中国股市透明度提高对市场质量影响的实证分析

Empirical Study on the Effects of Transparency in Chinese Stock Market

在股票市场的机制设计中,透明度即交易信息的披露程度是一个非常重要的方面。合理的透明度可以优化市场中相关信息的传递方式,并改善交易者的信息结构,有利于证券形成更加合理的价格,并进而提高市场的整体质量。2003年12月8日,中国股市信息披露规则发生变化,买卖盘揭示范围由3个最优报价扩大为5个,市场透明度显著提高。本文通过实证分析,较为全面地考察了透明度提高对深圳A股市场质量带来的影响。结果表明,透明度提高之后,市场的流动性明显上升,交易成本和市场波动性则显著下降,市场的信息传递效率也有所提高。这一切都表明,透明度的提高显著地改善了股票市场的整体质量。

Transparency is very important in the design of stock market mechanism. A reasonable transparency can optimize the information diffusing and improve the information structure so that leads to more reasonable stocks prices and a better market quality. On Dec 8th, 2003, the rules of information disclosure of Chinese stock market were changed, and the transparency was largely increased. In this paper, a comprehensive empirical study is given to analyze the effects of transparency on the market quality of Shenzhen A share market. The results show that after the increase of transparency, there is an obvious increase of market liquidity and decrease of transaction cost as well as market volatility. At the same time, the informational efficiency increases to some extent. A conclusion is drawn that the increase of transparency can improve the market quality largely.