主题： Revisiting the International Stock Price Synchronicity Issue
主讲人：新加坡管理大学 林建源教授
主持人：经济与管理研究院 张大永副教授
时间：2014年10月23日（周四）下午2点--3点半
地点：柳林校区通博楼206
主办单位：经济与管理研究院 科研处
主讲人简介：
Graduated with a PhD in Financial Economics from Stanford University, Professor Lim has worked in universities for over 27 years after an initial posting with the Singapore Administrative Service. He teaches and researches in the areas of quantitative finance, financial economics, financial econometrics, and applied probability and statistics. He has consulted for banks and companies in the areas of risk management and project valuation. He has also been actively involved in various aspects of university business including being Interim Dean of Business School, Associate Dean, Vice-Dean, Sub-Dean, Head of Department, Journal Editor, Director of University level Research Centre, Director of Degree Programs, Faculty Senate Chair, Chair of University Task Force, Organizer of International Conferences, Professional Society President, Advisory Board Member, External Academic Advisor of international associations and schools, and others. He has taught in various financial executive development courses at NUS, SMU, IBF, MIS, and others. He started one of the first MS course in Financial Engineering in Singaporein 1999. He is on the editorial boards of a number of international finance and business journals. He has written two books on “Financial Valuation and Econometrics” and “Probability and Finance Theory” published by World Scientific Press. He was awarded a Public Administration Medal (Silver) by the President of theRepublicofSingapore.
内容提要：This paper revisits the issue of disparity in international stock price synchronicity. Some major studies have shown that stock prices in countries that have poor track records of government protection of private property right tend to move more synchronously. Investors in these countries expend little effort to extract firm-specific information, thus causing price to be driven mainly by market-wide information. However, such information hypothesis has been challenged by new literature arguing that price synchronicity may be related to information efficiency in a more complicated way, or not at all. Amongst these is also an argument that smaller firms could have investor following with sentiment, thus resulting in over-reaction to price information and thus a smaller R2. We attempt to ask the question if the negative relationship between price synchronicity and level of country proprietary right protection could be explained by factors other than the information hypothesis. Using empirical data that cover 40 countries over the period from 1995 to 2012, we show that after controlling for a number of structural variables and robust checking, stock market capitalizations have a non-constant monotonic impact on price synchronicity of stocks invariably in every country. We show that for most developed countries, increased capitalizations in small to medium firms tended to reduce their R2’s whereas the opposite is true in most emerging countries. Similarly, systematic risks and correlations vary differently amongst firms in developed versus developing countries. We provide an alternative and complementary reason why the R2 disparity occurs internationally by suggesting a non-information story that has to do more with corporate and industry structures of vertical and horizontal integrations with growth.
