摘要
本文采用分笔交易的高频数据研究了股权结构对指令驱动的连续竞价市场中流动性和非对称信息的影响。研究表明,机构投资者对股票流动性有正的影响,且机构投资者能够显著减少交易过程的信息不对称程度,从而降低流动性成本。以国有股权和法人股权为代表的公司内部人对股票流动性没有显著影响,但能够降低交易过程的信息不对称程度,对减少流动性成本有积极作用。上市公司持股比例越分散,信息不对称程度越低,流动性成本越低。
By means of high frequency data, the paper studies the influence of shareholder structure on liquidity and asymmetry information of continuous trading market. We find that institution investors can put positive impact on stock liquidity and can significantly reduce the asymmetry information of stock trade and reduce the liquidity cost; insider shareholders don°Фt have impact on stock liquidity, but they can decrease asymmetry information in the market; the more decentralization of shareholding of listed companies, the lower the asymmetry information and liquidity costs.
出处
《经济管理》
CSSCI
北大核心
2008年第8期10-17,共8页
Business and Management Journal ( BMJ )
基金
中国博士后基金“分割资本市场微观结构的行为金融分析”(20070410209)
关键词
股权结构
流动性
非对称信息
股票价格
shareholder structure
liquidity
asymmetry information
stock prices
