Impact of Market Information Efficiency on Corporate Listing and Financing: Evidence from China
Abstract
:1. Introduction
2. Literature Review
2.1. Market Information Efficiency
2.2. Corporate Listing and Financing
3. Theoretical Basis and Research Hypothesis
3.1. Impact of Capital Market IE on Corporate L&F
3.1.1. Mechanism of Equity Financing Cost
- Basic Framework of the Model
- Investors Demand for Risky Assets
- Market Information Efficiency
- Equilibrium State of the Model
- Impact of Capital Market IE on Corporate L&F
3.1.2. The Mechanism of Investor Willingness and Enterprise Queuing for Listing
3.2. Financial Crises, Market IE, and Corporate L&F
3.3. CrossListing, Market IE, and Corporate L&F
3.4. State Shareholding, Market IE, and Corporate L&F
4. Research Design
4.1. Sample Selection and Data Sources
4.2. Model Construction
4.3. Variable Definition
4.3.1. Explained Variable
4.3.2. Core Explanatory Variables
- Price delay indicator.
- Price efficiency indicator.
4.3.3. Control Variables
5. Empirical Results and Analysis
5.1. Descriptive Statistics
5.2. Analysis of Empirical Results
5.2.1. Impact of Capital Market IE on Corporate L&F
5.2.2. Financial Crises, Market IE, and Corporate L&F
5.2.3. Cross Listing, Market IE, and Corporate L&F
5.2.4. State Shareholding, Market IE, and Corporate L&F
6. Further Analysis
6.1. Impact of COVID-19 Pandemic Shock
6.2. Robustness Test
6.3. Endogenous Test
7. Conclusions and Discussions
Author Contributions
Funding
Institutional Review Board Statement
Informed Consent Statement
Data Availability Statement
Conflicts of Interest
Appendix A
Variable Type | Variable Name | Variable Meaning | Variable Description |
---|---|---|---|
Explained variables | Dfr | Listed financing ratio | Proportion of domestic listing financing values of enterprises in an industry compared to the financing values of the total domestic and overseas listings |
Dlr | Listed number ratio | Proportion of the number of domestic listings of enterprises in an industry compared to the total number of domestic and overseas listings | |
Core explanatory variables | Delay | Price delay indicator | Measure the market information efficiency of various industries, and generate this indicator through model (10) |
Efficiency | Price efficiency indicator | Measure the market information efficiency of various industries, and generate this indicator through model (13) | |
Industry control variables | Industry return | Industry rate of return | The weighted average of the returns of the constituent stocks in the industry (%) |
Market value | Industry market value | The logarithm of the industry’s circulating stock market value (billion yuan) | |
PB | Industry price-to-book ratio | The logarithm of the ratio of the total market value of the industry to the total shareholders’ equity of its constituent stocks | |
Index volatility | Industry index volatility | The arithmetic mean (%) of the standard deviation of the industry component stock’s return rate in the first 24 months, using the logarithmic value | |
