【摘要】：股票市場(chǎng)的信息不對(duì)稱和流動(dòng)性一直以來(lái)是政府監(jiān)管部門和投資者都非常關(guān)注的問(wèn)題。政府監(jiān)管部門關(guān)心如何降低股票市場(chǎng)信息不對(duì)稱進(jìn)而提高市場(chǎng)交易的公平性,以及如何提高股票市場(chǎng)的流動(dòng)性；投資者最關(guān)心的是投資收益,而信息不對(duì)稱會(huì)導(dǎo)致非知情交易者與知情交易者交易時(shí)發(fā)生虧損,流動(dòng)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(guó)內(nèi)學(xué)者對(duì)信息不對(duì)稱及流動(dòng)性進(jìn)行了研究。然而國(guó)內(nèi)學(xué)者對(duì)信息不對(duì)稱的研究主要集中在信息不對(duì)稱如何定量測(cè)度、信息不對(duì)稱與股票流動(dòng)性、股票波動(dòng)性的關(guān)系、信息不對(duì)稱的日內(nèi)特征。也就是國(guó)內(nèi)主要研究的是信息不對(duì)稱本身(如何測(cè)度)或者其結(jié)果(與股票流動(dòng)性的關(guān)系),而沒(méi)有系統(tǒng)的研究信息不對(duì)稱的真正的成因是什么。本文認(rèn)為公司治理會(huì)影響經(jīng)理層與股東的信息不對(duì)稱、控股股東與中小股東的信息不對(duì)稱,從而從公司治理的角度來(lái)研究信息不對(duì)稱的成因,探討公司治理與信息不對(duì)稱、流動(dòng)性的關(guān)系。 本文的研究主要集中在兩個(gè)方面,首先,用Easley、Kiefer、O'Hara和Paperman (1996)的模型來(lái)測(cè)度知情交易者比例(PIN),用Huang and Stoll (1997)的模型來(lái)測(cè)度買賣價(jià)差的信息不對(duì)稱部分(AS),用吳沖鋒等(2003)的測(cè)度股票流動(dòng)性的方法構(gòu)建了測(cè)度股票流動(dòng)性的指標(biāo),并運(yùn)用中國(guó)股票市場(chǎng)分筆交易的超高頻數(shù)據(jù),定量的測(cè)度了信息不對(duì)稱(PIN、AS)、流動(dòng)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(duì)信息不對(duì)稱、流動(dòng)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(duì)稱、流動(dòng)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(chǎng)信息不對(duì)稱、流動(dòng)性。經(jīng)理層激勵(lì)和監(jiān)事會(huì)維度下的變量與信息不對(duì)稱正相關(guān),經(jīng)理層激勵(lì)與監(jiān)事會(huì)在提高公司治理效率,降低信息不對(duì)稱方面沒(méi)有發(fā)揮其應(yīng)有的作用；董事會(huì)效率維度下的總經(jīng)理和董事長(zhǎng)兼職會(huì)提高信息不對(duì)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(duì)稱程度正相關(guān),第一大股東持股比例越高,信息不對(duì)稱程度越高；第一大股東性質(zhì)為國(guó)有能降低信息不對(duì)稱程度；只有股權(quán)結(jié)構(gòu)維度下的變量與流動(dòng)性顯著相關(guān),第一大股東性質(zhì)為國(guó)有能提高股票流動(dòng)性；機(jī)構(gòu)投資者持股比例越高,股票流動(dòng)性越好。聯(lián)立方程組的模型表明公司治理與股票流動(dòng)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(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F276.6;F224

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