摘要
本文以深交所A股上市公司为样本,研究上市公司的信息披露整体质量是否影响公司股票在市场上的流动性。基于分笔高频交易数据,检验集中于流动性的两个关键方面:市场宽度和市场深度。采用稳健的非线性两阶段最小二乘法来克服信息披露的自选择特点所引起的内生性问题。实证结果显示,公司高质量的信息披露能有效提高其股票的市场流动性,这种影响主要是通过缩小市场宽度来达到,而对市场深度的影响不显著。利用市场微观结构的价差分解方法的研究发现,高质量的信息披露提高市场流动性的机制在于有效减轻市场上信息不对称程度。
The paper investigates the relation between disclosure quality and market liquidity in ShenZhen Stock Exchange in China. Our tests examine two key aspects of market liquidity：the bid-ask spread and quoted depth, and how they relate to the exchange annual ratings of listed firms＇ disclosure quality. We use a robust nonlinear 2SLS method to solve the endogeneity problem from the self-selection of disclosure policy. We find that firms with higher rated disclosure have lower bid-ask spread, but have no significant larger quoted depth. Further researches show that firms with higher rated disclosure have lower adverseselection component in bid-ask spread, which implies less information asymmetry.
出处
《南方经济》
北大核心
2007年第10期70-80,共11页
South China Journal of Economics
基金
国家自然科学基金项目(70571022)资助
关键词
披露质量
市场流动性
市场宽度
市场深度
价差的逆向选择成分
Disclosure Quality
Market Liquidity
Market Breadth
Market Depth
Adverse-Selection Component in Bidask Spread
