信息不对称、流动性与股权结构——基于深圳证券市场的实证研究  

The Empirical Research for the Relationship between Ownership Structure and Liquidity under the Influence of the Information Asymmetry

作　　者：屈文洲[1] 谢雅璐[2] 高居先[2] 

机构地区：[1]厦门大学管理学院 [2]厦门大学管理学院财务学系

出　　处：《南开管理评论》2011年第1期44-53,共10页Nankai Business Review

基　　金：国家自然科学基金项目(70772095;70632001);教育部新世纪优秀人才支持计划资助

摘　　要：以金融市场微观结构视角对股权结构进行研究的趋势正在兴起,本文从金融市场微观结构层面考察了在信息不对称影响下股权结构与流动性的关系,通过对在深圳证券交易所上市的2004年和2007年的样本公司研究发现,股权结构变量在2004年主要作用于信息成本来影响流动性水平,而2007年则主要通过改变交易成本来影响流动性水平。股改前的2004年,直接控股股东持股对交易成本无显著影响,而在股改后的2007年则显著增加了交易成本。随着基金的发展壮大,基金持股对流动性的影响逐渐显现,并一定程度上导致交易成本的增加。代表股权集中度的大股东个数则同时增加了信息成本和交易成本,损害了流动性水平。The trend of research on ownership structure with view of financial market microstructure is just rising;this article inves-tigates the relationship between ownership structure and liquidity with impact of information asymmetry at financial market micro-structure level,and sets foot on the theory and empirical study of relationship between ownership structure and liquidity.The article conducts a research work on Shenzhen Stock Exchange’s firms in 2004 and 2007 and finds that ownership structure influenced li-quidity mainly through the informational cost in 2004,but which influenced liquidity mainly through the trading cost.Before re-forming of non-tradable shares,Direct controlling shareholder had no impact on the trading cost,and after reforming of non-tradable shares,direct controlling shareholder increased the trading cost.With fund developing,fund gradually affect liquidity,and somehow increased trading cost.Numbers of block shareholder increased not only informational cost but also trading cost,and did harm to liquidity.

关 键 词：股权结构 流动性 信息不对称 

分 类 号：F224[经济管理—国民经济] F832.51