Pe | Industry price-earnings ratio | The logarithm of the ratio of the total market value of the industry’s constituent stocks to the net profit attributable to shareholders of the parent company | |
Industry volume | Industry trading volume | The logarithm of the cumulative total turnover of industry constituents during the quarter (US$100 billion) | |
Institution holding | Institutional investor shareholding | The ratio of the number of shares held by institutional investors to the number of circulation shares (%) | |
Macro control variables | Exports | Export volume | The logarithm of the total domestic quarterly exports (US$100 billion) |
GDP growth | GDP growth rate | Year-on-year quarterly growth rate of GDP (%), logarithmic |
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Mean | Standard Deviation | Minimum | Max | Number of Observations | |
---|---|---|---|---|---|
Dfr | 0.607 | 0.299 | 0.0121 | 1.016 | 513 |
Dlr | 0.623 | 0.210 | 0.140 | 0.995 | 513 |
Delay | 0.113 | 0.109 | 0.00385 | 0.540 | 513 |
Efficiency | −0.0370 | 0.179 | −0.679 | 1.309 | 513 |
Industry return | 0.571 | 1.438 | −3.893 | 5.403 | 513 |
Market value | 5.253 | 1.031 | 2.395 | 6.920 | 513 |
PB | 3.046 | 1.541 | 0.851 | 7.482 | 513 |
Index volatility | 4.162 | 0.298 | 3.485 | 4.881 | 513 |
PE | 3.372 | 0.651 | 1.641 | 4.870 | 513 |
Industry volume | 1.465 | 1.111 | 0.135 | 5.149 | 513 |
Institution holding | 6.005 | 5.653 | 0.404 | 23.841 | 513 |
Exports | 2.281 | 0.597 | 0.944 | 3.189 | 57 |
GDP growth | 2.061 | 0.513 | −0.359 | 2.713 | 57 |
(1) | (2) | (3) | (4) | |
---|---|---|---|---|
Dfr | Dlr | Dfr | Dlr | |
Delay | −0.522 *** (0.210) | −0.606 *** (0.159) | ||
Efficiency | −0.226 *** (0.125) | −0.132 ** (0.0770) | ||
Industry return | −0.0105 *** (0.00424) | −0.0177 ** (0.00296) | −0.0214 ** (0.00952) | −0.0134 * (0.00795) |
Market value | 0.0743 *** (0.0656) | 0.0727 *** (0.0415) | 0.202 *** (0.0436) | 0.135 *** (0.0352) |
PB | −0.0502 * (0.0225) | −0.0449 ** (0.0161) | −0.0563 ** (0.0242) | −0.0490 *** (0.0185) |
Index volatility | 0.0516 * (0.0206) | 0.0381 (0.0120) | 0.106 ** (0.0554) | 0.0412 (0.0500) |
PE | 0.0818 * (0.0367) | 0.0472 ** (0.0203) | 0.0536 (0.0367) | 0.0354 * (0.0214) |
Industry volume | −0.0547 (0.0271) | −0.0191 (0.0164) | −0.0104 (0.0158) | −0.00149 (0.0151) |
Institution holding | 0.00792 0.00518 | 0.00267 (0.00384) | 0.00582 (0.00538) | 0.00146 (0.00427) |
Exports | 0.0185 * (0.0180) | 0.0131 0.0196 | 0.0337 (0.0238) | 0.0114 (0.0244) |
GDP growth | −0.00531 (0.0207) | −0.0474 (0.0281) | −0.00341 (0.0267) | −0.0492 (0.0343) |
Fixed effects | Yes | Yes | Yes | Yes |
Observations | 513 | 513 | 513 | 513 |
R2 | 0.242 | 0.379 | 0.235 | 0.401 |
(1) | (2) | (3) | (4) | (5) | (6) | |
---|---|---|---|---|---|---|
Dfr | Dlr | Dfr | Dlr | Dfr | Dlr | |
Delay | −0.496 (0.476) | −0.276 (0.241) | −0.709 *** (0.292) | −0.411 *** (0.165) | −0.645 ** (0.297) | −0.372 ** (0.162) |
Delay × Crises | −0.210 (0.270) | −0.127 (0.176) | 0.555 * (0.297) | 0.107 (0.234) | 0.528 * (0.308) | 0.307 (0.248) |
Control variable | Yes | Yes | Yes | Yes | Yes | Yes |
Fixed effects | Yes | Yes | Yes | Yes | Yes | Yes |
