The Relationship Between Equity Characteristics,Information Transparency And Stock Price Volatility

Stock price volatility refers to the change in the stock price of listed companies,and stock price volatility becomes one of the basic attributes of the stock market.Scholars explored the causes of stock price fluctuations from various perspectives such as institutional investors and corporate characteristics.According to the theory of effective market,we believes that information change is the fundamental factor of stock price fluctuation.Therefore,Bushee BJ,Noe CF.(2000)believes that frequent and timely information disclosure leads to frequent price changes;however,with the gradual maturity of foreign financial markets,more and more scholars tend to believe that perfect information disclosure can effectively reduce stock price fluctuations in recent years,such as Dasgupta S,Gan J,Gao N.(2010).Compared with the relatively mature market environment in foreign countries,phenomena and data show that the Chinese investors do not have enough access to market information.Combined with the definition of information transparency by Bushman,Piotroski and Smith(2004),the information transparency of the Chinese market is not high.Then,in the context of the overall low transparency information of China's stock market,what is the relationship between information transparency and stock price volatility? We will explore the problem empirically.However,the current three mainstream indicators for measuring information transparency(earnings quality management,analyst tracking and forecasting accuracy,and regulatory agency disclosure evaluation results)are not intuitive and comprehensive.In order to increase the practicality of this paper,we will further looks for factors that are intuitive,easy to obtain,and affect information transparency.Since the nature of enterprises is a common way of distinguishing firms in China,and the special social status of Chinese state-owned enterprises,we first explore the impact of the ownership nature on information transparency.Secondly,combined with the principal-agent theory and the phenomenon of “one big share” in Chinese listed companies,I continue to explore the impact of degree of equity counterbalance and ownership concentration on information transparency.Finally,combining the relationship between nature of equity,equity counterbalance,ownership concentration and information transparency,and the relationship between information transparency and stock price fluctuations,we try to provide reference indicators for ordinary investors to identify high-volatility stocks.In this paper we use the data of the Shenzhen Stock Exchange's 2004-2017 A-share main board listed company as sample data,and make necessary eliminations.The final data volume including 424 company samples in 14 years.After that,we construct a linear regression model to examine the impact of corporate information transparency on stock price volatility,and the company's information transparency indicators were replaced for robustness testing.In addition,we study the impact of the company's equity characteristics(ownership nature,degree of equity counterbalance,ownership concentration)on the company information transparency.Through empirical analysis we found that:(1)The improvement of company information transparency will help reduce the stock price volatility.Specifically,first,companies with higher earnings quality have lower information transparency,which increases stock price volatility.Second,positive information disclosure has the effect of easing stock price volatility.Finally,companies with more analyst tracking have lower information transparency,which increases stock price volatility,indicating that analysts' professional analysis helps to reduce stock price volatility.(2)Based on the regression results of the company's equity characteristics on information transparency,we conclude that,first,compared with other enterprises,the information transparency of state-owned enterprises is higher.Second,more the equity is counterbalanced,higher the information transparency will be.Third,the regression coefficient of the shareholding ratio of major shareholders differs based on various information transparency indicators,indicating that the impact of the shareholding ratio of major shareholders have on information transparency is uncertain.(3)The improvement of company information transparency helps to reduce the company's stock price volatility,and the state-owned and more equity counterbalanced company will help to improve information transparency.Therefore,relative to other companies,the stock price fluctuations of state-owned enterprises are relatively lower.What's more,the higher degree of equity counterbalanced,the lower the company's stock price volatility may be.This article including five chapters.The first chapter is the introduction,focusing on the research background and questions,research significance,ideas,research methods and innovations.The second chapter is to sort out the relevant domestic and foreign literatures based on the three key words including stock price volatility,information transparency and equity characteristics.In the third chapter we introduce the sample data source and basic model,and carry on the empirical analysis of the relationship between corporate information transparency and stock price volatility.In the fourth chapter we further examine the relationship between the company's equity characteristics and information transparency.In chapter 5 we make some conclusions,recommendations and future prospects.Possible innovations of this paper are as follows: First,the predecessors mostly explore the influencing factors of stock price volatility from external factors,such as investor type and supervision.We do the work from the perspective of information transmission of listed companies,the fundamental factors affecting price changes.Second,in the past,most of the articles explored the impact of information transparency have on stock price synchronicity.Although there is a certain relationship between stock price synchronicity and stock price volatility,their meanings are totally different.Thirdly,we starts from the information-price information transmission process,and believes that the three steps including the company's real information sorting,publishing and information transmission are the main components of information transparency.Compared with the predecessors focusing on the quality of earnings management or information disclosure,we attempts to establish a new measure of information transparency.Fourth,this paper supplements the research on the factors affecting stock price volatility by studying the impact of corporate equity characteristics on information transparency and finding indirect methods for distinguishing stocks with high volatility.