Study On Chinese Listed Companies' Financing Decision Based On The Viewing Angle Of Market Microstructure

Effective Market Hypothesis ignores the effect of market microstructure on asset pricing and price variation. Market microstructure theory suggests that there are various frictions in financial markets, and different market trading mechanism has different impact on price behavior. Literatures about market microstructure have mainly developed asset pricing theory in recent years. And these asset pricing theories have taken market liquidity, non-systematic volatility and asymmetric information risks into account. Basing on market microstructure asset pricing theories, the purpose of this study is to investigate how stock market environments and market price behaviors impact the financing decision of Chinese listed companies. Our study is in favor of understanding and evaluating listed companies'financing decision from the point of stock market price behavior, as well as providing empirical evidences to extend existing capital structure theories.Along the clue of effects of stock price behavior on corporate financing, the main contents of this study are as follows: (1) Based on panel data regression methods, the dissertation investigates the relationship between stock liquidity and corporate capital structure from static and dynamic point of view. The results demonstrate that the higher the previous liquidity of listed company's stock, the less debt the company has. And when the stock liquidity is higher, the listed company tends to adjust lower its leverage, and vice versa. The dissertation further studies the mechanism of the impact of liquidity on capital structure and its change by employing Probit Binary Choice Model. And finds that the probability of debt financing decreases with stock liquidity, but the probability of equity financing increases with it. (2) Using Vector Autoregression, Granger casualty test, Impulse Responses Analysis and Variance Decomposition technology, we study the effect of stock volatility on corporate financing. We find that the level of corporate equity financing decreases with its stock volatility. And corresponding to large firms, the financing behavior of small firms is more sensitive to stock volatility and interest rate change. (3) The dissertation investigates the impact of time-varying asymmetric information on firm's equity and debt financing. Based on Wilcoxon rank-sum test, variance ratio test and Fama-MacBeth regression methods, the study finds that Chinese listed companies tend to announce their equity issuing after information disclosure. The regular financial reports around issue announcement are informationative, but the previous report does not reveal better information to the market. And the ratio of debt increases with information asymmetry. When listed...