Research On Behavior Of Investors And Stock Price Under The Transit Of Equity Circulation

For a long time, researches on stock price mainly focused on empirical analysis, few were done on dynamical mechanism and feedback framework. Up to date, as a developing stock market, Chinese market is even not a Weak-Form Efficiency market. The investors behavior affect stock price greatly. Moreover, the split of shares is the basic and special institutional arrangement in Chinese stock market, which is different from that of the mature market in microstructure. Under the transit of equity circulation, the benefit relation between tradable shareholders and untradable ones is adjusted continuously, the benefit game determined investors'different behavior that resulting in different behavior and dynamical mechanism of stock price. In this article, by theoretical and empirical research, the author explored the reciprocity mechanism between investors behavior and stock price before and in the period of the reform of split of shares. Further more, the system dynamics model was used to simulate the behavior of stock price after the reform of split of shares. The results of the research would not only offer theoretical support for investors'decision-making, but also help the government make appropriate policies and reduce the holding proportion of state stock gradually.Firstly, the Principal-agent Model was used to discuss the behavior of tradable shareholders and untradable shareholders in the context of split of shares. After comparing the value of tradable and untradable stock, different value actualizing and the game between the two kind shareholders, I pointed out that in the split of shares the circulating feature of the stock was valuable in stock pricing. Then I analyzed the game benefit and cost between small investors, institution investors and untradable shareholders in the process of circulation change, Further more I made a serials of hypothesis on stock price behavior affected by the change of stock circulation, including the affect on the price of all the stocks, different equity corporation, different performance corporation and fortune of tradable shareholders and untradable shareholders.The article explored the behavior and forming mechanism of secondary market price during the expectation period of the reform by using loss aversion theory of behavior finance, analyzed the deviation relation between monetary policy, entity economy and stock price behavior since 2001, discussed the cause of exceptional...