Institution Construction and the Information Content of Stock Price Variation in China’s Securities Market

摘要

In China, stock prices tend to move up or down together, which implies the low firm-specific information being capitalized into stock prices. This paper aims to track the change of the information content of stock prices by a sample of listed companies from 1994 to 2005 in China. The results of empirical investigation shows that with the evolvement of institution construction, the information content of stock prices displays a long-term upward trend.