摘要
通过手工收集证监会随机抽查上市公司的数据,基于“双随机、一公开”监管制度的准自然实验,构建多期DID模型实证检验了证监会随机抽查对资本市场信息效率的影响。研究结果表明,证监会随机抽查能够显著降低股价同步性,提高资本市场信息效率。一系列的稳健性检验仍然支持这一结论。揭示作用机理发现,随机抽查能够提高公司在市场中的关注度,并发挥监督效应,直接或间接提高资本市场信息效率。进一步分析发现,证监会随机抽查对股价同步性的降低作用在具有辖区实施方案、不放回抽样、低市场化程度地区、营商环境较差地区以及非国有企业中更显著。结论为政府监管行为能够提高资本市场信息效率提供了新的证据,为证监会随机抽查制度的进一步推行提供了政策启示。
Based on the quasi-natural experiment of the“Two Random and One Public”regulatory system,this paper constructs a multi-period DID model to empirically test the impact of the CSRC random inspection on the information efficiency of the capital market by manually collecting the data of the CSRC random inspection of listed companies.The research results show that the CSRC random inspection can significantly reduce the stock price synchronicity and improve the information efficiency of the capital market.A series of robustness tests still support this conclusion.By revealing the mechanism of action,it is found that CSRC random inspection can improve the company's attention in the market,exert a supervisory effect,and directly or indirectly improve the information efficiency of the capital market.Further analysis finds that the effect of CSRC random inspections on stock price synchronicity is more significant in areas with jurisdiction implementation plans,sampling without replacement,low marketization,poor business environment,and non-state-owned enterprises.The conclusion provides new evidence that government regulatory behavior can improve the information efficiency of the capital market,and provides policy inspiration for the further implementation of the random inspection system of the CSRC.
作者
武龙
周杨
杨柳
Wu Long;Zhou Yang;Yang Liu(Institute of Business Administration,Henan University,Kaifeng,475004;Business School,Henan University,Kaifeng,475004)
出处
《珞珈管理评论》
2023年第3期89-110,共22页
Luojia Management Review
基金
国家社会科学基金“银行驱动下的我国企业信贷留存行为及其治理研究”(项目批准号:21BGL099)。
关键词
资本市场信息效率
证监会随机抽查
私有信息
监督效应
Information efficiency of the capital market
CSRC random inspection
Private information
Supervision effect
