Does stock market liberalization improve stock price efficiency? Evidence from China
利用中国股市自由化试点项目，研究发现可投资公司的股价非同步性显著提高，表明股价效率改善，且通过企业信息披露和外资交易两条渠道实现。
Abstract In this study, we examine whether liberalization of the stock market improves stock price efficiency using China's market liberalization pilot program as a shock. We find that investible firms exhibit a significant increase in price efficiency, as proxied by stock price non‐synchronicity, after stock market liberalization. The results are robust to a series of tests and remain unchanged after we address the issue of endogeneity. We identify two channels through which price efficiency can be improved: better disclosure by firms and the incorporation of more information into stock prices through the trading activities of foreign investors. We also find that investment becomes more sensitive to prices, further indicating that stock prices have become more efficient. Finally, we find that stock price informativeness also increases.