关键词: 股票流动性, 全要素生产率, 信息传递, 资源配置, 法治环境

Abstract: Based on the annual data of A-share listed companies from 2011 to 2019, this paper studies the impact of stock liquidity on total factor productivity and its internal mechanism. The results show that the improvement of stock liquidity is conducive to the increase of firms’ total factor productivity, which is still valid measured by DID model with the “Shanghai-Shenzhen-Hong Kong Stock Connectivity” policy as a natural experiment alleviating endogenous problems. Furthermore, the mechanism test shows that stock liquidity mainly increases the total factor productivity by improving the information transparency and information transmission efficiency, thus raising the stock pricing efficiency and enterprise investment efficiency. Besides, the improvement of stock liquidity also increases the overall total factor productivity through its capital allocation function, that is, higher stock liquidity improves capital allocation efficiency and guides the flow of capital factors to enterprises with high productivity. And this function is more significant in state-owned enterprises. Finally, the effect of stock liquidity on the improvement of total factor productivity is stronger in a good market and legal environment. The empirical evidence given by this paper provides the policy implication that the legalization and marketization will help the capital market give full play to the resource allocation function so as to better serve the real economy.

Key words: Stock Liquidity, Total Factor Productivity, Information Transmission, Resource Allocation, Legal Environment