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依据我国证券市场订单驱动连续竞价交易机制,在引入信息结构的基础上建立实证模型,研究中国证券市场信息结构的特征,并考察特定信息结构对价格形成的影响。结果表明:(1)由于信息披露制度和投资者构成比例的不同,我国证券市场与国外成熟资本市场相比信息分布更小、信息组成更大;(2)信息结构各方面对资产价格发现有显著的影响,信息分布和公开信息准确性对价格发现具有显著的负向影响,而信息组成对价格发现具有显著的正向影响。
Based on the order-driven continuous bidding trading mechanism in China’s securities market, we establish an empirical model based on the introduction of information structure, study the characteristics of information structure in China’s securities market, and examine the impact of specific information structure on price formation. The results show that: (1) Due to the different information disclosure system and the proportion of investors, the information distribution of our securities market is smaller and the information composition is larger than that of foreign mature capital markets; (2) The distribution of information and the accuracy of public information have a significant negative impact on price discovery, while the information composition has a significant positive impact on price discovery.