中国股票市场公开信息与私有信息的互补效应

The Supplementary Effect Between Public and Private Information in China Stock Market

已有的一些理论和实证研究表明,公开信息和私有信息之间存在两种不同的关系——替代效应和互补效应。本文采用非参数方法,以交易的信息环境和交易规模作为不对称信息的度量,考察了中国股票市场上信息披露的价格和流动性效应,在此基础上分析了公开信息和私有信息的关系。信息披露的价格和流动性效应表明,我国股票市场上公开信息和私有信息存在互补效应,信息披露并没有减少不对称信息。

Although disclosure affects stock information structure, its effect is diverse. Increasing disclosure may not reduce information asymmetry and the cost of capital. Some theoretical and empirical research indicated that there are two kinds of relations between public information and private information： substitute effect and supplementary effect. Using information environment and trading volume as a measure of information asymmetry, the effects of asymmetric information on prices and liquidity in China stock market is investigated in this article by a non-parameter method, and the relation between public and private information is analyzed based on this. The effect of asymmetric information on prices and liquidity suggests that there is a supplementary effect between public and private information in China stock market, disclosure has not reduced asymmetric information.