Asset Price Behavior Based On Asymmetric Information Theory From The Perspective Of Financial Market Microstructure

It is asymmetric information that is one of the most important contents of finance. On the perspective of financial markets microstructure, based on the asymmetric information theory, asset price behavior in Chinese market is analyzed though the theoretical analysis and empirical testing. The paper includes five aspects:1. Empirical research of asset price behavior in China's securities market. Based on the information model of order-driven market, the intraday characteristics of the liquidity and volatility of Chinese stock market are studied from the viewpoint of asymmetric information. Then, based on MRR structural model and generalized method of moments (GMM) estimation, the impact of the announcement of open market operations on the behavior of stock market is studied from two aspects, namely, the asymmetric information and the cost of liquidity. At last, based on the principle of ordered Probit model, the discrete price choice Probit model is built. The characteristics of the price behavior in Chinese stock market are estimated with a view to the price discreteness.2. Empirical research of information structure and price discovery in China's securities market. First, we give the concept of information structure and review the research process and measurement methods. Then, the Chinese market information structure features is inspected. Finally, the influence of information structure on different types of trading impaction is researched.3. Theoretical research of information structure and asset price equilibrium in order-driven marke. Based on the order-driven continuous security market, information structure and differences of opinion, the sequential trading model that researches on the formation process of asset price and on influences of each factor of information structure on price formation is presented.4. The research of stock price manipulation through Information in Chinese Stock Marke. The model of stock price manipulation in Chinese stock market though private information is found. Conditional on restriction of financing and security loan, trading strategies of informed traders, passive rational investors and semi-rational noise traders are analyzed, and the equilibriums of stock manipulation in different periods are obtained. What's more, influences of restriction of financing and security loan, the extent of ration of semi-rational noise trades and precision of signal closer to truth on stock market are discussed. At last, some advices are presented.5. International comparison and reference of cross-market information monitoring mechanism. After the introduction of stock index futures, cross-market financial monitoring needs to be resolved. Based on financial market microstructure theory and information economics, the basis principle of information transmission between stock index future market and stock market is researched, according with characteristics of risk correlation in these markets. Then, the influence of cross-market information monitoring mechanism on information transmission is analyzed. Consequently, the framework, process and methods of information monitoring mechanism in China is found, based on characteristics of Chinese security market and experience of information monitoring of oversea security markets.