The Study On Information Diffusion Process In Chinese Stock Market

Information will affect the investors’ expectation of asset price and change their investment, which directly affect the asset price behavior. Information is the key of asset equilibrium price formation process. Considering the trading mechanism and the realized characteristics of Chinese stock market, we analyzed the theoretical and empirical problems associated the information diffusion process in Chinese stock market in this paper. The summary of the main content are as follows:(1)Study on the information diffusion process state of Chinese stock market. At first, we expend the set of information to a general one, and analyze the intraday liquidity dynamic behavior around the arrival of unexpected generalized information based on the jump’s intraday detection method. Then, under the assumption that information state will vary with time and relate to the before states on time dimension,we apply Hidden Markov Model to model the process of information diffusion and provide a method to quantify the speed of information diffusion. At last, an empirical study is presented to analyze the information diffusion speed in Chinese stock market and its determinants.( 2) Study on heterogeneity investors and information diffusion process.Considering the constraint of trading mechanism, the characteristics of highly turnover and the rising of modern quantitative investment approach, we propose a kind of short-term investors in our market and analyze the effect of their trading on asset price and volume. Based on this theoretical frame work, a method to detect the presence of quasi-market makers is provided. We further study their existence and their effect on information diffusion process.(3)Study on the ambiguity of information and information diffusion process. In this part, we analyze the relationship of investor information set and Knightian uncertainty. Then based on Shadow Probability Theory, a mapping which describes risk and the ambiguity of information on asset return, and a new asset pricing model with information ambiguity are constructed. Moreover, an empirical study of measuring the level of information ambiguity and its effect on information diffusion is presented.(4)Study on market segment and information diffusion process. From the perspective of the soft segment and hard segmentation in Chinese mainland stock market and Hong Kong stock market, we use Granger causality test and panel regression to test the daily information diffusion effect, intraday synchronized and non-synchronous trading hour information diffusion effect in the process of market trading hour convergence reform. And then unbiased regression model is applied to analyze the information diffusion process with different open mechanisms. We further explore the behavioral characteristics of informed traders in these markets.