We investigate the empirical relation between country governance quality and stock market liquidity, as well as information asymmetry, using a sample of non-U.S. stocks from 17 emerging markets listed on the NYSE between 2004 and 2019. We find that non-U.S. stocks from emerging markets with higher democracy quality tend to have narrower spreads and larger depth, suggesting improved liquidity. Higher autocracy levels, on the other hand, are associated with wider spreads and lower depth, indicating poorer liquidity. Additionally, stronger democracy and polity qualities are linked to reduced price impact, while heightened autocracy levels are associated with increased price impact and a higher probability of informed trading. Moreover, we show that changes in our liquidity and information asymmetry measures significantly relate to changes in the country governance index over time. Our results remain remarkably robust across regions and when using different measures of liquidity and information-based trading.

我们以 2004 年至 2019 年间在纽约证券交易所上市的 17 个新兴市场的非美股为样本，研究了国家治理质量与股市流动性以及信息不对称之间的实证关系。民主质量较高的市场往往具有较小的利差和较大的深度，表明流动性有所改善。另一方面，较高的专制水平与较大的价差和较低的深度相关，表明流动性较差。此外，更强的民主和政体质量与价格影响的降低有关，而独裁程度的提高则与价格影响的增加和知情交易的可能性更高有关。此外，我们表明，流动性和信息不对称指标的变化与国家治理指数随时间的变化显着相关。当使用不同的流动性和基于信息的交易衡量标准时，我们的结果在各个地区仍然非常强劲。