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
APA StyleLi, X., & Liang, W. (2022). Impact of Market Information Efficiency on Corporate Listing and Financing: Evidence from China. Sustainability, 14(20), 13594. https://doi.org/10.3390/su142013594