Exchange Of Information Disclosure On The Stock Market Price And Volume Of Study

Transparency plays an important role for the healthy development of the stock market. The information disclosure helps to build a fair, just and open market order, protects the rights of the market participants, and is especially important for the young Chinese security market. In this paper, based on the top ten buying and selling volumes for each stock provided by Topview, we have an analysis of the informed trading in Chinese stock market, and the impact of information disclosure on the informed trading activities. Our study, which deals with the information transparency in Chinese stock market, provides some guide to build a regulated information disclosure policy.The methods used in this paper include the Baysian method, equilibrium method, and other empirical method. We provide a systematic study of the informed trading activities in Chinese market and the impact of information disclosure on the stock prices and trading volumes. The main contents and conclusions of this dissertation are as following:(1) By building an equilibrium model of rational expectation, we examine the impact of information disclosure on asset prices and trading volumes under heterogeneous risk preference. Our theoretic analysis shows that the information disclosure helps to lower the degree of asymmetry and decreases the information risk in the market, which in turn makes the expected asset return under equilibrium to become small. Meanwhile, when the information is disclosed to the public, the investors who have informational advantage originally will decrease their demand for the stock,while those who are in the position of information disadvantage originally will increase their demand for the asset.(2) We use the top ten volumes (including buying and selling volumes) provided by Topview to calculate the concentration ratio for each stock traded in Shanghai A Stock market. Two methods, including the VAR method (Vector Autoregression) and event study method, are used to examine whether the concentration ratio contains information about the price movement in the future. The empirical results using both methods show that there exists information content in the concentration ratio. Moreover, even though Topview has a period of delay to publish the trading information, the investors can benefit from the delayed information as well.(3) We empirically analyze the impact of information disclosure by Topview on the stock returns. To this end, we partition the sample period into six, and examine the information content of the concentration ratio for each period. The empirical results show that the curve of simple stock returns displays "L" shape during the six periods. The ability to earn excess returns using big positive concentration ratios becomes weaker during the first five periods, while rebound in the last period. On the other hand, after the big negative concentration ratio, the curve of simple stock return displays "L" shape during the six periods. The results suggest that as information becomes more transparent, the negative information is reflected in the market more quickly. We also analyze the impact of information disclosure on the trading activities of the uninformed traders. The results show that the uninformed will increase their trading volume for the stocks in a more transparent market.(4) We take the two stamp duty adjustments, which occur on April 24,2008 and September 19,2008, as examples, and use the event study method to examine the movements of the market average concentration, and analyze whether there exist insider trading activities during these two events. The empirical results show that there exist possible insider trading activities before April 24,2008, while the evidence of insider trading in not obvious before September 19,2008. Meanwhile, we find that, insider trading is more likely to occur for stocks with high market capitalizations and low turnovers, for the purpose to transactions hiding and low operating cost.