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
Advisors: Tong, Wilson (AF)
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
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.
Rights: All rights reserved
Access: restricted access

Files in This Item:
File Description SizeFormat 
b2929082x.pdfFor All Users (off-campus access for PolyU Staff & Students only)284.77 kBAdobe PDFView/Open

Copyright Undertaking

As a bona fide Library user, I declare that:

  1. I will abide by the rules and legal ordinances governing copyright regarding the use of the Database.
  2. I will use the Database for the purpose of my research or private study only and not for circulation or further reproduction or any other purpose.
  3. I agree to indemnify and hold the University harmless from and against any loss, damage, cost, liability or expenses arising from copyright infringement or unauthorized usage.

By downloading any item(s) listed above, you acknowledge that you have read and understood the copyright undertaking as stated above, and agree to be bound by all of its terms.

Show full item record

Please use this identifier to cite or link to this item: