沪深两市信息非对称程度及其对比:基于MRR方法的经验研究  

Comparative Analysis of Degree of Information Asymmetry between Shanghai Stock Exchange and Shenzhen Stock Exchange:An Empirical Study Based on MRR Model

作　　者：田存志[1] 张飞[1] 

机构地区：[1]暨南大学经济学院,广东广州510632

出　　处：《南方金融》2009年第10期50-54,共5页South China Finance

基　　金：国家社科项目"机构投资者对中国股市波动的作用与机制研究"(项目编号:07CJL01);暨南大学人文社科引进人才项目"指令驱动市场中信息非对称程度和隐性交易成本的估计理论及经验研究"(项目编号:2009JSYJ002)的阶段性成果

摘　　要：本文采用Madhavan,Richarson and Roomans(1997)模型对沪深两市A股市场的信息非对称程度进行了经验比较。首先将隐性价差分解为逆向选择成本和指令处理成本两部分,然后以隐性价差中逆向选择成本所占的比重作为市场信息非对称程度的衡量指标,最后以该衡量指标实证比较了沪深两市的信息非对称的日内变动模式和大小。经验分析表明,沪市信息非对称程度的日内变动模式呈倒"U"形,而深市信息非对称程度的日内模式无明显规律;与沪市类似,深市信息非对称在开盘初期呈上升趋势和午市连续竞价的末期呈下降趋势;沪市的信息非对称程度在大多数交易时段要大于深市。This paper conducts an empirical study by adopting the estimation method proposed by Madhavan, Richarson and Roomans（1997） to decompose implicit transaction cost into adverse selection cost and order processing cost and to use the ratio of adverse selection cost to the implicit spread as measure of the degree of information asymmetry of A shares listed on Shanghai Stock Exchange（SSE） and Shenzhen Stock Exchange（SZE）. The results deriving from comparison between SSE and SZE indicate that the intraday pattern of the degree of information asymmetry of SSE demonstrates a reversed U-shaped curve while the pattern of SZE seems ambiguous. As with the SSE, the intraday curve of SZE ascends at the start of the morning session and descends at the end of the afternoon session. The degree of information asymmetry of SSE is stronger than that of SSE in most of the time intervals of the continuous trading session.

关 键 词：逆向选择成本 信息非对称程度 日内模式 

分 类 号：F224[经济管理—国民经济] F832.51