信息披露制度的市场效应分析——来自中国证券市场的经验证据

Analysis of Market Effect on Information Disclosure System:Empirical Evidence from Chinese Securities Market

本文基于LMSW的理论框架,首次从信息披露制度的角度,将整个样本期划分为8个时间段,分段考察证券市场信息披露制度的市场效应,并为建立信息披露制度市场效应判别体系提供思路。实证结果显示,在1997、1999、2000、2006、2007子样本期内,信息披露制度市场效应显著,能够显著降低市场的信息不对称程度。本文对私人信息交易度C2的影响因素也进行了分析,发现C2与证券市场走势成反向关系,国家最高立法部门和证监会制定的制度对降低C2系数具有较大的影响,证券交易所对证券市场信息不对称的影响是直接而且效果显著的。

Based on the theory frame of LMSW,this paper from the angle of information disclosure systems first time,by dividing the whole sample period into eight parts,researches the market effects of securities market information disclosure systems,and provides ideas for identification system.Empirical research results show that the market effects of information disclosure systems are prominent and can decrease the degree of market information asymmetry in 1997,1999,2000,2006 and 2007 sample periods.This paper also analyzes the elements which affect the degree of private information dealing.This paper finds that there is reverse relationship between C2 and the securities market trends,and the systems constituted by the supreme legislation department and stock supervisory committee have great impact on decreasing the index C2,and stock exchange has direct and prominent impact on the information asymmetry of securities market.