证券市场导报
證券市場導報
증권시장도보
Securities Market Herald
2014年
12期
51~59
,共null页
交叉上市 信息不对称 知情交易概率 盈余质量
交扠上市 信息不對稱 知情交易概率 盈餘質量
교차상시 신식불대칭 지정교역개솔 영여질량
cross-listing, information asymmetry, probability of informed trading, earnings quality
本文以先发行H股后回归A股这一特殊交叉上市股票为研究对象，采用知情交易概率（PIN）度量信息不对称程度，研究股票交叉上市是否能降低信息不对称程度。对所有样本股票进行回归分析发现，交叉上市虚拟变量与PIN值负相关，即交叉上市会带来信息不对称程度的降低；并且，交叉上市股票的信息不对称程度要低于同期未交叉上市的股票。与过往文献不同，本文为此结论提供了一种全新的解释，交叉上市弓『起信息不对称程度降低是由于市场上“揭露”出来的信息更多，导致知情交易者的参与显著减少。最后，本文根据实证结果提出了相关政策建议。
本文以先髮行H股後迴歸A股這一特殊交扠上市股票為研究對象，採用知情交易概率（PIN）度量信息不對稱程度，研究股票交扠上市是否能降低信息不對稱程度。對所有樣本股票進行迴歸分析髮現，交扠上市虛擬變量與PIN值負相關，即交扠上市會帶來信息不對稱程度的降低；併且，交扠上市股票的信息不對稱程度要低于同期未交扠上市的股票。與過往文獻不同，本文為此結論提供瞭一種全新的解釋，交扠上市弓『起信息不對稱程度降低是由于市場上“揭露”齣來的信息更多，導緻知情交易者的參與顯著減少。最後，本文根據實證結果提齣瞭相關政策建議。
본문이선발행H고후회귀A고저일특수교차상시고표위연구대상，채용지정교역개솔（PIN）도량신식불대칭정도，연구고표교차상시시부능강저신식불대칭정도。대소유양본고표진행회귀분석발현，교차상시허의변량여PIN치부상관，즉교차상시회대래신식불대칭정도적강저；병차，교차상시고표적신식불대칭정도요저우동기미교차상시적고표。여과왕문헌불동，본문위차결론제공료일충전신적해석，교차상시궁『기신식불대칭정도강저시유우시장상“게로”출래적신식경다，도치지정교역자적삼여현저감소。최후，본문근거실증결과제출료상관정책건의。
The main purpose of this study is to explore why cross-listing could reduce information asymmetry. This paper takes the special cross-listing stocks that issued H shares at first and then issued A shares as the sample, and measures the information asymmetry in the use of Probability of Informed Trading （PIN）. The results show that stocks have lower degree of information asymmetry after cross-listing. Moreover, compared with stocks which are not cross-listed, the PIN of the cross-listed stocks are also lower. The regression analysis reveals a negative relation between the cross-listing dummy variable and the probability of informed trading, which means cross-listing makes the degree of information asymmetry lower. The novel explanation is proposed with regard to the empirical results observed. The reason is that more information is revealed such that the arrival rate of informed traders decreases significantly. Finally, some policy suggestions are proposed based on the empirical results.
