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中文摘要：
基于手工收集的基金交易数据,考察了基金持股和交易对股价中公司特有信息（以股价联动作为测度）的影响.研究发现：首先,基金持股对股价联动的作用受其持股比例大小的影响,只有当基金持股比例较高时,基金持股能够增加股价信息含量,降低股价联动性;其次,与基金持股相比,基金交易能够直接将公司特有信息融入到股价中,降低股价联动性,且相对于卖出行为,基金的买入行为能够传递更多的公司信息,对股价联动性的影响更大;最后,公司的规模越大,公司信息透明度越好,机构投资者的交易行为能传递更多的公司特有信息,对股价联动性的影响也越大.总之,基金的交易行为,推动了股票价格对公司特有信息的吸收,降低了股价联动性,提高了资本市场的信息效率.
英文摘要：
We examine how fund ownership and trading contribute to the firm-specific information measured by the stock return synchronicity .Based on hand-collected fund trading data , we find only when the fund owner-ship of a firm is high , is the fund ownership positively associated with the information contained in the stock price, which reduces the return synchronicity .In addition, we find the fund trading can directly incorporate information into the stock price and lower the stock return synchronicity .Moreover , this negative relationship between fund trading and synchronicity is from the buy-side rather than sell-side.Information transparency of big firms is better, funds’ trading on big firms can reveal more firm-specific information, and has a greater im-pact on synchronicity .Overall, fund ownership and trading behavior can improve the information environment of listed firms and the efficiency of the capital market .
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