会计学院知识库

    为配合市场信息监管由“事前审核”向“事后监管”转变，沪深交易所在借鉴国外发达市场经验基础上，结合我国现实情境推出了以信息披露为核心，以投资者需求为导向的问询函监管制度。2015年交易所首次在网站公开问询函，沪深两所总计发放683份问询函，2019年上涨到2112份，涨幅高达209%，问询函监管的频率与力度可见一斑。已有研究从市场反应角度验证了交易所问询函具有信息含量。股价同步性也是一个描述信息含量很好的指标，尤其是公司特质信息，且多份跨国研究发现，我国股价同步性明显高于西方发达资本市场，说明我国市场中的公司特质信息难以融入投资者的定价决策中，这种现象使得公司市场价格偏离公司实际价值，进而破坏市场根据价格进行资源配置的效率。

    基于此，本文立足于这一制度背景，研究交易所问询函对股价同步性的影响。首先，本文梳理了交易所问询函与股价同步性的相关研究；其次，本文基于交易所问询函发挥的“信息效应”和“监督效应”进行理论分析，提出相应的研究假设；最后，本文以2015——2019年所有A股上市公司为研究样本，选取非流动比例直接衡量“信息效应”，选取分析师关注间接衡量“监督效应”，实证检验交易所问询函对股价同步性的影响及其作用机制。研究发现：（1）交易所问询函降低了股价同步性；（2）问询函件的细分特征对股价同步性的影响程度不同：函件涉及的问题数量越多，交易所问询函对股价同步性的降低作用越明显；同时，需要第三方机构意见的问询函能够更好地降低股价同步性；（3）非流动比率与分析师关注发挥了中介作用，即问询函通过“信息效应”和“监督效应”降低股价同步性。以上结论表明证券交易所同时站在投资者立场和监管者立场，通过发放问询函增加市场中的公司特质信息，降低股价同步性。这为交易所问询函的经济后果研究提供了新的视角，也为降低我国股价同步性，提高市场资源配置效率提供了新的证据。

In order to cope with the transition of market information supervision from "pre-review" to "post-supervision", the Shanghai and Shenzhen Stock Exchange, based on the experience of foreign developed markets, combined with my country’s actual situation, launched a market information disclosure as the core and investor demand-oriented. The exchange inquiry letter supervision system. In 2015, the exchanges first publicly issued inquiry letters. The Shanghai and Shenzhen exchanges issued a total of 683 inquiry letters. In 2019, the number rose to 2,112, an increase of 209%. This can be seen in the frequency and intensity of its supervision. Existing studies have verified the information content of exchange inquiry letters from the perspective of market response, and the synchronization of stock prices is also a good indicator of information content. A number of transnational studies have found that the synchronization of my country’s stock prices is significantly higher than that of Western developed capital markets, indicating that it is difficult for the company’s characteristic information in my country’s market to be integrated into investors’ pricing decisions. This phenomenon makes the company’s market price deviate from the company’s actual value, thereby destroying the market. The efficiency of resource allocation based on price.

Based on this, this article is based on this institutional background to study the impact of exchange inquiry letters on the synchronization of stock prices. First, this article sorts out the relevant research on the exchange inquiry letter and the synchronization of stock prices; secondly, this article makes a theoretical analysis based on the "information effect" and "supervision effect" exerted by the exchange inquiry letter, and puts forward corresponding research hypotheses; finally, This article uses all A-share listed companies from 2015 to 2019 as a research sample, selects non-liquid proportions to directly measure "information effect", selects analysts to focus on indirect measurement of "supervision effect", and empirically examines the effect of exchange inquiry letters on stock price synchronization. Influence and its mechanism of action. The study found that: (1) Exchange inquiry letters reduce the synchronization of stock prices; (2) The subdivision characteristics of the inquiry letters have different effects on the synchronization of stock prices: the more questions involved in the letter, the more effective the exchange inquiry letters are. The more obvious the effect of reducing stock price synchronization is; at the same time, the inquiry letter requiring the opinions of third-party institutions can better reduce the stock price synchronization; (3) The non-current ratio and analyst attention play an intermediary role, that is, the inquiry letter passes " "Information effect" and "monitoring effect" reduce the synchronization of stock prices. The above conclusions indicate that the stock exchange stands at the position of investors and regulators at the same time, by issuing inquiry letters to increase the company's specific information in the market and reduce the synchronization of stock prices. This provides a new perspective for the study of the economic consequences of exchange inquiry letters, and also provides new evidence for reducing the synchronization of my country's stock prices and improving the efficiency of market resource allocation.