Accounting Information Quality,Investor Sentiment And Stock Price Synchronicity

Synchronization of stock prices reflects whether information contained in stock prices or noise has always been a highly controversial topic in academia.Synchronization of stock prices,which is commonly referred to as “same rise and fall” in China,means that most stock prices rise or fall simultaneously during a certain period of time.Stock price synchronicity is an indicator that measures stock price linkages between markets,industries and companies,and reflects the proportion of systemic risks in the total risk of the stock.Existing related researches believe that there is a correlation between stock price synchronicity and information efficiency of securities market.Analysis of R~2 from the perspective of trait return changes means that the company's stock price performance is independent of the broader market trend,or that the company's trait income changes exceed the market average.With the continuous development of research,R~2 reflects whether the company's trait information or noise has caused more and more scholars' controversy and attention,forming "interpretation based on trait information" and "interpretation based on behavioral finance".Information efficiency scholars believe that low stock price synchronism is that the stock price contains more specific information of the company(Roll,1988),while the non-rational behavior school believes that the stock price synchronization is low because the stock price contains more noise.Instead of the so-called information from the information school(West,1988).Therefore,at present,the research on the generation mechanism of stock price synchronicity,that is,what factors will cause the stock price to “rise and fall” is the focus of controversy.In view of this problem,this paper uses the data of 2007-2017 A-share listed companies in Shanghai and Shenzhen,using mixed OLS regression and panel regression models to empirically analyze the relationship between stock price synchronicity and accounting information quality.This paper innovatively introduces the investor sentiment variable,which divides stock price synchronic into two parts: information and noise(investor sentiment),explores the impact of accounting information quality on both,and the stock price synchronization and information efficiency in the Chinese market.The relationship between the two countries is trying to find out the positive correlation between stock market synchronicity and information efficiency in China's stock market.For the first time,investor sentiment is used to separate stock price synchronicity,verifying information efficiency and noise,and examining China's stock market.The mechanism of generation.The study found that the quality of accounting information has a significant positive correlation with the stock price synchronism of the information part,and has a significant negative correlation with the stock price synchronism of the noise part.This has important theoretical and practical significance for understanding the formation mechanism of stock market synchronicity in China's stock market and how the regulators can take effective measures to reduce the stock price “both ups and downs” and its harm.The research content of this paper is mainly composed of six parts.The first part mainly introduces the research content of this paper.Firstly,it puts forward the research background and the significance of the topic.Then it expounds the research ideas and basic framework of this paper.Finally,it puts forward the possible innovations and shortcomings of this paper.Next,this paper systematically reviews the research literature related to stock price synchronism at home and abroad,including the related literature on the relationship between accounting information quality and stock price synchronicity,and the research literature on the relationship between investor sentiment and stock price synchronicity.In the third part,this paper analyzes the relevant theories,deduces and puts forward the five research hypotheses of this paper.On the basis of the third part,the fourth part focuses on the model used in this paper,and explains the research variables selected in this paper.The fifth part is the focus of this paper.Firstly,a brief descriptive statistical analysis and correlation analysis are carried out for each variable.Then,the model is used to empirically test the synchronization of accounting information and stock price,the quality of accounting information and the stock price that can be interpreted by emotion.Sexuality,the quality of accounting information and the stock price synchronicity that cannot be interpreted by emotions,and the adjustment effect of accounting information on investor sentiment and stock price synchronicity,and the robustness test of empirical results.In the last part of the thesis,this paper summarizes the conclusions drawn from the empirical research and proposes relevant policy recommendations.Through the empirical study,the following five findings are shared.First,accounting quality has significantly affected stock price synchronicity.Overall,the higher the accounting quality,the higher the stock price synchronicity.Second,the quality of accounting information is significantly negatively correlated with stock price synchronicity that can be interpreted by emotions.Third,the quality of accounting information is significantly positively correlated with stock price synchronicity that cannot be interpreted by emotions.Fourth,investor sentiment significantly affects stock price synchronicity.Finally,we further explore the adjustment effect of accounting information quality on investor sentiment and stock price synchronicity.The results show that with the improvement of accounting quality,the positive impact of investor sentiment on stock price synchronicity can be alleviated.The possible contributions of this paper are as follows: First,in theory,this paper introduces investor sentiment variables for the defects of "information efficiency school" and "irrational behavior school",and for the first time,the stock price synchronization is divided into two types,and one is proposed.A new theoretical explanation enriches and perfects the research mechanism of stock price synchronicity generation.Secondly,in terms of research methods,the stock price synchronicity is divided into a part that can be interpreted by the investor's emotions and a part that cannot be interpreted by the investor's emotions.Analysis of the relationship between information efficiency and the synchronicity of these two different types of stock prices provides a new perspective for understanding the mechanism of stock price synchronicity generation.