Research on the asymmetric impact of EKOP model based on the concept of green development

Green economy as a new development model, its development has risen to the national strategic level. And enterprises as the main body of economic activities should also keep pace with the times and take green development as their basic value orientation. Based on the EKOP model, this paper uses eight stocks in the A-share airline industry, selects three first-order indicators, namely human capital characteristics, board characteristics and equity structure characteristics, to represent corporate governance characteristics, and uses the probability of informed trading to represent the degree of information asymmetry, and studies the influence of corporate governance on information asymmetry. The aim is to explore the relevance of each factor asymmetry and use its findings to serve the development of the green economy model and promote the standardization of corporate governance.

Global Liquidity Provision and Risk Sharing

We examine liquidity-related characteristics of U.S. firms with cross-listed shares in 20 foreign markets in the 1950–2013 period. We find that firms after foreign-market listing exhibit lower liquidity sensitivity and lower liquidity beta and suffer less from transitory price shocks. These results are stronger when firms are listed on multiple exchanges and in larger and more liquid markets. The liquidity enhancement is associated with firms’ increased foreign ownership postlisting and is effective for firms with high levels of volatility, foreign income, and foreign trading and a high probability of informed trading. Our findings provide support for global markets providing liquidity and reducing liquidity risk to U.S. firms.

Impact of the Adjustment of Maximum Order Volume on Pricing Efficiency of Stock Index Futures in China

In April 2017, China Financial Futures Exchange adjusted the maximum order volume of single trading in stock index futures, and this paper conducts research on this event. Firstly, it analyzes the influence of the adjustment of maximum order volume on the characteristics of the limit order book with high-frequency data and the impact of ordering situation on the trading depth and volatility of each contract with panel data. Secondly, it takes high-frequency tick-by-tick data to explore the causal relationship between the ordering situation and the probability of informed trading and analyzes the impact of the event on the probability of informed trading. Finally, the dynamic factor analysis method is used to quantify the pricing efficiency based on the probability of informed trading and the characteristics of limit order book, and the influence of the event on the pricing efficiency of stock index futures market is discussed. The results show that the reduction of maximum order volume has different effects on dominant contracts and nondominant contracts of stock index futures. After the event, the overall trading volume of the market increased, where the trading volume of dominant contracts decreased and that of nondominant contracts increased. For dominant contracts, the depth, slope, and liquidity decrease, the spread increases, and the probability of informed trading decreases so that the pricing efficiency becomes worse, while the results of nondominant contracts are the opposite. For Chinese stock index futures market, the pricing efficiency is greatly reduced and the resource allocation capacity is weakened under the influence of the event. Therefore, the adjustment of maximum order volume is not conducive to the healthy development of the stock index futures market. It is suggested that the reduction of the maximum order volume is only implemented for nondominant contracts.

Earnings Comparability and Firm-Specific Stock Price Crash Risk

This study examines the association between earnings comparability and firm-specific stock price crash risk. Using a large sample of 33,696 firm-year observations from the U.S. public firms, we find a positive association between comparability and future stock price crash risk. This finding is consistent with the notion that corporate managers do not have much incentive to release firm-specific information (especially bad news), as long as their firms’ financial statements are comparable to those of the industry peers. We further show that the positive association between earnings comparability and future crash risk is attenuated for firms with strong external monitoring (i.e., high analyst coverage, high institutional ownership, and high audit quality) and firms with low information asymmetry (i.e., low probability of informed trading). Our results are robust to (1) controlling for other important earnings attributes (e.g., conditional conservatism and income smoothing) that are associated with crash risk, (2) conducting change analyses, and (3) using alternative measures of earnings comparability. Our findings have an important implication that earnings comparability does not always result in favorable capital market outcomes.