摘要
本研究檢驗日本股價共移性之因素，我們認為股價與市場的共移性會受到資訊不確定性的減少以及投資客戶的改變而增加。我們主要研究的變數包含ADR的發行與分析師的行為，在控制市值與交易量後，結果發現小公司在發行ADR後會降低股價共移性，大公司則無效果。這表示對於小公司來說，投資客戶效果大於資訊揭露效果，而對於大公司來說，此兩種效果互相抵消。此外，越多分析師報導的股票表示其資訊不確定性越低，進而導致股價共移性增加，然而，在其它的分析師相關變數中，我們找不到其與股價共移性關係的證據，而在日本企業集團(Keiretsu)方面，跟預期一樣，隸屬於日本企業集團的股票會有越高的股價共移性。
並列摘要
This study examines the determinants of stock price comovement in Japanese market. We argue that a stock’s comovement with the market may be increased due to a reduction in the firm’s information uncertainty and/or due to a shift in investor clientele. The variables of our primary interests include ADR issuance and analyst activities. After controlling for size and trading volume, the results indicate that an ADR issuance tends to decrease the price comovement of a small stock while such impact disappears for large stocks, suggesting that the investor clientele effect dominates the information disclosure effect for small stocks while only offsets the information disclosure effect for large stocks. On the other hand, an increase in analyst coverage decreases the information uncertainty of a stock, leading to greater stock price comovement; however, no conclusive relationships are found between comovement and other analyst following variables. Also as expected, a stock affiliated with a keiretsu tends to exhibit stronger price comovement.
參考文獻
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