Artificial intelligence, information environment, and capital market efficiency

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance Pub Date : 2025-07-01 DOI:10.1016/j.ribaf.2025.103094

Abdulazeez Y.H. Saif-Alyousfi

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Abstract

This study investigates the impact of Artificial Intelligence (AI) and the information environment on capital market efficiency, using stock price synchronicity as a proxy. Analyzing data from Indian listed firms from 2018 to 2023, we find that AI significantly enhances market efficiency by increasing the uniformity of stock price movements in response to new information. The information environment, characterized by analyst attention, Big4 audits, and investor attention, shows mixed effects. Analyst coverage and Big4 audits reduce synchronization by disseminating firm-specific information and enhancing transparency, respectively. In contrast, investor attention increases synchronization by aligning stock prices with market movements. Furthermore, the interaction between AI and the information environment variables reveals that AI amplifies the effects of high analyst coverage, rigorous audits, and strong investor attention, leading to greater market synchronization. Robustness checks, replacing the dependent variable, endogeneity tests, and analyses based on different property rights, confirm these findings. Notably, state-owned enterprises benefit more from AI and information environment factors compared to non-state-owned enterprises. This study highlights the crucial role of AI and a transparent information environment in enhancing capital market efficiency and provides significant policy implications for regulators, financial institutions, and market participants to foster AI adoption, improve information transparency, and tailor regulations to different ownership structures.

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人工智能、信息环境与资本市场效率

本研究以股价同步性为指标，探讨人工智能（AI）与资讯环境对资本市场效率的影响。通过分析2018 - 2023年印度上市公司的数据，我们发现人工智能通过增加股票价格变动对新信息的响应的统一性，显著提高了市场效率。以分析师关注、四大审计和投资者关注为特征的信息环境呈现出混合效应。分析师覆盖率和Big4审计分别通过传播公司特定信息和提高透明度来减少同步。相比之下，投资者的注意力通过使股价与市场走势保持一致而增加了同步性。此外，人工智能与信息环境变量之间的相互作用表明，人工智能放大了高分析师覆盖率、严格审计和强烈投资者关注的影响，从而导致更大的市场同步。通过替换因变量、内生性检验和基于不同产权的分析，鲁棒性检查证实了这些发现。值得注意的是，与非国有企业相比，国有企业从人工智能和信息环境因素中受益更多。本研究强调了人工智能和透明的信息环境在提高资本市场效率方面的关键作用，并为监管机构、金融机构和市场参与者促进人工智能的采用、提高信息透明度和根据不同的所有权结构调整监管提供了重要的政策启示。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Research in International Business and Finance BUSINESS, FINANCE-

CiteScore

11.20

自引率

9.20%

发文量

240

期刊介绍： Research in International Business and Finance (RIBAF) seeks to consolidate its position as a premier scholarly vehicle of academic finance. The Journal publishes high quality, insightful, well-written papers that explore current and new issues in international finance. Papers that foster dialogue, innovation, and intellectual risk-taking in financial studies; as well as shed light on the interaction between finance and broader societal concerns are particularly appreciated. The Journal welcomes submissions that seek to expand the boundaries of academic finance and otherwise challenge the discipline. Papers studying finance using a variety of methodologies; as well as interdisciplinary studies will be considered for publication. Papers that examine topical issues using extensive international data sets are welcome. Single-country studies can also be considered for publication provided that they develop novel methodological and theoretical approaches or fall within the Journal''s priority themes. It is especially important that single-country studies communicate to the reader why the particular chosen country is especially relevant to the issue being investigated. [...] The scope of topics that are most interesting to RIBAF readers include the following: -Financial markets and institutions -Financial practices and sustainability -The impact of national culture on finance -The impact of formal and informal institutions on finance -Privatizations, public financing, and nonprofit issues in finance -Interdisciplinary financial studies -Finance and international development -International financial crises and regulation -Financialization studies -International financial integration and architecture -Behavioral aspects in finance -Consumer finance -Methodologies and conceptualization issues related to finance