| Summary: | 碩士 === 清雲科技大學 === 財務金融所 === 100 === There are many financial fraud events occurred during these years. In order to improve information transparency of the publicly traded companies and enhance the power of the market mechanism, the Taiwan Stock Exchange Corporation （TSEC） requested the Securities & Futures Institute （SFI） to set up an information disclosure and evaluation system for all publicly traded companies listed in TSEC and OTC. By information disclosure and evaluation, asymmetric information between managers and outside investors will be reduced. Moreover, getting timing and rich news can help investors make decisions. If not, investors will require higher liquidity premium which may reduce stock liquidity. In this study, I examine the association between information disclosure level （change） and liquidity measures, including bid-ask spread, trading volume and turnover ratios. I also explore the effect on stock returns. The study period is from the year 2007 to year 2011.
Examining the relationship between disclosure level and liquidity, the result does show significant pattern that better disclosure ranking level is associated with better stock liquidity. But on the relationship between disclosure ranking change and liquidity change, the empirical results show that improvement on disclosure ranking has positive effect on stock liquidity. The finding persists even after we control the stock price, market-to book ratio, firm size and firm age.
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