交易所信息披露对证券市场的价量影响研究
摘要
证券市场的健康发展离不开规范适度的信息披露。信息披露是建立公平、公正、公开市场秩序的重要手段之一,是实现投资者权益保护的重要前提,这对于我国尚未成熟的证券市场尤其重要。本文基于赢富数据,从理论和实证两方面研究了赢富数据的信息披露对证券市场的价量影响。本研究一方面有助于更深刻的了解中国证券市场的知情交易环境以及交易信息披露的市场效应,为建立适度规范的信息披露环境提供一定参考价值；另一方面也有助于加深对我国证券市场的理解,并借此为改善我国证券市场监管环境,为我国证券市场健康发展提供更多指导。
本文采用贝叶斯学习过程、经济学均衡分析及事件分析等研究方法,系统地研究了中国股票市场信息披露对证券市场的价量影响。论文主要工作结论如下：
(1)通过建立理性预期均衡模型,考察异质风险偏好下信息披露对资产价格和成交量的影响。本章的理论分析表明,股票信息披露程度的提高有利于降低市场中的信息不对称程度,从而降低市场的信息风险,导致股票的均衡期望收益降低。同时,当披露股票信息时,具有信息优势的知情交易者会减少自己购买股票的数量,而具有信息劣势的非知情交易者会增加自己购买股票的数量。
(2)利用赢富数据所提供的各个上证A股个股的前10名交易席位的交易量(包括买进和卖出数据),计算各个股票的买入和卖出集中度。并采用向量自回归法和事件分析法研究了买入和卖出集中度是否包含未来股价变动的信息。实证结果表明,买入和卖出集中度含有预测未来股价变动的信息。并且即使赢富数据公布数据存在延迟,投资者仍然可以利用延迟公布的信息获得未来股价变动的信息。
(3)通过实证研究了赢富数据信息披露对股票价格和普通投资者成交量的影响。我们将所考察的样本期划分为六个时间阶段,并分阶段研究投资者利用赢富数据所提供的交易量信息获得收益的能力。实证结果表明,信息披露后,股票简单收益率的变化趋势大致呈“U”型。投资者通过大额买入集中度获得正向收益的能力在前五个时间段逐渐降低,但在最后阶段受赢富数据即将下线的影响而有所反弹。另一方面,当股票卖出集中度较高时,股票简单收益率的变化趋势大致呈“L”型。在初始时处于较高水平,而在后面的阶段则处于较低水平。可能的解释是随着市场信息披露程度的提高,市场对利空信息的反映更加敏感。同时,我们发现随着信息披露程度的提高,非机构投资者会增加相应股票的交易量,即非机构投资者参与股票市场的积极性有所提高。
(4)以2008年4月24日和2008年9月19日两次印花税调整事件为例,采用事件分析方法研究了两次印花税调整前后,市场整体及组合的买卖平均集中度的变动趋势,并以此考察市场中是否存在内幕交易现象。实证结果表明2008年4月24日的印花税调整过程中市场存在较明显的内幕交易现象,而2008年9月19日的印花税调整过程中则不存在明显的内幕交易证据。同时通过股票分组研究我们发现,出于掩藏交易目的及操作成本的考虑,流通市值较高或者换手率较低的股票,更有可能发生内幕交易现象。
Transparency plays an important role for the healthy development of the stock market. The information disclosure helps to build a fair, just and open market order, protects the rights of the market participants, and is especially important for the young Chinese security market. In this paper, based on the top ten buying and selling volumes for each stock provided by Topview, we have an analysis of the informed trading in Chinese stock market, and the impact of information disclosure on the informed trading activities. Our study, which deals with the information transparency in Chinese stock market, provides some guide to build a regulated information disclosure policy.
The methods used in this paper include the Baysian method, equilibrium method, and other empirical method. We provide a systematic study of the informed trading activities in Chinese market and the impact of information disclosure on the stock prices and trading volumes. The main contents and conclusions of this dissertation are as following:
(1) By building an equilibrium model of rational expectation, we examine the impact of information disclosure on asset prices and trading volumes under heterogeneous risk preference. Our theoretic analysis shows that the information disclosure helps to lower the degree of asymmetry and decreases the information risk in the market, which in turn makes the expected asset return under equilibrium to become small. Meanwhile, when the information is disclosed to the public, the investors who have informational advantage originally will decrease their demand for the stock，while those who are in the position of information disadvantage originally will increase their demand for the asset.
(2) We use the top ten volumes (including buying and selling volumes) provided by Topview to calculate the concentration ratio for each stock traded in Shanghai A Stock market. Two methods, including the VAR method (Vector Autoregression) and event study method, are used to examine whether the concentration ratio contains information about the price movement in the future. The empirical results using both methods show that there exists information content in the concentration ratio. Moreover, even though Topview has a period of delay to publish the trading information, the investors can benefit from the delayed information as well.
(3) We empirically analyze the impact of information disclosure by Topview on the stock returns. To this end, we partition the sample period into six, and examine the information content of the concentration ratio for each period. The empirical results show that the curve of simple stock returns displays "L" shape during the six periods. The ability to earn excess returns using big positive concentration ratios becomes weaker during the first five periods, while rebound in the last period. On the other hand, after the big negative concentration ratio, the curve of simple stock return displays "L" shape during the six periods. The results suggest that as information becomes more transparent, the negative information is reflected in the market more quickly. We also analyze the impact of information disclosure on the trading activities of the uninformed traders. The results show that the uninformed will increase their trading volume for the stocks in a more transparent market.
