股权结构和信息非对称:中国股市的经验证据

Ownership Structure and Information Asymmetry:Evidence from China's Stock Market

本文首先采用1分钟的高频数据和MRR(Madhavan,Richardson & Roomans,1997)模型测算出沪深股市的信息非对称程度;然后引入上市公司的股权结构因素,实证分析了股权结构对市场信息非对称程度的影响。研究结果表明:内部人持股比例、流通股比例、股价及成交量与信息非对称程度呈正相关关系;机构持股比例、股权集中度、管理层持股比例及股权转让比例与信息非对称程度呈负相关关系。文章在实证研究的基础上,提出了相关政策建议。

By means of high-frequency data,we firstly measure the degree of information asymmetry in China＇s stock market using the techniques of Madhavan,Richardson and Roomans（1997）.Then we analyze the influence of ownership structure on information asymmetry.The conclusion shows that insider shareholders,circulating shares,price and volume have positive impact on information asymmetry,while institution investor,the degree of concentration of shareholders,manager shareholders and the transfer of shares have negative pact on information asymmetry.Based on our empirical results,we finally give some policy recommendations.