The transaction-level analysis of security price changes by Madhavan,Richardson,and Roomans(1997,hereafter MRR)is a useful framework for financial analysis.The first-order Markov property of trading indicator variable...The transaction-level analysis of security price changes by Madhavan,Richardson,and Roomans(1997,hereafter MRR)is a useful framework for financial analysis.The first-order Markov property of trading indicator variables is a critical assumption in the MRR model,which contradicts the information lag empirically demonstrated in high-frequency trading processes.In this study,a nonparametric test is employed,which shows that the Markov property of the trading indicator variables is rejected on most trading days.Based on the spread decomposed structure,an MA-MRR model was proposed with a moving average structure adopted to absorb the information lag as an extension.The empirical results show that the information lag plays an important role in measuring the adverse selection risk parameter and that the difference in this parameter between the original and the extension is significant.Furthermore,our analysis suggests that the information lag parameter is a useful measure of the average speed at which information is incorporated into prices.展开更多
This study examines the effect of corporate ownership on information asymmetry as measured by bid-ask spread in the emerging markets of China. Government ownership has significant and positive impacts on bid-ask sprea...This study examines the effect of corporate ownership on information asymmetry as measured by bid-ask spread in the emerging markets of China. Government ownership has significant and positive impacts on bid-ask spread during the period 1995-2000, but disappears afterward during 2001-2003. The finding that state ownership raised bid-ask spread in the early period is consistent with recent studies on emerging markets including China, which indicate that firms with higher state ownership tend to have a greater deviation between cash flow rights and control rights(eg, Wei et al., 2005). This implies that lower state ownership is associated with lower information asymmetry in the market, an economic consequence of significant economic reform and privatization regarding the market microstructure. However, with more active control transfers andemergence of private controlling shareholders, regulatory changes in ownership structure and corporate governance mechanisms, and thus an improved legal and institutional environment, the link between the government ownership and information asymmetry turns to be insignificant in the later period. These results have important implications for transparency and information disclosure policies as well as privatization in emerging markets.展开更多
基金supported by the National Natural Science Foundation of China(Grant number:71771008)Science and Technology Support Plan of Guizhou(Grant No.2023-221)the Funds for the First-class Discipline Construction(XK 1802-5).
文摘The transaction-level analysis of security price changes by Madhavan,Richardson,and Roomans(1997,hereafter MRR)is a useful framework for financial analysis.The first-order Markov property of trading indicator variables is a critical assumption in the MRR model,which contradicts the information lag empirically demonstrated in high-frequency trading processes.In this study,a nonparametric test is employed,which shows that the Markov property of the trading indicator variables is rejected on most trading days.Based on the spread decomposed structure,an MA-MRR model was proposed with a moving average structure adopted to absorb the information lag as an extension.The empirical results show that the information lag plays an important role in measuring the adverse selection risk parameter and that the difference in this parameter between the original and the extension is significant.Furthermore,our analysis suggests that the information lag parameter is a useful measure of the average speed at which information is incorporated into prices.
文摘This study examines the effect of corporate ownership on information asymmetry as measured by bid-ask spread in the emerging markets of China. Government ownership has significant and positive impacts on bid-ask spread during the period 1995-2000, but disappears afterward during 2001-2003. The finding that state ownership raised bid-ask spread in the early period is consistent with recent studies on emerging markets including China, which indicate that firms with higher state ownership tend to have a greater deviation between cash flow rights and control rights(eg, Wei et al., 2005). This implies that lower state ownership is associated with lower information asymmetry in the market, an economic consequence of significant economic reform and privatization regarding the market microstructure. However, with more active control transfers andemergence of private controlling shareholders, regulatory changes in ownership structure and corporate governance mechanisms, and thus an improved legal and institutional environment, the link between the government ownership and information asymmetry turns to be insignificant in the later period. These results have important implications for transparency and information disclosure policies as well as privatization in emerging markets.
