从个股流动性看信息透明度与股价同步性

发布时间：2018-01-04 00:31

本文关键词：从个股流动性看信息透明度与股价同步性　出处：《会计之友》2017年17期 　论文类型：期刊论文

【摘要】：通过我国A股上市公司的数据分析,采用固定效应方法,控制行业和年度效应,经实证检验发现个股流动性与股价同步性呈正相关关系。这是因为一方面流动性越大则促进了股票交易,导致股票价格反映私有信息程度变化;另一方面是流动性加大则会改善企业信息透明度。进一步的研究发现:随着我国股权分置改革的完成,流通股数量增加,个股流动性增强,进而使得这种关系加强。文章的主要贡献在于,一是把市场微观结构的理论概念——流动性和公司财务领域的现象——股价同步性相结合起来进行研究,有助于两者的进一步融合;二是根据我国股权分置改革的准自然实验,对该关系做了进一步的检验,不但有助于检验股权分置改革的实施效果,更是为未来探索股价同步性提供了一种新的思路。
[Abstract]:Through the data analysis of A-share listed companies in China, the fixed effect method is used to control the industry and annual effects. It is found that there is a positive correlation between the liquidity of individual stock and the synchronicity of stock price. This is because on the one hand, the greater the liquidity is, the more liquidity promotes the stock trading, which leads to the change of the degree of private information reflected in the stock price. On the other hand, the increase of liquidity will improve the transparency of enterprise information. Further research found: with the completion of the reform of the split share structure, the number of outstanding shares increased, and the liquidity of individual stocks increased. The main contribution of this paper is to combine the theoretical concept of market microstructure-liquidity with the phenomenon of corporate finance-stock price synchronism. Facilitate further integration of the two; Second, according to the quasi-natural experiment of the split share structure reform in China, the further test of this relationship is not only helpful to test the effect of the reform. It also provides a new way to explore the synchronism of stock price in the future.
【作者单位】：郑州煤炭工业(集团)有限责任公司;
【分类号】：F832.51
【正文快照】： 一、引言市场作为一种信息传导机制,其最为重要的一个功能就是将汇总到市场上的信息反映到价格之中,进而通过价格引导资源的配置。股票价格这种引导资源配置的作用取决于其反映公司真实信息的能力。相对于欧美市场,作为新兴市场的中国股票市场,股票价格往往包含着较大的噪音,

【相似文献】