控制权转移中的信息泄露:市场微观结构的分析视角

Information Leaks before Control Transfer:A View based on Market Micro Structure

本文从市场微结构的视角,利用上市公司的高频分笔交易数据,以控制权转移事件中的目标公司为研究对象,分析宣告日前目标公司是否存在信息泄露的现象。本文的研究发现宣告日前后的买卖价差、交易量等指标显著提高,同时在宣告日前的事件窗口中,买卖价差与交易量之间显著正相关,证实了在控制权转移事件中,宣告日前确实存在着信息泄露。此外本文的研究表明不能以股价的上涨作为判断信息泄露的标志。

This paper tests whether the information leaks before the announcement of the control transfer events using the high fre- quency based on a market micro structure view. We find that both the bid - ask spread and the trading volume of the event window are significantly higher than that of the reference window. Furthermore, within the event window the bid - ask spread is positively correlated with the trading volume which verifies the information indeed leaks. These findings show that growing stock price is not a perfect sign of information leaking.