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已有的研究成果证明股价信息含量的提高可以改善资本的配置效率,但这一结论在我国证券市场是否成立有待实证检验。本文以2001～2008年在沪深证券交易所上市的公司为研究对象,从行业层面实证考察了股价信息含量与资本配置效率之间的因果关系,得到的研究结论是:随着股价信息含量的提高,资本更快地实现了从低效率领域向高效率领域的转移,证券市场的资本配置效率得到有效的改善。以上结论在添加了诸多控制变量和稳健性测试后依然成立。
The existing research results prove that the increase of stock price information can improve the efficiency of capital allocation, but whether this conclusion is established in the securities market in our country needs to be tested empirically. This article takes the listed companies in Shanghai and Shenzhen Stock Exchange from 2001 to 2008 as the research object, and empirically examines the causal relationship between the stock information content and the capital allocation efficiency from the industry level. The conclusion of the study is as follows: With the stock information content Improve capital transfer faster from low efficiency to high efficiency areas, the effective capital allocation efficiency of the securities market has been effectively improved. The above conclusion still holds after many control variables and robustness tests have been added.