informativeness in theoretical field:efficient market hypothesis thinks that in less noisy market, private information of company can enter stock price rapidly and fully, the fluctuation of stock price reflects the change of basic scope of company, which has lower commove with market and industrial index, namely synchronicity is negative related to informativeness; while "irrational behavior hypothesis" thinks that stock return synchronicity reflects irrational behavior and factor of "pursuing rising and selling the decreasing" and "herd behavior" which is unrelated to idiosyncratic information and triggered by the "noise" of stock price and "crazy" and "panic" mentality of investor. In the market full of noise, the promotion of information efficiency is good for investors to master the certainty information of future achievement of company. The impact of irrational factor such as emotion of investors on stock price decreases and the synchronicity increases, thus, stock return synchronicity is positive related to informativeness. On such basis, the paper takes seasoned equity offerings by listed company at Shanghai Stock Market as proxy of stock price informativeness to study the impact of stock price volatility on stock price informativeness in Chinese context.The paper firstly reviews the proposal and theoretical development of such concepts as stock price volatility synchronicity, stock price informativeness, SEO Discounts, Analyst coverage and state owned and so on and introduces latest research achievement in academic field. Subsequently, on the basis of a lot of literature researches on relation of foreign and domestic stock price volatility synchronicity and stock price informativeness, the paper introduces the application of taking SEO discount as proxy of stock price informativeness in the research and analyzes the limitation of domestic research at current stage. Next, the paper takes private placement of A share listed enterprise at Shanghai Stock Exchange from 2012 to 2014,304 companies as sample and gets independent variable of stock price volatility synchronicity by using R2 operation in standard market model; takes SEO discount representing stock price informativeness as dependent variable (additionally issue that the difference between closing price of the previous day and actual additional issuance price and then divided by the closing price of the previous day); meanwhile, based on the characteristic of Chinese security market, the paper cites such two moderating variables as analyst’s recommendation and state owned to demonstrate the relation between stock price volatility synchronicity and SEO discount. The result shows that the significant negative relationship exists between stock price volatility synchronicity and SEO discount, namely proves the hypothesis that Chinese security market conforms to "irrational behavior". Analyst’s recommendation has positive adjustment function to main effect, state owned has negative adjustment function to main effect and the adjustment functions are all significant. At last, based on theoretical research and empirical analysis, the paper gives some suggestions on strengthening information transparency construction of security market, encouraging research input department development of financial institution, improve financial information disclosure system of state-owned listed company, avoiding the misleading of information distortion to investors and speeding up promoting information efficiency of domestic security market in the view of security market management department, small and middle investors and listed companies.