The Effect of the STAR Market Reform on Price Efficiency, Liquidity and Corporate Quality

This paper investigates the impact of the Sci-tech Innovation Board Reform on stock price efficiency, liquidity and corporate financial quality. To reduce the selection bias in estimation, we match the STAR market and the main market listed companies one by one according to the industry, company’s total assets and firm age and take controls on main independent variables in regressions. The results show that, compared with the control group, stocks in the STAR market have higher price efficiency in both IPO and the normal trading stages. The price impact is smaller, and the transaction spread is lower by 2. 9 basis points on average. In terms of corporate financial quality, the growth of R&D investment and profitability for companies listed in the STAR market have increased, but the effect is insignificant.