A Theoretic And Empirical Study On The Influence Of Information On Return In China's Security Market

For China's security market was in the transfering stage from marketization into internationalization, it's imperfect information management mechanisms usually caused the bafflement for information transmission and an inefficient market, Self-regulation couldn't simply solve the problem of information transmission. On studying such an issue of information transmission in security market, traditional research tried to find the reason for impeding information transmission normally just by studying on company information's disclosure, delivery and reflection in trading. However, the influence of governmental information, company information, and institution information and investor sentiment on return under asymmetric information was neglected here. The author believed, to estabilish an information analysis system mainly with governmental information, company information, and institution information and investor sentiment would help to understand the feature of information transmission in current stock market and improve the efficiency of information supervision.In this dissertation, general mechanism and influencing factors of information transmission was firstly discussed, by comparing with the sino-foreign information management system, the author measured the speed of share price adjustment with generalized autoregressive conditional heteroskedasticity, which gave a approximate conclussion about the efficiency of information transmission.According to the analysis above, this dissertation also researched on the disclosure, influence and efficiency of information transmission from governmental information, company information, and institution information and investor sentiment base on the theoretical and empirical view with the original data. The conclusion indicated that first, governmental information did have the impact on investor's decision-making, information game between the government and investors lead to the transmission deviation of governmental information, sustained variables of governmental information (mainly as money supplyment and interest rate) had a positive effect on trading, among this, money supply has a long-term impact, adjustment of interest rate caused the stronger impact on market, comparatively speaking, discrete governmental information (policy events) caused a direct impact on the market, good news has stronger impact on market than bad news, however, by the time went on, the impact declined. Second, there was a significant correlation between accounting information and share price with a significant linear correlation; comprehensive explaination for most of the multivariate linear model on accounting indicators and stock price was strong every year, but accounting indicators brought into the model was uncertain for different year, forthermore, the strategy choice (for about time, frequency and accuracy)to temporary information disclosure of listed companies was the important factors impacting on the efficiency of the company's information transmission; Third, the trading of individual investors showed significant features of herding behavior to the decision of institutional investors, and herding behavior seems to be obvious for buyer than for seller, which didn't vary with the time going on; Finally, portfolio earings of different samples has a persistent or reversal feature, by the study period went on, investors sentiment show some feature of cautious, investor sentiment is generally dependent on the frame.Finally, this research analyzed the factors that hold up information transfer in China from the view of system defect, corporate governance, credit absence and investor education, and finally put forwarded some management methods and policy recommendations of improving market efficiency and enhancing the regulatory to market information.