| Summary: | 碩士 === 國立臺北大學 === 金融與合作經營學系 === 105 === This paper examines the effect of information channel to synchronicity under investors’ fear, which usually measured by VIX. We use the sample data of Taiwan listing companies from 2008 to 2015. The major findings show that investors’ fear is an important factor to stock return synchronicity. When the degree investors’ fear goes high, the whole stock synchronicity is higher, which means the synchronicity would be affect by market noise. Furthermore, this paper then checks the effect on individual companies. The firms with larger sizes (market value of equity) and higher B/M ratios are accompanied with higher stock synchronicity, however, the effect is different when VIX is higher. Big size companies have higher stock synchronicity under higher VIX, but B/M companies are accompanied with lower synchronicity. The phenomenon is robust when we used the book value of asset and Tobin’s Q to replace size and B/M proxies. Besides, the role of corporate governance and analyst coverage are also examined. Good governance and more analysts following are accompanied with higher synchronicity, but the effect is also different when VIX is higher; good corporate governance firms have lower stock synchronicity under higher VIX, but more analysts companies still have higher synchronicity when VIX value is high.
These results indicate that synchronicity does not only reflect by market information but also public firm-specific information. The cross effect between public or private information and the investors’ fear has different effect to synchronicity. The public firm-specific information would affect industry information, in the period of high VIX will enhance this channel and increase the synchronicity. On the other side, the less of private firm-specific information (i.e. less insider trading) would be more trust by investors and decrease stock synchronicity during the period of high investors’ fear. Our finding suggests that stock return synchronicity cannot be only explained by market news and the effect of each information channel would be different under the period of high degree of investors’ fear.
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