摘要
自中国股票市场诞生始,分析中国上市公司信息披露制度的变迁历程,考察公司信息披露质量的变化对股票市场有效性的影响,发现:中国股市尚属噪声环境市场,但随着信息披露制度逐渐完善,上市公司信息披露质量逐步提升,股票市场的有效性也逐步提高。总体上,我国股价同步性与公司信息披露质量正相关,市场有效性差。然而,随时间推移与披露制度的完善,公司会计信息质量与股价同步性的正相关关系有减弱趋势,表明提高会计信息质量有助于排除投资者决策的不确定性,提高公司特质信息在股票定价中的含量。进一步研究表明,机构投资者的发展与市场参与有助于增强市场中依据信息进行的理性交易,减少噪音交易,促进市场有效。
This paper investigates the impacts of changes in the quality of corporate information disclosure on the stock market efficiency over a long period which starts from the birth of Chinese stock market, based on the analysis of the evolution of Chinese listed companies information disclosure system. It is found that the Chinese stock market is still a noisy market, but with the gradual improvement of information disclosure system, both the quality of information disclosure of listed companies and the stock market efficiency have improved step by step. Generally speaking, the synchronization of stock prices in China is positively related to the quality of corporate information disclosure, which means poor market efficiency. However, as time went by and with the improvement of disclosure system, the positive correlation between accounting information quality and stock price synchronization tends to weaken, which indicates that improving accounting information quality can not only help eliminate the uncertainty of investor decision making, but also increase the content of company specific information in stock pricing. Further research shows that the development and participation of institutional investors are conducive to rational trading based on information in the market, noisy trade reduction and market efficiency.
作者
张程睿
徐嘉倩
ZHANG Cheng-rui;XU Jia-qian
出处
《华南师范大学学报（社会科学版）》
CSSCI
北大核心
2019年第4期75-86,I0002,共13页
Journal of South China Normal University：Social Science Edition
关键词
信息披露制度变迁
市场有效
股价同步性
信息披露质量
evolution of information disclosure system
stock market efficiency
synchronization of stock prices
information disclosure quality
