The Quality Of Information Disclosure And Empirical Analysis Of Mobility

Disclosure quality reduces information asymmetries across traders. In this way, high quality disclosures can enhance market liquidity. This paper provides empirical evidence on the relations between disclosure quality and market liquidity on China's Shenzhen Stock Market. We find that stocks with high quality disclosures have low relative spread, but without prominent correlation. To explain it, we analyze the components of the spreads. We find that there are few information asymmetries component through which disclosure quality has impact on liquidity. We also find that, there is a sharp decrease of information asymmetries in the stocks with high quality disclosures. To some extent, this result proves the relationship between disclosure quality and liquidity, but not precise enough. Otherwise, the regression shows that stocks with higher quality disclosures have lower depths and Effective Liquidity. This is not consistent with the theory. We think the reason is that the indexes are lack of the quantification of information asymmetry. These results reveal the importance of examining the information asymmetry in the liquidity quantification for this research topic.