The Research Of Accounting Information Quality And Market Microstructure Features Of The Listed Companies In China

The research of economic consequences on the accounting information qualityhas always been the hotspot in the theoretical and practical circles. With thedevelopment of financial market microstructure theory and the application of the newenterprise accounting standards in China, this article has performed a thorough andcomprehensive discussion and analysis of the relationship between accountinginformation and its quality and the price behavior and pricing of the stock marketfrom the theoretical and empirical research. The specific content including:First, introduce the relevant theory. This section introduces the theory ofaccounting information and its quality, elaborates the financial market microstructuretheory, analyzes the theoretical basis of a combination of the both, all this provides asupport for the follow-up studies.Second, from the accrual quality perspective, this article improves the FLOSmodel to draw the adjusted FLOS series models, then empirical tests the FLOS seriesmodels respectively using the prediction error method and maneuverability accruedprofits temporary effect test model, and finally we get the model of IRFLOS whichhas a more accurate measure of the level of accounting information quality on listedcompany.Third, learn from Kim and Stoll (2009) for the quote-driven market, this paperchooses order imbalance indicators as proxy variable of asymmetric information, usesthe event study method, empirical tests the relationship between accounting earningsinformation before and after announcement and order imbalance in order-drivenmarket of China. It finds that there is serious information asymmetry in securitiesmarket of our country, indicates that China is still a weak efficient capital market.Then based on the sub-document high frequency trading data, uses the LSB, VAR,PIN models to directly measure the degree of asymmetric information on thesecondary market, tests its effect on the cash holdings and its value of the company.The result indicates that in the case of serious information asymmetry, the companytends to hold less cash assets, and its market value is lower.Fourth, based on the securities market microstructure theory and the inspire ofthe research of domestic and foreign scholars, this article chooses the informationdisclosure evaluation results of the Shenzhen Stock Exchange as the proxy variable of the accounting information quality, uses the principal component analysis method toget the consolidated current level. It empirically tests the relationship betweenaccounting information quality and its change and the level of liquidity such asconsolidated current level, relative spread, depth quantity and turnover. The resultsshow that, the accounting information quality and the level of stock liquidity have asignificant positive correlation. The accounting information quality changes beforeand after the annual will cause a corresponding change of the stock liquidity, itmanifests as changes in the same direction.Fifth, we measure the level of accounting information quality according toIRFLOS model, use RV method and GARCH model to measure the market risk, andtest the relationship for the first use of the panel VAR models. The results show that,the level of accounting information quality of listed companies and its market riskpresents a significant negative in the short term. After a long process of adjustment,this shock effect gradually weakens, and gradually tends to zero. At the same time,based on the Ohlson model, this paper builds the model of the effect of the accountinginformation quality on stock prices and then has an empirical test, the result showsthat accruals maneuverability has played an effective inhibition in the company’sshare price. And introduce the accounting information quality as a pricing factor intothe CAPM model, Fama three-factor and four-factor model, it finds that accountinginformation quality and excess yield is significantly positive correlation, indicates thatthe accounting information quality is an important asset pricing factor.