基于交易量模型的中国股市信息不对称研究

股票市场是典型的信息不对称市场,而交易量被认为是私人信息具体化的代理变量,对交易行为的研究,有助于分析交易者之间信息的差异。基于交易量模型的LMSW检验表明,中国股市的信息不对称程度随着股票资本规模的增加而增大,这与美国的实证研究结果正好相反,造成这一差异的原因就在于中国上市公司较低的信息披露质量。

Information Asymmetry of China Stock Market Based on Trading Volume Model

Stock market is a typical information asymmetry market.Since trading volume is considered as the proxy variable of asymmetric information,we can analyze the information difference between the traders through trading volume study.Based on the LMSW test,we can find that the large firms have higher degree of informarion asymmetry on domestic stock market,which is contrary to the characteristic of the United State stock market.The reason of thes difference rests with poor quality of the information announcement in domestic stock market.