年度报告的发布对买卖报价差日内变动模式的影响研究

Research on the Disclosure of Annual Reports' Impaction on the Components of Bid-ask Spreads

针对上海这样一个指令驱动的股票市场,研究了年度报告的发布对买卖报价价差各组成成分日内变动模式的影响,旨在了解信息在中国股票市场的传播过程。研究结果表明年度报告作为中国投资者重要的信息来源,其发布改变了信息在投资者之间的分布格局,并且大部分投资者仍不成熟,对盈余信息的变化反应不够迅速。

Annual reports＇ influence on the components of bid - ask spreads was investigated for the order - driven stock market in Shanghai, which aims at understanding the process of information diffusion in our native stock market. The empirical results show that annual reports, as one of the most important information sources, can change the distribution of the information among the investors, and most of the investors arc still immature, whose reaction is not quick enough to the earning information..