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Capital market information efficiency is the timeliness, sufficiency and accuracy when securities prices react to all available information in the capital market (Fama, 1970; Grossman, 1976). In a capital market with higher information efficiency, securities prices can respond rapidly and fully to new information, and further use the signal mechanism of securities prices to realize the optimal allocation of capital resources (Borges, 2010; Gabriela ğiĠan, 2015). For the reason that securities prices can guide the flowing direction and the allocation of capital resources, the key lies in their reaction ability to the real information of enterprises, meanwhile, this reaction ability also reflects the capital market information efficiency of a country (Easley and O'hara, 2004; Kelly and Ljungqvist, 2012; Huang and Guo, 2014). Compared with mature capital markets, China, as a typical representative of the emerging capital market, is often full of “noise” in its capital market information, causing that the securities prices cannot well reflect firm-specific information, and the signal mechanism cannot be exerted smoothly, and the optimal allocation of capital resources is difficult to be achieved (Durnev et al., 2004; Li, 2010). Many studies have shown that, one important manifestation of the difference of information efficiency among different capital markets is stock price synchronicity (Morck et al., 2000; Chan and Hameed, 2006). Stock price synchronicity, also called the “rise and fall in lockstep” of stock prices, is the correlation between the fluctuations of stock prices of various firms and the fluctuations of average market prices (Roll, 1988; Piotroski and Roulstone, 2004; Gul et al., 2010). High stock price synchronicity indicates that only little firm-specific information is merged into stock prices. That is, the fluctuations of corporate stock prices reflect the homogeneous fluctuations of the overall prices in the capital market, rather than the heterogeneous fluctuations caused by firm-specific information (Piotroski and Roulstone, 2004; Xing and Anderson, 2011; Kim and Shi, 2012; Kim and Cheong, 2015). High stock price synchronicity weakens the ability that external investors use stock prices to identify the value of listed companies, which is not conducive to the optimal allocation of capital resources. Moreover, for China, one of the capital markets with the highest stock price synchronicity (Morck et al., 2000; Lin et al., 2015), high stock price synchronicity not only severely impairs capital market information efficiency, but also reduces the level of stock liquidity and exacerbates the risk of stock price collapses (Chan et al., 2013; Song, 2015; Jin et al., 2016). Therefore, for improving the information efficiency of Chinese capital market, it is of great theoretical and practical value to analyze the influential factors of stock price synchronicity of Chinese capital market and discuss specific measures to reduce stock price synchronicity.