Corporate Transparency and Market Integrated Liquidity Under the Background of Full Circulation——An Analysis Based on High Frequency Transaction Data
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Abstract Liquidity is the key to resource allocation efficiency and information transparency is an important factor affecting liquidity. Using high frequency transaction data while adopting the method of principal component analysis, this paper extracts integrated liquidity from indexes such as bid-ask spread, market depth and turnover, as well as integrated transparency from that of accounting information and that of internal information. It then studies the effects of integrated information transparency on market liquidity. Results show that integrated information transparency can significantly improve market liquidity through the mechanism of reducing information costs and transaction costs in reverse selection costs.
LI Yang,ZHANG Xiao-Fei. Corporate Transparency and Market Integrated Liquidity Under the Background of Full Circulation——An Analysis Based on High Frequency Transaction Data. Economic Survey, 2017, 34(6): 0117.
2017, Vol. 34 
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