全流通背景下公司透明度与市场综合流动性——基于高频交易数据的分析  

Corporate Transparency and Market Integrated Liquidity Under the Background of Full Circulation——An Analysis Based on High Frequency Transaction Data

作　　者：李扬 张肖飞 

机构地区：[1]河南财经政法大学会计学院,河南郑州450046

出　　处：《经济经纬》2017年第6期117-121,共5页Economic Survey

基　　金：国家社会科学基金项目(16BGL050);国家自然科学基金项目(71101044);河南省科技厅软科学项目(152400410099);河南教育厅人文社会科学研究项目(2015-GH-270);教育部人文社会科学研究规划基金项目(15YJA790086)

摘　　要：流动性是资源配置效率的关键,而信息透明度则是影响流动性的重要因素。利用高频交易数据,运用主成分分析法从买卖价差、市场深度、换手率等指标建构综合流动性,运用会计信息透明度和内部信息透明度构建综合信息透明度,研究公司综合信息透明度对流动性的影响。研究发现:公司综合信息透明度能够显著提升市场流动性,其影响机制在于通过降低逆向选择成本中的信息成本和交易成本。Liquidity is the key to resource allocation efficiency and information transparency is an important factor affecting liquidity. Using high frequency transaction data while adopting the method of principal component analysis, this paper extracts integrated liquidity from indexes such as bid-ask spread, market depth and turnover, as well as integrated transparency from that of accounting information and that of internal information. It then studies the effects of integrated information transparency on market liquidity. Results show that integrated information transparency can significantly improve market liquidity through the mechanism of reducing information costs and transaction costs in reverse selection costs.

关 键 词：公司透明度 综合流动性 市场质量 

分 类 号：F830.9[经济管理—金融学]