公司治理与股票市场信息不对称、流动性的关系研究

发布时间：2018-07-18 08:45

【摘要】：股票市场的信息不对称和流动性一直以来是政府监管部门和投资者都非常关注的问题。政府监管部门关心如何降低股票市场信息不对称进而提高市场交易的公平性,以及如何提高股票市场的流动性；投资者最关心的是投资收益,而信息不对称会导致非知情交易者与知情交易者交易时发生亏损,流动性影响交易成本,两者都影响投资者的投资收益。因此大量国内学者对信息不对称及流动性进行了研究。然而国内学者对信息不对称的研究主要集中在信息不对称如何定量测度、信息不对称与股票流动性、股票波动性的关系、信息不对称的日内特征。也就是国内主要研究的是信息不对称本身(如何测度)或者其结果(与股票流动性的关系),而没有系统的研究信息不对称的真正的成因是什么。本文认为公司治理会影响经理层与股东的信息不对称、控股股东与中小股东的信息不对称,从而从公司治理的角度来研究信息不对称的成因,探讨公司治理与信息不对称、流动性的关系。本文的研究主要集中在两个方面,首先,用Easley、Kiefer、O'Hara和Paperman (1996)的模型来测度知情交易者比例(PIN),用Huang and Stoll (1997)的模型来测度买卖价差的信息不对称部分(AS),用吴冲锋等(2003)的测度股票流动性的方法构建了测度股票流动性的指标,并运用中国股票市场分笔交易的超高频数据,定量的测度了信息不对称(PIN、AS)、流动性。其次,以中证800成分股为样本,首先利用多元回归模型实证研究了公司治理对信息不对称、流动性的单向影响,然后利用联立方程组模型并用三阶段最小二乘法的计量方法实证研究了公司治理与信息不对称、流动性可能存在的双向关系。多元回归的实证结果表明,公司治理的变量确实影响到股票市场信息不对称、流动性。经理层激励和监事会维度下的变量与信息不对称正相关,经理层激励与监事会在提高公司治理效率,降低信息不对称方面没有发挥其应有的作用；董事会效率维度下的总经理和董事长兼职会提高信息不对称,股权结构维度下的第一大股东持股比例与信息不对称程度正相关,第一大股东持股比例越高,信息不对称程度越高；第一大股东性质为国有能降低信息不对称程度；只有股权结构维度下的变量与流动性显著相关,第一大股东性质为国有能提高股票流动性；机构投资者持股比例越高,股票流动性越好。联立方程组的模型表明公司治理与股票流动性之间确实存在双向关系。
[Abstract]:Information asymmetry and liquidity in the stock market have long been the focus of government regulators and investors. Government regulators are concerned about how to reduce information asymmetry in the stock market and thus improve the fairness of trading in the stock market, as well as how to improve the liquidity of the stock market; investors are most concerned about the return on investment. The asymmetric information will lead to losses in the trading between uninformed traders and informed traders, and liquidity will affect transaction costs, both of which affect investors' investment returns. Therefore, a large number of domestic scholars have studied information asymmetry and liquidity. However, domestic scholars mainly focus on the quantitative measurement of information asymmetry, the relationship between information asymmetry and stock liquidity, stock volatility, and the intraday characteristics of information asymmetry. That is, information asymmetry itself (how to measure) or its result (relationship with stock liquidity) is mainly studied in China, but the real cause of information asymmetry is not systematically studied. This paper holds that corporate governance will affect the information asymmetry between managers and shareholders, and between controlling shareholders and minority shareholders. Therefore, from the perspective of corporate governance, this paper studies the causes of information asymmetry, and probes into the information asymmetry between corporate governance and information asymmetry. The relationship between liquidity. The research in this paper is mainly focused on two aspects. First of all, The paper uses the models of Easley's Kieferman (1996) to measure the proportion of informed traders (PINs), Huang and Stoll (1997) to measure the information asymmetry part of the spread of buying and selling price (as), and Wu's (2003) method to measure the liquidity of stocks. The UHF data of Chinese stock market are used to measure quantitatively the information asymmetry (Pinas) and liquidity. Secondly, taking the 800 component stock of China Stock Exchange as a sample, this paper empirically studies the unidirectional influence of corporate governance on information asymmetry and liquidity by using multiple regression model. Then we use the simultaneous equations model and the three-stage least square method to empirically study the bidirectional relationship between corporate governance and information asymmetry and liquidity. The empirical results of multiple regression show that the variables of corporate governance do affect the information asymmetry and liquidity in the stock market. The variables under the dimension of manager incentive and board of supervisors are positively related to information asymmetry, and managers incentive and board of supervisors do not play their due role in improving the efficiency of corporate governance and reducing information asymmetry; The part-time work of the general manager and the chairman of the board of directors can improve the information asymmetry, and the proportion of the largest shareholder in the ownership structure is positively related to the degree of information asymmetry, the higher the proportion of the largest shareholder is, the higher the degree of information asymmetry is. The higher the degree of information asymmetry is, the higher the degree of information asymmetry is, the first is that state-owned shareholders can reduce the degree of information asymmetry, only the variables in the dimension of ownership structure are significantly related to liquidity, and the first shareholder nature is that state-owned shareholders can improve the liquidity of stocks. The higher the shareholding ratio of institutional investors, the better the stock liquidity. The model of simultaneous equations shows that there is a bidirectional relationship between corporate governance and stock liquidity.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F276.6;F224

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