Arbitrage Restrictions,Investor Sentiment And Stock Price Synchronization

Stock price synchronization means that there is a certain correlation between the change of stock price return and the average market return.Many scholars believe that the serious phenomenon of stock price synchronization will have a negative impact on investors and companies,which will lead to the decline of resource allocation efficiency,and then affect the normal operation of the capital market.Nowadays,China’s economy has changed from a high-speed development stage to a high-quality development stage,and China’s capital market has also continued to develop and improve.The fluctuation of stock prices has increasingly attracted people’s attention.Information efficiency school’s explanations of changes in stock price synchronization are increasingly limited,and the rise of behavioral finance has led scholars to turn their attention to the influence of irrational factors such as investor sentiment.Limited arbitrage is also one of the main research contents of behavioral finance,and after combing the relevant literature,it is found that there are still few studies on the relationship between arbitrage restrictions,investor sentiment and stock price synchronization.When arbitrage restrictions and investor sentiment are taken into account at the same time,how the stock price synchronization will change is the research direction of this paper.This paper uses the monthly data of A-share non-financial listed companies from July 2011 to June 2021 to construct stock price synchronization index,arbitrage restriction index,investor sentiment index,and adopts the fixed effect model regression.This paper is about the relationship between arbitrage restriction and stock price synchronization,the relationship between investor sentiment and stock price synchronization,the regulatory effect of arbitrage restriction on the correlation between investor sentiment and stock price synchronization.And from the information level,it explores the impact of the number of related news and corporate violations on the relationship between investor sentiment and stock price synchronization.The empirical research in this paper concludes as follows:(1)the degree of arbitrage restrictions in the stock market has a significant positive correlation with stock price synchronization;(2)investor sentiment and stock price synchronization have a significant negative correlation;(3)the increase in arbitrage restrictions will enhance the impact of investor sentiment on stock price synchronization;(4)the number of related news and company violations are negatively correlated with stock price synchronization.An increase in the number of related news weakens the impact of investor sentiment on stock price synchronization,and the increase in the number of company violations will strengthen this impact.Finally,this paper puts forward relevant suggestions based on the research results,calling for improving the construction of relevant systems,establishing correct investment concepts,etc.,improving the operational efficiency of financial market and optimizing the allocation of resources.