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本文采用分笔交易的高频数据研究了股权结构对指令驱动的连续竞价市场中流动性和非对称信息的影响。研究表明,机构投资者对股票流动性有正的影响,且机构投资者能够显著减少交易过程的信息不对称程度,从而降低流动性成本。以国有股权和法人股权为代表的公司内部人对股票流动性没有显著影响,但能够降低交易过程的信息不对称程度,对减少流动性成本有积极作用。上市公司持股比例越分散,信息不对称程度越低,流动性成本越低。
In this paper, the effect of ownership structure on the liquidity and asymmetric information in the order-driven continuous bidding market is studied by using the high-frequency data of pen trading. Research shows that institutional investors have a positive impact on stock liquidity, and institutional investors can significantly reduce the degree of information asymmetry in the transaction process, thereby reducing liquidity costs. The insider of the company represented by the state-owned equity and the legal person’s shareholding has no significant influence on the stock liquidity, but it can reduce the information asymmetry in the transaction process and play a positive role in reducing the liquidity cost. The more dispersed the ownership of listed companies, the lower the degree of asymmetric information, the lower the liquidity cost.