【摘要】 应用实证研究方法,针对上海股票交易所这样一个指令驱动市场,研究了年度报告的发布对市场微观结构-买卖报价价差及其组成成分的影响。研究结果发现,中国股票市场年度报告的发布整体上对买卖报价价差本身没有显著影响,但对买卖报价价差的各个组成成分产生了显著影响。表明年度报告作为中国投资者重要的信息来源,其发布改变了信息在投资者之间的分布格局。更多还原

【Abstract】 In this paper,we investigated how the annual reports influence on the per se and the components of bid-ask spreads in Shanghai stock market.The empirical results showed: there is little effect of announcements on the bid-ask spreads per se,but its components are affected remarkably,which implying the disclosure of annual reports can change the distribution of the information among the investors.更多还原