上市公司技术创新与股票特质波动率

Technology Innovation of Listed Companies and Stock Idiosyncratic Volatility

摘要:

技术创新活动周期长，不确定性高，同时会带来信息不对称，这些都是影响股价波动的因素。文章选取1626家创新型上市公司在2006-2013年的数据为样本，研究技术创新活动对其股票特质波动率的影响。结果发现：第一，上市公司研发投入越多，股票特质波动率越大；而新增专利越多，特质波动率反而越小；第二，相对传统行业，高科技行业的研发投入或专利引起的股票特质波动率相对较小；第三，不同类型的专利对股票特质波动率的影响有显著差异。

Abstract:

Technology innovation will affect stock price volatility due to its high uncertainty and information asymmetry. This paper selects 1626 innovative listed companies between 2006 and 2013 as samples and does research on how does technology innovation activities influence idiosyncratic volatility. This paper finds that: Firstly, the more the R&D investment is, the greater idiosyncratic volatility is. The more new patent is, the less idiosyncratic volatility is. Secondly, relative to traditional industries, stock idiosyncratic volatility is relatively small in the high-tech industries because of R&D investment and new patents. Thirdly, different types of patent have significantly different influence on the stock idiosyncratic volatility.