Enterprise digital transformation and return comovement of business groups

IF 4.8 2区 经济学 Q1 BUSINESS, FINANCE Pacific-Basin Finance Journal Pub Date : 2024-10-10 DOI:10.1016/j.pacfin.2024.102555
Shasha Liu , Yifan Jin , Dongmin Kong
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Abstract

This paper investigates the impact of enterprise digital transformation on the capital market information efficiency. Specifically, we explore the effects of digital transformations on the comovement of stock prices between firms and their affiliated business group entities. Our results underscore a significant reduction in price-based return comovement for firms within the same business groups after digital transformation, indicating an improvement in information efficiency of capital market. Our findings exhibit more pronounced pattern among firms with higher level of diversification, those experiencing higher performance volatility, stronger financing constraints, and higher information asymmetry. The potential mechanism is associated with the enhancement of firms' resilience against adverse shocks and firms' access to external financing, thereby decreasing firms' dependence on the internal capital market of business groups.
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企业数字化转型与业务集团的回报合并
本文研究了企业数字化转型对资本市场信息效率的影响。具体而言,我们探讨了数字化转型对企业及其关联企业集团实体之间股票价格的相关性的影响。我们的研究结果表明,数字化转型后,同一业务集团内的企业基于价格的回报率相关性明显降低,这表明资本市场的信息效率有所提高。我们的研究结果表明,在多元化程度较高、业绩波动性较大、融资约束较强以及信息不对称程度较高的企业中,这种模式更为明显。其潜在机制与企业抵御不利冲击的能力增强以及企业获得外部融资的机会增多有关,从而降低了企业对企业集团内部资本市场的依赖。
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来源期刊
Pacific-Basin Finance Journal
Pacific-Basin Finance Journal BUSINESS, FINANCE-
CiteScore
6.80
自引率
6.50%
发文量
157
期刊介绍: The Pacific-Basin Finance Journal is aimed at providing a specialized forum for the publication of academic research on capital markets of the Asia-Pacific countries. Primary emphasis will be placed on the highest quality empirical and theoretical research in the following areas: • Market Micro-structure; • Investment and Portfolio Management; • Theories of Market Equilibrium; • Valuation of Financial and Real Assets; • Behavior of Asset Prices in Financial Sectors; • Normative Theory of Financial Management; • Capital Markets of Development; • Market Mechanisms.
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