摘要
运用事件研究法,通过考察盈余公告前后市场流动性变化来检验中国深交所2006年颁布的公平披露政策的实施效果。考虑到指令驱动市场和报价驱动市场的不同,除了利用买卖价差指标外,还运用交易频数等反映市场交易活跃度的变量从市场微观结构对市场的流动性进行检验。研究发现,公平披露政策实施后,盈余公告前市场交易活跃度和买卖价差下降了,这说明公平披露政策在一定程度上发挥了作用。
This paper focuses on fair disclosure（FD） rule issued by Shenzhen Stock Exchange in 2006 and examines the efficacy of the rule based on the liquidity change around the earnings announcement by event study method.Considering differences between Quote-Driven Market and Order-Driven Market,the study examines the market liquidity from the microstructure by using the trading activity index such as trade frequency besides the bid-ask.The result shows that the market trading activities and the bid-ask are decreased before the earnings announcement,which provides the evidence that the FD rule has efficacy to some extent.
出处
《财贸研究》
CSSCI
2010年第6期105-111,共7页
Finance and Trade Research
基金
教育部人文社会科学重点研究基地重大项目"上市公司财务信息披露质量研究"(批准号:07JJD630009)资助
关键词
选择性信息披露
公平披露
信息不对称
流动性
selective information disclosure
fair disclosure
information asymmetry
liquidity
