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股市透明度与价格发现效率:指令不平衡驱动视角 预览 被引量:1

The Impact of Stock Market Transparency on Price Discovery Efficiency: An Order Imbalance Perspective Analysis
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摘要 本文以沪市A股上市公司为研究样本,选择沪市透明度改革前后两个窗口期作为研究期间,运用高频数据,从指令不平衡视角研究了股市信息透明度对价格发现效率的影响。研究发现,股票市场透明度提高后,指令不平衡程度加剧,其对收益预测能力也显著下降。这表明股票市场透明度的提高加剧了指令不平衡程度,减弱了指令不平衡对收益预测能力,进而导致价格发现效率降低,影响市场资源配置效率,市场质量降低。 This paper studies the stock market transparency' s impact on the price discovery efficiency from order imbalance perspective, selecting A share listed companies as research sample, and two windows before and after the event as research period, by using Trade and Quote data, based on the improvement of open call auction transparency in Shanghai Stock Exchange. The results show that the degree of order imbalance is intensified and the predict power of order imbalance on the current and next period return is decreased significantly in the post - event period. This means that the order imbalance is exacerbated after the open call auction transparency was increased, which decreased the predict power of order imbalance on return directly, and decreased the price discovery efficiency. The market quality is decreased to some extent.
作者 张肖飞 Xiaofei Zhang
出处 《南方经济》 CSSCI 2012年第12期56-68,共13页 South China journal of Economy
基金 本文研究得到国家自然科学基金(71101044)、教育部人文社会科学研究青年基金(11YJC790288)和河南财经政法大学会计学博士点建设学术团队项目资助.
关键词 股票市场透明度 指令不平衡 价格发现效率 Stock market transparency Order imbalance Price discovery efficiency
作者简介 张肖飞,河南财经政法大学会计学院,Email:shawfee@163.com,通讯地址:河南省郑州市文化路80号河南财经政法大学会计学院,邮政编码:450002。
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