Effect Of Information Disclosure Quality On Stock Price Volatility

The price of securities fluctuation remarkably is a typical characteristic of China’s capital market.Also,the vast number of investors cannot get rid of this systemic risk.Those ways to reduce the stock price fluctuation play a role of capital distribution in the market.It will do benefit to perfect the market mechanism,improve the information of investors and promote the efficiency of capital.Since 2001,the public corporate in Shenzhen has disclosed the result of the information assessment rating.Together those two ideas,does the result of the information disclosure has an effect on the fluctuation of stock price? And what is the relationship between them?Combined with effective market theory,principal-agent theory and signaling theory,this article discusses the impact of the quality of information disclosure on stock price volatility on the basis of the theory of early scholars.The structure of this paper mainly includes five parts,which are introduction,literature review,research design,empirical analysis and conclusions.The third part is the research design,which puts forward the hypothesis of this thesis and introduces variables on the basis of theoretical analysis and literature review.The most important part is the main empirical results.The empirical research on panel data was carried out by the selected Shenzhen A-share listed company in 2009-2016.This paper analyzes the effect of the quality of information disclosure on the volatility of stock price.Also,this paper analyzes the result under the shareholding ratio of different institutional investors and shares concentration.The conclusions are as follows:(1)the quality of information disclosure is negatively correlated with the volatility of stock price after controlling other factors such as company size,asset-liability ratio.Besides this negative correlation effect is not endogenous,which indicates that the quality of information disclosure can be used as a signal for investors to guide the investors to choose a company suitable for their stock price fluctuation level;(2)we study the role of institutional shareholding in information disclosure quality and stock price stability.It shows the quality of information disclosure and stock price volatility has obvious differences in different institutional shareholding group.The quality of information disclosure is more stable to stock price fluctuation in a higher proportion of institutional investors group.(3)it also shows that the impact of disclosure quality on stock price volatility is stronger in the high shares concentration group.