Stock Exchange Inquiry Letters And Stock Price Informativeness

Information disclosure is a fundamental system for an efficient capital market,and it's emphasized by the strategy Financial Supply-side Reform to optimize information disclosure system.With responsibility to regulate Chinese listed corporations in information disclosure,Shanghai Security Exchange and Shenzhen Security Exchange have established an ex post supervision based on inquiry letters.Since 2015,listed companies have to disclose inquiry letters as well as their replies to the public.Will the disclosure of inquiry letters convey more useful information to the market? To answer this question,this paper is to study how inquiry letters from security exchange will influence information disclosure,on the perspective of stock price informativeness.This paper selects listed non-financial companies from 2015 to 2017 as samples and calculates the non-synchronicity index based on market model to measure stock price informativeness.The empirical tests show that the inquired samples have higher stock price informativeness compared with their counterparts,indicating security exchange inquires could bring more useful information to the market.This study also finds that inquiry letters' frequencies and positive tone are positively related to the stock price informativeness of inquired companies.Furthermore,this paper figures out that the function that stock exchange inquiry could improve stock price informativeness is negatively affected by higher audit quality,Margin Trading and Short Selling,and the positive media cover environment of listed firms.In conclusion,this study proves the effect of stock exchange inquiry.