Observations | 513 | 513 | 513 | 513 | 513 | 513 |
R2 | 0.225 | 0.396 | 0.230 | 0.395 | 0.228 | 0.397 |
(1) | (2) | (3) | (4) | |
---|---|---|---|---|
Dfr | Dfr | Dlr | Dlr | |
Panel A | ||||
Delay | −0.181 (0.540) | −1.012 *** (0.323) | −0.259 (0.280) | −0.523 *** (0.220) |
Delay coefficient difference | p = 0.001 | p = 0.000 | ||
Observations | 148 | 185 | 148 | 185 |
R2 | 0.143 | 0.266 | 0.287 | 0.333 |
Panel B | ||||
Delay | −0.725 (0.434) | −1.129 *** (0.390) | −0.430 (0.255) | −0.517 *** (0.210) |
Delay coefficient difference | p = 0.003 | p = 0.018 | ||
Observations | 228 | 285 | 228 | 285 |
R2 | 0.203 | 0.326 | 0.278 | 0.499 |
(1) | (2) | (3) | (4) | |
---|---|---|---|---|
Dfr | Dfr | Dlr | Dlr | |
Panel A | ||||
Delay | −0.933 *** (0.395) | −0.706 (0.510) | −0.586 *** (0.231) | −0.331 (0.247) |
Delay coefficient difference | p = 0.009 | p = 0.007 | ||
Observations | 148 | 185 | 148 | 185 |
R2 | 0.247 | 0.203 | 0.284 | 0.293 |
Panel B | ||||
Efficiency | −0.213 (0.204) | −0.0249 (0.0748) | −0.336 *** (0.113) | −0.00331 (0.0425) |
Efficiency coefficient difference | p = 0.007 | p = 0.015 | ||
Observations | 228 | 285 | 228 | 285 |
R2 | 0.228 | 0.187 | 0.284 | 0.282 |
(1) | (2) | (3) | (4) | |
---|---|---|---|---|
Dfr | Dlr | Dfr | Dlr | |
Delay | −0.749 *** (0.280) | −0.433 *** (0.160) | ||
Delay × COVID | −22.482 ** (10.517) | −15.234 ** (7.378) | ||
Efficiency | −0.210 ** (0.109) | −0.124 * (0.068) | ||
Efficiency × COVID | −16.239 * (8.911) | −11.582 * (6.417) | ||
Control variable | Yes | Yes | Yes | Yes |
Fixed effects | Yes | Yes | Yes | Yes |
Observations | 513 | 513 | 513 | 513 |
R2 | 0.233 | 0.403 | 0.221 | 0.396 |
(1) | (2) | (3) | (4) | |
---|---|---|---|---|
Domestic List | Overseas List | Domestic List | Overseas List | |
Delay | −15.703 *** (6.650) | 5.390 *** (4.0396) | ||
Efficiency | −4.341 *** (1.048) | 3.464 *** (2.162) | ||
Control variable | Yes | Yes | Yes | Yes |
Fixed effects | Yes | Yes | Yes | Yes |
Observations | 513 | 513 | 513 | 513 |
R2 | 0.397 | 0.341 | 0.286 | 0.194 |
(1) | (2) | (3) | (4) | (5) | (6) | |
---|---|---|---|---|---|---|
Dfr | Delay | Dfr | Dlr | Delay | Dlr | |
Delay | −0.910 *** (0.327) | −0.862 *** (0.195) | ||||
Edelay | −0.388 (0.509) | 0.956 *** (0.0919) | 0.0578 (0.198) | 0.956 *** (0.0923) | ||
Control variable | Yes | Yes | Yes | Yes | Yes | Yes |
Fixed effects | Yes | Yes | Yes | Yes | Yes | Yes |
Observations | 513 | 513 | 513 | 513 | 513 | 513 |
R2 | 0.209 | 0.831 | 0.110 | 0.384 | 0.831 | 0.200 |
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Li, X.; Liang, W. Impact of Market Information Efficiency on Corporate Listing and Financing: Evidence from China. Sustainability 2022, 14, 13594. https://doi.org/10.3390/su142013594
Li X, Liang W. Impact of Market Information Efficiency on Corporate Listing and Financing: Evidence from China. Sustainability. 2022; 14(20):13594. https://doi.org/10.3390/su142013594
Chicago/Turabian StyleLi, Xin, and Wei Liang. 2022. "Impact of Market Information Efficiency on Corporate Listing and Financing: Evidence from China" Sustainability 14, no. 20: 13594. https://doi.org/10.3390/su142013594