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Frontiers of Business Research in China

Table 2 Descriptive Statistics

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

Variable

Share_type

Full Period

1993––2001

2002––2007

2008––2015

  

mean

median

mean

median

mean

median

mean

median

Bid-Ask Spread

H

0.015

0.011

0.018

0.015

0.015

0.010

0.012

0.007

AH

0.011

0.007

0.016

0.013

0.013

0.009

0.007

0.004

H-AH (p-value)

0.004 (0.00)

0.004 (0.00)

0.003 (0.05)

0.002 (0.13)

0.002 (0.39)

0.002 (0.00)

0.006 (0.00)

0.003 (0.00)

Illiquidity

H

0.421

0.049

0.565

0.133

0.433

0.037

0.317

0.024

AH

0.156

0.007

0.444

0.069

0.065

0.007

0.061

0.003

H-AH (p-value)

0.265 (0.00)

0.043 (0.00)

0.122 (0.36)

0.065 (0.09)

0.367 (0.00)

0.030 (0.00)

0.256 (0.00)

0.022 (0.00)

Stock Volatility

H

0.034

0.032

0.044

0.044

0.029

0.029

0.032

0.029

AH

0.032

0.030

0.042

0.044

0.029

0.026

0.029

0.025

H-AH (p-value)

0.002 (0.03)

0.001 (0.02)

0.002 (0.39)

––0.000 (0.61)

0.000 (0.82)

0.003 (0.39)

0.002 (0.07)

0.004 (0.03)

Log(Total Assets)

H

13.636

13.627

13.138

13.109

13.376

13.470

14.217

14.302

AH

15.089

15.194

13.940

13.829

14.767

14.951

16.064

16.444

H-AH (p-value)

––1.452 (0.00)

––1.566 (0.00)

––0.802 (0.00)

––0.720 (0.00)

––1.391 (0.00)

––1.481 (0.00)

––1.848 (0.00)

−2.143 (0.00)

Turnover

H

0.465

0.264

0.648

0.314

0.470

0.301

0.347

0.223

AH

0.402

0.299

0.438

0.302

0.406

0.313

0.379

0.261

H-AH (p-value)

0.063 (0.08)

––0.035 (0.14)

0.209 (0.03)

0.012 (0.43)

0.064 (0.28)

––0.012 (0.93)

––0.031 (0.44)

−0.038 (0.00)

Return on Asset

H

0.041

0.071

0.008

0.078

0.050

0.068

0.053

0.071

AH

0.069

0.078

0.061

0.082

0.078

0.079

0.065

0.075

H-AH (p-value)

––0.028 (0.11)

––0.007 (0.11)

––0.052 (0.36)

––0.005 (0.68)

––0.028 (0.26)

––0.011 (0.06)

––0.011 (0.48)

−0.004 (0.51)

MTB

H

1.169

0.895

1.245

0.968

1.283

1.100

1.020

0.715

AH

1.050

0.804

0.928

0.729

1.246

1.019

0.957

0.617

H-AH (p-value)

0.119 (0.10)

0.091 (0.25)

0.317 (0.04)

0.240 (0.13)

0.038 (0.76)

0.081 (0.73)

0.063 (0.55)

0.099 (0.62)

Leverage

H

0.424

0.401

0.387

0.369

0.394

0.351

0.477

0.472

AH

0.509

0.510

0.431

0.459

0.499

0.523

0.566

0.554

H-AH (p-value)

––0.085 (0.00)

––0.109 (0.00)

––0.044 (0.10)

––0.090 (0.09)

––0.105 (0.00)

––0.172 (0.00)

––0.089 (0.00)

−0.082 (0.00)

Market Turnover (SH)

1274.314

980.365

121.287

106.428

763.555

372.838

2419.601

2337.699

Market Turnover (HK)

24.142

12.866

4.846

4.794

18.708

11.507

40.973

40.547

  1. This table presents descriptive statistics of the information asymmetry measures and control variables. The differences in means of H share and AH share data are accessed using t-test and medians using Wilcoxon rank sum test (p-value in parentheses)
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