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

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

 

Author: Lee, Yin Toa
Title: The impact of reporting frequency on the information quality of share price : some evidence from the Chinese state-owned enterprises
Degree: D.B.A.
Year: 2016
Subject: Stock exchanges -- China -- Hong Kong.
Stock exchanges -- China.
Financial statements -- China.
Financial statements -- China -- Hong Kong.
Stocks -- Prices.
Hong Kong Polytechnic University -- Dissertations
Department: Faculty of Business
Pages: iv, 62 pages : color illustrations
Language: English
InnoPac Record: http://library.polyu.edu.hk/record=b2929082
URI: http://theses.lib.polyu.edu.hk/handle/200/8768
Abstract: As a major global exchange, the Stock Exchange of Hong Kong (SEHK) only requires semi-annual reporting whereas other major exchanges require quarterly,including China. I 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 market and SEHK (AH shares) as the experimental group and Chinese companies listed on SEHK (H shares) only as the control group, I apply the diff-in-diff 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. I argue that the increased information asymmetry in the H tranche is caused by the noise spilled over from the A tranche. I conduct multivariable GARCH tests and find evidence supporting this conjecture.

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