CAJ | 학술논문

以2009-2011年中国上市公司为研究样本，采用股票的波动性和流动性来反映市场中信息的不对称程度，并运用事件分析法，通过比较社会责任报告披露前后波动性和流动性的变化来检验企业披露的社会责任信息在我国资本市场的信息含量。研究表明，社会责任信息披露之后，股票的波动性明显下降，而流动性则呈上升趋势；但是中间表现出了一定的波动起伏，市场的波动性是先降后升的，而流动性则是先升后降的。可见社会责任的信息披露也会扮演着与财务信息披露类似的角色，能够增加信息透明度，对投资决策造成影响。
이2009-2011년중국상시공사위연구양본，채용고표적파동성화류동성래반영시장중신식적불대칭정도，병운용사건분석법，통과비교사회책임보고피로전후파동성화류동성적변화래검험기업피로적사회책임신식재아국자본시장적신식함량。연구표명，사회책임신식피로지후，고표적파동성명현하강，이류동성칙정상승추세；단시중간표현출료일정적파동기복，시장적파동성시선강후승적，이류동성칙시선승후강적。가견사회책임적신식피로야회분연착여재무신식피로유사적각색，능구증가신식투명도，대투자결책조성영향。
Using event study methodology and transaction data for A-Share stocks during the period of 2009-2011 in Chinese stock market , this paper intends to provide an explanation for the increasing trend of corporate social responsibility ( CSR) reporting by investigating the role of CSR disclosure in reducing information asymmetry between managers and investors as proxied by stock price volatility and liquidity .We make it our event day when firms disclose their CSR reports .Studies show that after CSR disclosure , there is an obvious increase in stock liquidity and a decrease in stock volatility , and while liq-uidity first increases and then decreases , volatility decreases first and then increases .The findings suggest that the content of corporate social information can largely improve the market quality in China .