英文摘要 |
The Statement of Financial Accounting Standards (SFAS) No. 34, ”Accounting for Financial Instruments” has been enforced since the first season of 2006. The purpose of SFAS No.34 is to improve the accuracy of price of financial instruments held by corporations and reflect the true information in the financial reports. Will the enforcement of SFAS No. 34 affect the security markets? This study examines the effects of SFAS No. 34 on the market liquidity, volatility, and efficiency from the market microstructure viewpoint. Using the mean test of the whole sample and subsample and two-stage least squares model, we find that the enforcement of SFAS No. 34 at the beginning has a negative effect on market liquidity and efficiency. At the same time, market volatility has been increased. However, these findings may result from the enforcement of SFAS No. 34 which influences the value of financial instruments held by corporations and increases earnings volatility. Finally, as time goes by, the merit of providing more transparent information in the financial statement has been presented. Therefore, the enforcement of SFAS No. 34 not only increases market liquidity and efficiency, but also reduces market volatility. |