Study On Price Behavior In Stock Market Of China Under The Asymmetric Information

There are special particularities in the stock's structure and mechanism in the stock market of China, which is an emerging market. These particular phenomena imply that there is very serious asymmetry information in our stock market, which must lead to inverse selection of liquidity traders and informational traders. So the researches on different field of Chinese stock market should be set up the presupposition of asymmetry information. On the basis of the fact of asymmetry information in the stock market, this dissertation researches the characteristics of price behavior and the relationship between volume and price volatility from theoretical and empirical evidence.1. General characteristics of price volatility behavior in Chinese stock market are researched in detail and volatility between emerging markets and mature markets are compared. Empirical results show that there are obvious volatility clustering and persistence effects in our stock market; at the same time the characteristic of negative asymmetry volatility is distinct. Through the contrastive researches on the research between the emerging and mature markets, it is implied that the market risk in emerging stock market is larger and the information affecting the volatility at present cannot be utilized to forecast the future asset return.2. Intraday volatility characteristics of price behavior in Chinese stock market are empirical researched on the basis of high frequency data at five minutes interval of Shanghai Stock Exchange. The paper concludes that the U model intraday price behavior is obvious in our stock market, and it is the result of the process that last-night information delivers to stock market and is absorbed by all the traders.3. The structure mode, which researches intraday price discovery under the asymmetry information condition, is introduced and the intraday high frequency transaction data are utilized. The concludes indicate that public information, asymmetry information and liquidity cost all show U or L model price volatility behavior during the transaction day, and price volatility in small scale stocks inducted by asymmetry information is nearly five times than large scale stocks. In addition, to all the stocks in our market, it is public information but asymmetry information that is the most important factor with the largest proportional in all which affects price volatility.4. Asymmetry information transaction volume mode is studied under simplifiedhypothesis in the paper. The mode implied that it is positive correlation between asset price volatility and transaction volume, which affects price variance, conditional variance evolves just like traditional GARCH mode. Empirical results explain that transaction volume is a good representative information variable and undoubtedly affects the variance of return. From empirical view, the conclude proofs that the theatrical mode of relationship between transaction volume and price behavior under asymmetry information in the paper is correct.