摘要
信息对资本市场中股票价格的形成和变化具有决定作用，直接影响着股票
价格行为，可以认为资本市场就是信息的市场。然而在现实的资本市场中，信
息往往由于受到各种因素的影响而无法达到完备的状态，从而使得股票价格发
现的过程变得十分复杂，因此有关信息不对称的研究成为对市场微观结构理论
研究的重要内容。本文围绕信息不对称理论，将公司金融和市场微观结构理论
相结合，通过理论和实证研究了我国上市公司治理对信息不对称，进而对股票
价格行为的影响。全文主要包括以下两个部分：
第一部分，中国上市公司治理和股价同步性的研究。首先，以2009至2014
年我国沪、深 A 股上市公司为样本，建立面板数据的固定效应回归模型，实证
考察了公司治理结构对股价同步性的影响。研究结果表明，公司治理水平与股
价同步性显著负相关，即公司治理水平越高，信息传播的环境越好，股票价格
中融入的公司特质信息越多，则股价同步性越低；其次，进一步的研究发现，
股价同步性越低，公司业绩表现越好，由此可以推知有效的公司治理能够带来
更好的业绩表现。
第二部分，中国股票市场中知情交易和逆向选择问题的研究。首先，借鉴
国内外研究成果，结合知情交易所包含的逆向交易和隐蔽交易这两个概念，并
考虑行为金融学中的趋势追逐、处置效应等行为偏误，建立适合我国股票市场
实际情况的知情交易概率计量模型；其次，以2011至2014年中证800成分股
中的股票为样本，利用高频交易数据和公司财务数据，运用所建立的模型计算
中国股票市场的知情交易概率，并与股票买卖价差、股票流动性等包含逆向选
择成分的指标进行 Fama-Macbeth 回归，实证检验了股票市场中的信息不对称
对逆向选择的影响。研究结果表明，知情交易概率和股票买卖价差呈正相关关
系，和股票流动性呈负相关关系，由于股票买卖价差越大、股票流动性越差，
代表逆向选择问题越严重，因此验证了中国股票市场上信息不对称产生的知情
交易和逆向选择之间的关系，与理论假设相符，即所建立的知情交易概率指标
成功捕捉到了股票买卖差价和流动性中的逆向选择成分。
关键词：公司治理，信息不对称，股价行为，市场微观结构II
ABSTRACT
Information on the capital market is of a decisive role in the formation and
change of stock price, which impacts the stock price behavior directly. So the capital
market is always regarded as the information market. But in the reality, information
of the capital market can’t achieve the perfect state due to the influence of various
factors, which makes the stock price discovery process very complicated. Therefore,
the research of information asymmetry has become an very important part of the
research on the market microstructure theory. Based on the Information asymmetry
theory, this paper combines the company finance and market microstructure theory
and carries a research on corporate governance , information asymmetry and stock
price behavior through the theoretical and empirical studies .The paper is mainly
composed of the following two parts:
One part is a research on the governance of Chinese listed companies and stock
price synchronicity. First of all, using the sample data of listed companies in Chinese
a-share market from 2009 to2014, a panel data with fixed effect regression model is
established to examine the relationship between corporate governance and stock
price synchronicity. The results show a significant negative relationship between
corporate governance and stock price synchronicity., It means that the effective
governance is expected to improve information transparency, which increases
firm-specific information. Thus, firms with stronger corporate governance are
associated with lower synchronicity. Secondly the further research show that firms
with lower synchronicity have better firm performance than firms with higher
synchronicity.
The other part is a research on the informed trading and adverse selection
problems in the Chinese stock market. First of all, drawing lessons from domestic
and foreign researches, to develop proxies for the probability of informed trading,
this paper combines contrarian trades with stealth trading, two concepts of informed
trading. We use these proxies to test the relationship between informed trading and
adverse selection which is measured by bid–ask spreads and stock illiquidity. In
addition, taking behavioral biases , such as trend chasing and the disposition effect,III
into consideration, further refinements of the probability of informed trading are
developed. Secondly, the article analyses the sample of the shares on CSI 800 index
listed companies between 2011 and 2014 to test the relationship between informed
trading and adverse selection using the high-frequency data and financial data with
the Fama-Macbeth regression. The estimation results show that these proxies are
highly positively related to bid–ask spreads and negatively related to stock liquidity
in various empirical specifications. The robustness of these proxies for informed
trading in the paper shows that the proxies developed can capture the adverse
selection component of bid–ask spreads and illiquidity caused by information
asymmetry successfully.
KEY WORDS: Corporate governance, Information asymmetry, Stock price
behavior, Market microstructureIV
目录
摘要............................................................................................................................I
ABSTRACT ................................................................................................................ II
第1章绪论..................................................................................................................1
1.1研究背景.........................................................................................................1
1.2研究意义和创新点.........................................................................................3
1.3研究内容和思路.............................................................................................5
第2章相关理论和文献综述......................................................................................9
2.1信息和信息不对称理论.................................................................................9
2.1.1信息和信息模型..................................................................................9
2.1.2信息不对称理论................................................................................11
2.1.3国内相关研究....................................................................................11
2.2公司治理与信息不对称...............................................................................12
2.3信息不对称和逆向选择...............................................................................14
第3章中国上市公司治理和股价同步性研究.......................................................17
3.1理论基础与研究假设...................................................................................18
3.2研究设计.......................................................................................................19
3.2.1样本选择与数据来源........................................................................19
3.2.2变量....................................................................................................19
3.2.3回归模型............................................................................................20
3.3实证结果及分析...........................................................................................21
3.3.1描述性统计........................................................................................21
3.3.2实证结果分析....................................................................................22
3.3.3稳健性检验........................................................................................24
3.4股价同步性与公司业绩表现.......................................................................27
3.5研究结论.......................................................................................................28
第4章知情交易和逆向选择关系研究.............................................

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