Does the Tier Select of Neeq Promote Market Liquidity and Stock Pricing Information Efficiency?
Market liquidity and stock pricing information efficiency reflect the qual-ity of a security market.Based on the background the tier Select of NEEQ(National Equities Exchange and Quotations)launched on July 27,2020,this paper adopts the staggered difference-in-difference to study the effects on the stock liquidity and pric-ing information efficiency.It is found that,stock liquidity and pricing information efficiency of firms listed on the tier Select are significantly improved.The establish-ment of the tier Select,the improvement of information disclosure mechanism,and a series of reforms have significantly promoted the stock pricing information efficiency through channels such as increasing market transactions and reducing information asymmetry.The further study demonstrates that the stock pricing information effi-ciencies of firms with lower information asymmetry and higher market capitalization have been significantly improved.While,for those firms with high degree of informa-tion asymmetry or lower market capitalization,their stock pricing efficiencies nearly have remained invariant.Stock price reflects more of the characteristics of market and industry,but absorbs less of its idiosyncratic information.There exhibits co-movement,and stock price synchronizes to rise and fall.Considering most of listed firms in the tier Select are small and medium-sized high-tech enterprises,and the market makers are professional market-making institutions,they have the ability to price the stocks of high-tech enterprises.Therefore,based on the continuous auction mechanism on the tier Select,implementing a hybrid market-making mechanism can further improve market liquidity and stock pricing information efficiency.
The tier Selectliquiditystock pricing information efficiencystaggered DIDpropensity score matching
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