| Traditional asset pricing model assumes that all the investors should be able to promptly obtain adequate market information with no cost to charge. In fact, the cost of collecting and collating information cannot be ignored, and investor’s awareness and the ability to grasp the information is limited, Therefore, in the real stock market, this ideal market apparently does not exist. However, relatively speaking, the more mature stock market, the more we should be close to the perfect ideal assumptions symmetric effective market information. That is, the stock market is more mature, the smaller the impact of asymmetric information on the securities market, which traders. System design compared to the more mature U.S. market, China’s securities market is not yet complete, investors maturity is relatively low, a higher degree of information asymmetry, the retail value of the discovery process is limited, plus on institutional investors manipulation behavior and the guiding role of the media retail value in China’s stock market bubble and the speculative trading abound. The existence of information asymmetry, will not only lead to diminished capacity of the stock market allocation of resources, is difficult to put into the place of the real value of funds in the market, restricting economic development role; and may lead to the volatility of the securities market, damage the interests of the majority of investors, serious and even lead to the economic bubble, causing heavy losses immeasurable.China’s stock market trading process based on the theory of information asymmetry in the financial market microstructure theory perspective study and analysis of the decisive role of asymmetric information on the behavior of China’s securities market traders and asset prices, from a theoretical and empirical perspective. In this paper, suitable for the Chinese market improved EKOP model of Easley et al(1992 [1]) the raised sequential trading model the(EKOP model) and the probability of informed trading(a probability expressed of of informed trading, PIN) analysis and improvement, and the advantage of this model, the calculated probability of informed trading stocks in each sample on each particular time period PIN indicators. And then, on the basis of the model and PIN indicators in EKOP, further from the following three aspects of China’s securities market information asymmetry problem specific empirical analysis: the actual information asymmetry in China’s securities market and its different characteristics on the cross-section and the timing; investigate the actual state of information in the market, market activity, market expectations, trading volume, as well as the microscopic structure indicators(liquidity, volatility, order is not smooth degree) on the probability of informed trading the impact; reveals the degree of information asymmetry directly affect the relationship between stock returns and the effects of China’s securities market, asymmetric information is not a significant risk pricing factor.The empirical results show that the monopolistic advantages related to the topic of China’s securities market in the probability of informed trading stock to its own assets, will also be the time of announcement information. Market activity, market expectations and the trading volume on the probability of informed trading, market microstructure and market information state is relatively small impact on the probability of informed trading, but this explanation factor of four areas have a PIN irreplaceable explanatory power, they were from a different side to explain more than half of the probability of informed trading. From the point of view of the stock returns, information asymmetry is a significant risk pricing factor. The empirical results show that the probability of informed trading have a significant positive impact on stock returns, and that the higher the income the higher the degree of information asymmetry stock will ask as risk compensation.
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