資訊揭露評鑑成績對市場波動性與買賣單不平衡之抑制效果

The Monitoring Effect of the Score of Information Disclosure and Evaluation System on Market Volatility and the Degree of Order Imbalance

張眾卓(Chong-Chuo Chang) ； 王元章(Yung-Jang Wang) ； 陳振遠(Roger C. Y. Chen) ； 湯惠雯(Hui-Wen Tang)

《財務金融學刊》 20卷1期 (2012/03) Pp. 1-32

https://doi.org/10.6545/JFS.2012.20(1).1

摘要

本研究旨在探討資訊揭露評鑑成績與市場微結構之關聯性。本研究發現「資訊揭露評鑑系統」公佈之資訊揭露評鑑成績，對市場波動性與買賣單不平衡皆具有顯著的影響，當資訊透明度愈高時，資訊不對稱的程度愈低，將致使市場波動性愈低與買賣單不平衝程度愈低；此外，控制權與現金流量權偏離程度增加時，將降低資訊揭露評鑑成績對市場波動性與買賣單不平衡程度之抑制效果。因此，提升企業的資訊透明度與強化公司治理將可有效降低公司資訊不對稱的程度，同時減緩市場波動性與買賣單不平衡程度。

關鍵字

公司治理 ； 資訊透明度 ； 市場微結構 ； 市場波動性 ； 買賣單不平衡 ； 資訊不對稱

並列摘要

This study attempts to explore the relationship between the score of information disclosure and evaluation system and market microstructure. The empirical results show that the score of the information disclosure and evaluation system has negative influence on market volatility and the degree of order imbalance. Moreover, the raise of deviation between voting rights and cash-flow rights could diminish the score of the information disclosure negative influence market volatility and the degree of order imbalance. Consequently, advancing information transparency and enforcing corporate governance may reduce firm's information asymmetry and, meanwhile, mitigate its market volatility and the degree of order imbalance.

並列關鍵字

Corporate governance ； information transparency ； market microstructure ； market volatility ； order imbalance ； information asymmetry

參考文獻

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