中国股票市场信息披露与传导机制的研究——基于报价价差成分的分析

信息披露与传导机制是解释股价波动性动态特性的最本质原因。上市公司发布的定期报告是投资者最主要的信息来源。利用事件分析的方法，从微观信息的角度实证分析上市公司年报公布的发布对市场微观结构的影响，利用股票买卖报价价差成分中的信息不对称成分来检验我国股票市场的公共信息私有化及内幕交易问题，并提出应加强信息披露的监管和内幕交易的监管，以完善我国信息披露传导机制。

China Stock Market Information Disclosure and Transmission Mechanism——Based on the Components of the Bid-Ask Spread

Information disclosure and transmission mechanism are key factors in the explanation of the price volatility. Periodic reports issued by listed companies are the main source of information for investors. Based on the event-study analysis, empirical analysis of microscopic information from the perspective of listed companies＇ annual reports released by the impact of market microstructure is investigated. Then the change in adverse select cost （the bid-ask components） before and after the announcement date is studied. Also the problem about the information disclosure and insider trading is investigated. Some policies, such as more strict regulations on information disclosure and inside traders, are suggested.