天堂国产午夜亚洲专区-少妇人妻综合久久蜜臀-国产成人户外露出视频在线-国产91传媒一区二区三区

當(dāng)前位置:主頁 > 管理論文 > 證券論文 >

公司治理與股票市場信息不對稱、流動性的關(guān)系研究

發(fā)布時間:2018-07-18 08:45
【摘要】:股票市場的信息不對稱和流動性一直以來是政府監(jiān)管部門和投資者都非常關(guān)注的問題。政府監(jiān)管部門關(guān)心如何降低股票市場信息不對稱進(jìn)而提高市場交易的公平性,以及如何提高股票市場的流動性;投資者最關(guān)心的是投資收益,而信息不對稱會導(dǎo)致非知情交易者與知情交易者交易時發(fā)生虧損,流動性影響交易成本,兩者都影響投資者的投資收益。因此大量國內(nèi)學(xué)者對信息不對稱及流動性進(jìn)行了研究。然而國內(nèi)學(xué)者對信息不對稱的研究主要集中在信息不對稱如何定量測度、信息不對稱與股票流動性、股票波動性的關(guān)系、信息不對稱的日內(nèi)特征。也就是國內(nèi)主要研究的是信息不對稱本身(如何測度)或者其結(jié)果(與股票流動性的關(guān)系),而沒有系統(tǒng)的研究信息不對稱的真正的成因是什么。本文認(rèn)為公司治理會影響經(jīng)理層與股東的信息不對稱、控股股東與中小股東的信息不對稱,從而從公司治理的角度來研究信息不對稱的成因,探討公司治理與信息不對稱、流動性的關(guān)系。 本文的研究主要集中在兩個方面,首先,用Easley、Kiefer、O'Hara和Paperman (1996)的模型來測度知情交易者比例(PIN),用Huang and Stoll (1997)的模型來測度買賣價(jià)差的信息不對稱部分(AS),用吳沖鋒等(2003)的測度股票流動性的方法構(gòu)建了測度股票流動性的指標(biāo),并運(yùn)用中國股票市場分筆交易的超高頻數(shù)據(jù),定量的測度了信息不對稱(PIN、AS)、流動性。其次,以中證800成分股為樣本,首先利用多元回歸模型實(shí)證研究了公司治理對信息不對稱、流動性的單向影響,然后利用聯(lián)立方程組模型并用三階段最小二乘法的計(jì)量方法實(shí)證研究了公司治理與信息不對稱、流動性可能存在的雙向關(guān)系。 多元回歸的實(shí)證結(jié)果表明,公司治理的變量確實(shí)影響到股票市場信息不對稱、流動性。經(jīng)理層激勵和監(jiān)事會維度下的變量與信息不對稱正相關(guān),經(jīng)理層激勵與監(jiān)事會在提高公司治理效率,降低信息不對稱方面沒有發(fā)揮其應(yīng)有的作用;董事會效率維度下的總經(jīng)理和董事長兼職會提高信息不對稱,股權(quán)結(jié)構(gòu)維度下的第一大股東持股比例與信息不對稱程度正相關(guān),第一大股東持股比例越高,信息不對稱程度越高;第一大股東性質(zhì)為國有能降低信息不對稱程度;只有股權(quán)結(jié)構(gòu)維度下的變量與流動性顯著相關(guān),第一大股東性質(zhì)為國有能提高股票流動性;機(jī)構(gòu)投資者持股比例越高,股票流動性越好。聯(lián)立方程組的模型表明公司治理與股票流動性之間確實(shí)存在雙向關(guān)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.
【學(xué)位授予單位】:復(fù)旦大學(xué)
【學(xué)位級別】:碩士
【學(xué)位授予年份】:2012
【分類號】:F832.51;F276.6;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 陳湘永,張劍文,張偉文;我國上市公司“內(nèi)部人控制”研究[J];管理世界;2000年04期

2 張祥建;徐晉;;股權(quán)再融資與大股東控制的“隧道效應(yīng)”——對上市公司股權(quán)再融資偏好的再解釋[J];管理世界;2005年11期

3 攀登;施東暉;;知情交易概率的測度模型及其影響因素分析[J];管理世界;2006年06期

4 程書強(qiáng);;機(jī)構(gòu)投資者持股與上市公司會計(jì)盈余信息關(guān)系實(shí)證研究[J];管理世界;2006年09期

5 張宗新;;內(nèi)幕交易行為預(yù)測:理論模型與實(shí)證分析[J];管理世界;2008年04期

6 徐二明;張晗;;上市公司董事會監(jiān)督機(jī)制替代效應(yīng)對績效影響的實(shí)證研究[J];經(jīng)濟(jì)理論與經(jīng)濟(jì)管理;2006年10期

7 周建波,孫菊生;經(jīng)營者股權(quán)激勵的治理效應(yīng)研究——來自中國上市公司的經(jīng)驗(yàn)證據(jù)[J];經(jīng)濟(jì)研究;2003年05期

8 諶新民,劉善敏;上市公司經(jīng)營者報(bào)酬結(jié)構(gòu)性差異的實(shí)證研究[J];經(jīng)濟(jì)研究;2003年08期

9 于東智,池國華;董事會規(guī)模、穩(wěn)定性與公司績效:理論與經(jīng)驗(yàn)分析[J];經(jīng)濟(jì)研究;2004年04期

10 白重恩,劉俏,陸洲,宋敏,張俊喜;中國上市公司治理結(jié)構(gòu)的實(shí)證研究[J];經(jīng)濟(jì)研究;2005年02期

,

本文編號:2131369

資料下載
論文發(fā)表

本文鏈接:http://www.sikaile.net/guanlilunwen/zhqtouz/2131369.html


Copyright(c)文論論文網(wǎng)All Rights Reserved | 網(wǎng)站地圖 |

版權(quán)申明:資料由用戶15b90***提供,本站僅收錄摘要或目錄,作者需要刪除請E-mail郵箱bigeng88@qq.com