新三板精选层提高市场流动性和股价信息效率了吗?

Does the Tier Select of Neeq Promote Market Liquidity and Stock Pricing Information Efficiency?

市场流动性和股价信息效率是证券市场质量的重要体现.文章以2020年7月27日新三板市场设立精选层这一市场结构改革为背景,采用渐进双重差分方法研究了精选层设立对其挂牌公司股票流动性和定价效率的影响.研究发现,转入精选层的挂牌公司其股票流动性和股价信息效率得到显著提升,设立精选层等改革举措通过完善信息披露机制、提高市场流动性从而改善股价信息效率.进一步研究表明,信息不对称程度较低、市值规模较大的公司股价信息效率显著提高,而信息不对称程度较高、市值规模较小的公司股价信息效率并未发生显著变化,股票价格更多反映了市场和行业收益特征,并未充分吸收公司特质信息,表现为个股联动、股价同涨同跌.考虑到精选层挂牌公司大多为中小型高科技企业,而做市商为专业做市机构,具备为高科技企业股票定价的能力.因此,在精选层连续竞价交易机制基础之上,实施混合做市交易机制,能够进一步改善市场流动性,提高股价信息效率.

Market liquidity and stock pricing information efficiency reflect the quality of a security market.Based on the background the tier Select of NEEQ(National Equities Exchange and Quotations)launched on July 27,2020,this paper adopts the staggered difference-in-difference to study the effects on the stock liquidity and pricing information efficiency.It is found that,stock liquidity and pricing information efficiency of firms listed on the tier Select are significantly improved.The establishment of the tier Select,the improvement of information disclosure mechanism,and a series of reforms have significantly promoted the stock pricing information efficiency through channels such as increasing market transactions and reducing information asymmetry.The further study demonstrates that the stock pricing information efficiencies of firms with lower information asymmetry and higher market capitalization have been significantly improved.While,for those firms with high degree of information asymmetry or lower market capitalization,their stock pricing efficiencies nearly have remained invariant.Stock price reflects more of the characteristics of market and industry,but absorbs less of its idiosyncratic information.There exhibits comovement,and stock price synchronizes to rise and fall.Considering most of listed firms in the tier Select are small and medium-sized high-tech enterprises,and the market makers are professional market-making institutions,they have the ability to price the stocks of high-tech enterprises.Therefore,based on the continuous auction mechanism on the tier Select,implementing a hybrid market-making mechanism can further improve market liquidity and stock pricing information efficiency.