摘要
中国证券市场存在非公开信息是一个不争的事实,这使得市场不能满足强有效市场假设。针对指令驱动型市场不存在做市商和非公开信息无法直接观测这两个特点,本文构造了测度中国证券市场非公开信息的专用指标——Pin值。在此基础上,我们对Pin值进行了定量研究,计量结果显示非公开信息对中国证券收益率存在显著影响,主要影响渠道是非正常收益。在信息公开程度上,中国证券市场Pin值偏高,距离成熟市场还有较大差距。因此继续规范信息披露机制、增强信息透明度对提高中国证券市场运行效率具有很强的政策含义。
The security marke（of China can not satisfy condition of strong form, there are some non-public information. Based on order driven market and non-public information can＇t be measured, this paper construct the index to scale the non-public information in China.securities market. Basing on this, we have a Positive Research to possible information trade. Non-public information is important to the return of China securities market by abnormal return~ Among index which may have influence to return, the effect of non-public information is the most obvious. Comparing with developing country, the possible information trade in China securities market is high, the mechanism of information disclosure must be improved.
出处
《南开经济研究》
CSSCI
北大核心
2007年第4期106-117,共12页
Nankai Economic Studies