(4) We take the two stamp duty adjustments, which occur on April 24,2008 and September 19,2008, as examples, and use the event study method to examine the movements of the market average concentration, and analyze whether there exist insider trading activities during these two events. The empirical results show that there exist possible insider trading activities before April 24,2008, while the evidence of insider trading in not obvious before September 19,2008. Meanwhile, we find that, insider trading is more likely to occur for stocks with high market capitalizations and low turnovers, for the purpose to transactions hiding and low operating cost.
本文采用贝叶斯学习过程、经济学均衡分析及事件分析等研究方法,系统地研究了中国股票市场信息披露对证券市场的价量影响。论文主要工作结论如下：
(1)通过建立理性预期均衡模型,考察异质风险偏好下信息披露对资产价格和成交量的影响。本章的理论分析表明,股票信息披露程度的提高有利于降低市场中的信息不对称程度,从而降低市场的信息风险,导致股票的均衡期望收益降低。同时,当披露股票信息时,具有信息优势的知情交易者会减少自己购买股票的数量,而具有信息劣势的非知情交易者会增加自己购买股票的数量。
(2)利用赢富数据所提供的各个上证A股个股的前10名交易席位的交易量(包括买进和卖出数据),计算各个股票的买入和卖出集中度。并采用向量自回归法和事件分析法研究了买入和卖出集中度是否包含未来股价变动的信息。实证结果表明,买入和卖出集中度含有预测未来股价变动的信息。并且即使赢富数据公布数据存在延迟,投资者仍然可以利用延迟公布的信息获得未来股价变动的信息。
(3)通过实证研究了赢富数据信息披露对股票价格和普通投资者成交量的影响。我们将所考察的样本期划分为六个时间阶段,并分阶段研究投资者利用赢富数据所提供的交易量信息获得收益的能力。实证结果表明,信息披露后,股票简单收益率的变化趋势大致呈“U”型。投资者通过大额买入集中度获得正向收益的能力在前五个时间段逐渐降低,但在最后阶段受赢富数据即将下线的影响而有所反弹。另一方面,当股票卖出集中度较高时,股票简单收益率的变化趋势大致呈“L”型。在初始时处于较高水平,而在后面的阶段则处于较低水平。可能的解释是随着市场信息披露程度的提高,市场对利空信息的反映更加敏感。同时,我们发现随着信息披露程度的提高,非机构投资者会增加相应股票的交易量,即非机构投资者参与股票市场的积极性有所提高。
(4)以2008年4月24日和2008年9月19日两次印花税调整事件为例,采用事件分析方法研究了两次印花税调整前后,市场整体及组合的买卖平均集中度的变动趋势,并以此考察市场中是否存在内幕交易现象。实证结果表明2008年4月24日的印花税调整过程中市场存在较明显的内幕交易现象,而2008年9月19日的印花税调整过程中则不存在明显的内幕交易证据。同时通过股票分组研究我们发现,出于掩藏交易目的及操作成本的考虑,流通市值较高或者换手率较低的股票,更有可能发生内幕交易现象。
Transparency plays an important role for the healthy development of the stock market. The information disclosure helps to build a fair, just and open market order, protects the rights of the market participants, and is especially important for the young Chinese security market. In this paper, based on the top ten buying and selling volumes for each stock provided by Topview, we have an analysis of the informed trading in Chinese stock market, and the impact of information disclosure on the informed trading activities. Our study, which deals with the information transparency in Chinese stock market, provides some guide to build a regulated information disclosure policy.
The methods used in this paper include the Baysian method, equilibrium method, and other empirical method. We provide a systematic study of the informed trading activities in Chinese market and the impact of information disclosure on the stock prices and trading volumes. The main contents and conclusions of this dissertation are as following:
(1) By building an equilibrium model of rational expectation, we examine the impact of information disclosure on asset prices and trading volumes under heterogeneous risk preference. Our theoretic analysis shows that the information disclosure helps to lower the degree of asymmetry and decreases the information risk in the market, which in turn makes the expected asset return under equilibrium to become small. Meanwhile, when the information is disclosed to the public, the investors who have informational advantage originally will decrease their demand for the stock，while those who are in the position of information disadvantage originally will increase their demand for the asset.
(2) We use the top ten volumes (including buying and selling volumes) provided by Topview to calculate the concentration ratio for each stock traded in Shanghai A Stock market. Two methods, including the VAR method (Vector Autoregression) and event study method, are used to examine whether the concentration ratio contains information about the price movement in the future. The empirical results using both methods show that there exists information content in the concentration ratio. Moreover, even though Topview has a period of delay to publish the trading information, the investors can benefit from the delayed information as well.
(3) We empirically analyze the impact of information disclosure by Topview on the stock returns. To this end, we partition the sample period into six, and examine the information content of the concentration ratio for each period. The empirical results show that the curve of simple stock returns displays "L" shape during the six periods. The ability to earn excess returns using big positive concentration ratios becomes weaker during the first five periods, while rebound in the last period. On the other hand, after the big negative concentration ratio, the curve of simple stock return displays "L" shape during the six periods. The results suggest that as information becomes more transparent, the negative information is reflected in the market more quickly. We also analyze the impact of information disclosure on the trading activities of the uninformed traders. The results show that the uninformed will increase their trading volume for the stocks in a more transparent market.
(4) We take the two stamp duty adjustments, which occur on April 24,2008 and September 19,2008, as examples, and use the event study method to examine the movements of the market average concentration, and analyze whether there exist insider trading activities during these two events. The empirical results show that there exist possible insider trading activities before April 24,2008, while the evidence of insider trading in not obvious before September 19,2008. Meanwhile, we find that, insider trading is more likely to occur for stocks with high market capitalizations and low turnovers, for the purpose to transactions hiding and low operating cost.
引文
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