不对称信息、交易成本与投资者保护:内地(中国大陆)和香港的比较研究

Asymmetric Information, Transaction Cost and Investor Protection: Comparison of Mainland and Hong Kong...

投资者保护环境的建设是我国证券市场发展中一项重要任务,投资者保护环境欠佳会降低股票交易的流动性,提高交易成本。但是研究中由于无法排除市场本身的差异,我们往往很难度量我国的投资者保护环境与发达市场经济国家和地区的差异。本文选取在香港证券交易所上市交易的中国大陆公司股票和香港本地公司股票,对比分析两地股票在交易中的不对称信息成本。在同一市场结构下,我们发现中国大陆公司股票的不对称信息成本大约是香港本地公司股票的两倍,而且在排除股票交易活动变量和市值的影响后,这个效应依然显著。进一步的检验发现,上述效应并非只限于大陆政府相关的公司,因而排除了国家参与的治理结构导致信息不对称增大的可能性。本文的结论认为中国大陆较差的投资者保护环境导致了大陆股票在交易中较大的信息不对称成本。

A healthily investor protection is an important pursuit in the development of capital markets. Poor investor protection leads to lower liquidity in stock trading, consequently raising transaction costs. In the research, however, the difficulty in separating effects of investor protection from effects of market mechanism makes it tough to directly measure the differences in investor protection of China and of other developed countries. In this paper, the authors select China's Mainland - based stocks and Hong Kong - based stocks from the same market, the Hong Kong Security Exchange, and compare the asymmetric information cost of China's Mainland - based stocks with that of Hong Kong -based stocks. Hie cost of asymmetric information is shown to be twice as much for China's Mainland - based stocks as for Hong Kong - based stocks. The effect remains even controlling for trading variables and market capitalization. The possibility that the effect is caused by government - related ownership also is ruled out. Based on the empirical analysis, the conclusion is that the poor investor protection in China's Mainland causes,the high costs of information asymmetry in trading of China's Mainland - based stocks.