The impact of reporting frequency on the information quality of share price： evidence from Chinese state-owned enterprises

作     者：Yin Toa Lee Wilson H. S. Tong 

作者机构：Ernst & Young 22/F CITIC Tower 1 Tim Mei Avenue Central Hong Kong Hong Kong 

出 版 物：《Frontiers of Business Research in China》 (中国高等学校学术文摘·工商管理研究（英文版）)

年 卷 期：2018年第12卷第2期

页      面：83-100页

学科分类：0303[法学-社会学] 12[管理学] 0202[经济学-应用经济学] 1204[管理学-公共管理] 02[经济学] 0302[法学-政治学] 1202[管理学-工商管理] 1201[管理学-管理科学与工程(可授管理学、工学学位)] 020204[经济学-金融学（含∶保险学）] 

基　　金：Hong Kong Polytechnic University 

主　　题：Mainland market Hong Kong market Dual-listing Reporting frequency,Information asymmetry Volatility spillover effects 

摘      要：As a major global exchange, the Stock Exchange of Hong Kong （SEHK） only requires semi-annual reporting whereas other major exchanges including the ones in Chinese mainland require quarterly reporting. We argue against the traditional view that higher reporting frequency is necessarily more beneficial. The decision on reporting frequency depends on how the information is being processed by the recipient traders and the results are not obvious. Using a sample of Chinese companies dual- listed in both China A share market and SEHK （AH shares） as the experimental group and mainland＇s companies listed on SEHK （H shares） only as the control group, we apply the difference-in-difference （DID） method to investigate the impacts of reporting frequency on stock information quality. The results suggest that after China A share market require quarterly financial reporting for all listed companies in 2002, the information asymmetry of the H tranche of AH stocks increases. Different from prior studies, the results suggest a negative association between stock information quality and financial reporting frequency. We argue that the increased information asymmetry in the H tranche is caused by the noise spilled over from the A tranche. We conduct multivariable GARCH tests and find evidence supporting this conjecture.