书名：股票市场的信息扩散 基于行业内视角
作者：董驰
出版时间：2019年
内容简介
本书聚焦于行业内部，使用面板和条件VAR模型，系统地研究了中国股票市场的信息扩散问题。本书发现，中国股票市场的信息扩散是一个渐进的过程。公司规模、交易量、账面市值比等内部因素都可以影响信息扩散的过程。而市场条件的不同和政策的改变作为外因，也可以影响信息的扩散。本书在理论上继承了行为金融学对传统有效市场理论的批判，在实践中也为投资者提供了一些切实可行的操作思路。
作者简介
董驰，2016年获马来西亚理科大学金融学博士，现为河北大学经济学院教师、金融专业硕士研究生导师、河北省区域经济发展研究院（HIRED）研究员、《南洋商报》（财经版）“一带一路”特约研究员及亚洲管理学会（AsiaAcademy of Management）评审。
主要从事行为金融、证券投资、金融市场和区域经济的研究，主持和参与省部级课题多项，主编教材《行为金融学》一部，在国内外重要期刊上发表论文多篇。
目录
Contents
Chapter 1 Introductio
1 Research Background
1.1 Efficient Markets Hypothesis and Informatio
1.2 The Process of InformatioDiffusio
1.3 Internal Determinants of the Process of InformatioDiffusio
1.4 External Determinants of the Process of InformatioDiffusio
1.5 Industry Factor and InformatioDiffusio
1.6 Policy Changes iChinese Stock Market
2 Motivatio
3 Problem Statement
4 Research Questions
5 Research Objectives
6 Significance and Contributions of the Study13
7 The Organizatioof the Study15
Chapter 2 Chinese Stock Market
1 Introduction17
2 The Stock Exchanges iChina 18
3 The Classificatioof Stocks iChinese Stock Market 19
3.1 The Tradable and Non-tradable Stocks 19
3.2 Class A and Class B Shares 20
4 The Market Participants iChinese Stock Market 21
4.1 Domestic Individual Investors21
4.2 Domestic Institutional Investors22
4.3 ForeigInvestors 23
5 The Distinctive Characteristics of Chinese Stock Market
5.1 Price Limit
5.2“ T+1” Trading Institutio
5.3 Low TransactioCost
5.4 Independence from US Market
6 Policy Reforms iChinese Stock Market
7 Summary 30
Chapter 3 Literature Review
1 Introduction31
2 Overview of Efficient Market Hypothesis
3 Gradual InformatioDiffusio
4 Internal Determinants of the Process of InformatioDiffusio
4.1 Firm Size39
4.2 The Level of Analyst Coverage39
4.3 The Level of Institutional Ownership40
4.4 Trading Volume41
4.5 Book to Market Ratio (B/M)42
5 External Determinants of the Process of InformatioDiffusion42
5.1 Short Sale Restrictioand InformatioDiffusion42
5.2 Market Conditions and InformatioDiffusion43
5.3 Policy Changes and InformatioDiffusion45
6 InformatioDiffusioand Industry Factor 47
7 Research Framework 49
8 Research Hypotheses51
8.1 Intra-industry InformatioDiffusioand Firms’ Specific Characteristics51
8.2 Intra-industry InformatioDiffusioand Market Conditions54
8.3 Intra-industry InformatioDiffusioand Policy Changes55
9 Summary56
Chapter 4 Methodology
1 Introduction57
2 Data57
2.1 Sample Period58
2.2 Sample Selection58
3 Sorting Methods60
4 Measurements of Variables61
4.1 Stock Return61
4.2 Market Return62
4.3 Firm Size62
4.4 Trading Volume63
4.5 Book to Market Ratio (B/M)63
5 Examining Internal Determinants of Intra-industry InformatioDiffusion63
5.1 Testing oVector Auto-regressio(VAR)63
5.2 Testing oPanel Vector Auto-regressio(PVAR)67
5.3 Test of Intra- and Inter-industry InformatioDiffusio67
6 Investigating InformatioDiffusioiDifferent Market Conditions69
7 Investigating the Impacts of Policy Changes othe InformatioDiffusio73
8 Summary 77
Chapter 5 Empirical Results
1 Introduction78
2 Examining Internal Determinants of Intra-industry InformatioDiffusion78
2.1 Firm Size78
2.1.1 Summary Statistics79
2.1.2 Vector Auto-regressiofor Firm Size82
2.1.3 Panel Vector Auto-regressiofor Firm Size88
2.1.4 Summary91
2.2 Trading Volume 91
2.2.1 Vector Auto-regressiofor Trading Volume91
2.2.2 Panel Vector Auto-regressiofor Trading Volume97
2.2.3 Summary100
2.3 B/M Ratio 100
2.3.1 Vector Auto-regressiofor B/M Ratio100
2.3.2 Panel Vector Auto-regressiofor B/M Ratio106
2.3.3 Summary108
2.4 Test of Intra- and Inter-industry InformatioDiffusion109
2.5 Finding Summary110
3 Intra-industry InformatioDiffusioand Market Conditions111
3.1 InformatioDiffusioand Shorter Horizoof Market Condition111
3.2 InformatioDiffusioand Longer Horizoof Market Condition117
3.3 Robustness Check 123
3.3.1 Robustness Check for Trading Volume Portfolios123
3.3.2 Robustness Check for B/M Ratio Portfolios128
3.4 Finding Summary132
4 The Impacts of Policy Changes othe Intra-industry InformatioDiffusio133
4.1 The Impacts of Policy Changes during Three Sub-periods133
4.2 Robustness Check 140
4.2.1Robustness Check for Trading Volume141
4.2.2 Robustness Check for B/M Ratio144
4.3 Finding Summary147
5 Summary147
Chapter 6 Discussioand Conclusio
1 Introduction149
2 Recapitulatioof the Study149
3 Discussioof finding152
3.1 Internal Determinants of Intra-industry InformatioDiffusion152
3.2 Market Conditions and Intra-industry InformatioDiffusion154
3.3 Policy Changes and Intra-industry InformatioDiffusion156
4 Implications of the Study157
4.1 Theoretical Implicatio157
4.2 Practical Implication158
5 Limitations of the Study160
6 Suggestions for Future Study160
7 Conclusion161
References163
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