Transaction Information, Asset Prices And The Asymptotically Efficient Market Hypothesi

Ever since the concept of“Efficient Market Hypothesis(EMH)”was put forward,price and information have become the main topics in financial academic research.At the same time,it is also the focus of market practice.Under this topic,theoretical research in academic field has heated discussed on the way of market prices reflecting fundamental information,the mechanisms of information aggregation,the possibilities of efficient market,or even other forms of the market.In terms of empirical research,a large number of empirical research work empirically tested the effectiveness of the market,and the debate surrounding efficient market still continues.The empirical evidence supporting the efficient market or "financial anomalies"against the efficient market are endless.On the other hand,in the new century,with the development of technology,an inevitable trend is the increase of information dissemination speed,the increase of trading strategies complexity,and the increase of transactions frequency.The market performance far exceeds the traditional theoretical explanation.Especially in the case of no changes in the fundamentals,while the market price fluctuates abnormally,even"flash crash".Under this theoretical research and market reality background,I choose the topic"Trading Information,Asset Price and Asymptotic Efficient Market Hypothesis".The main purpose is to extend the present research of equilibrium asset price reflect the fundamental information in the existing asset price theory,to price and trade information aggregate the fundamental and the transaction behavior characteristic information framework,and to study the information aggregation mechanism of both the fundamental information and the transaction behavior characteristic information.At the same time,try to link with market efficiency and propose the "Asymptotic Efficient Market Hypothesis".The research in this paper mainly has the following results:Firstly,after a comprehensively comparison of the difference between stock trading and ordinary commodity trading and respective characteristics,I concluded that stock trading process contains information.Secondly,I take trading volume as an example to analyze trading information,and built the Informative Trading Volume Rational Expectation Equilibrium model to prove that the equilibrium asset price includes trading information,and described the mechanism of market information aggregation of fundamental information and trading volume information.Then,in the general situation,I built the Dynamic Rational Expectation Equilibrium to prove that time contain information,and equilibrium asset price reflects time information,and further considered general content of trading information,constructed the general paradigm of trading information rational expectation equilibrium.Finally,considering the micro-foundation of market efficiency,I propose asymptotic effective market hypothesis,where:market price converge to fundamental value,and fluctuate around fundamentals or even deviate from due to trading activities;the market aggregates the fundamental and transaction information;the market is asymptotic efficient.The research in this paper has many theoretical and practical significance.On the theoretical level,first of all,this research extends the existing price theory to market aggregate both fundamental and trading information level,considered the new equilibrium asset price when trading process contains information.Secondly,extended present discrete trading volume information to continuous situation in the Informative Trading Volume Rational Expectation Equilibrium when taking trading volume as an example.Then,provided the general paradigm of trading information rational expectation equilibrium.Finally,proposed asymptotic efficient market hypothesis,from the micro-structure perspective,extended the existing static efficient market research is to dynamic situation where considered the influence of the trading process and the process of market reveling information.At the market practice level,this research also has many important significance in many aspects:Firstly,the theoretical research on trading volume information provides theoretical support for technical analysis in market practice,and it also shows that the market aggregate information,and investment strategy may be invalid.Secondly,the relevant research on price theory provides theoretical guidance for policy maker and market trading mechanism design.Finally,the study of the price formation mechanism form the microstructure perspective will help explain the market reality,such as price fluctuations,where trading information will be transmitted to price,contribute to the abnormal price fluctuation.Specific analysis of market participants can found the practical guidance respectively.This paper generally has the following innovations:Firstly,from asset pricing theory perspective,I extended the price reflects the fundamental information in the traditional theory,to price both reflect the fundamental and trading information.Secondly,in the informative trading volume rational expectation equilibrium model,I extended the traditional one-dimensional price information expectation to a multi-dimensional situation,that is,two-dimensional expectations of price and trading volume.Then,from market information aggregation perspective,I extended the traditional price reflects the fundamental information,to price and trading information aggregate the fundamental information and trading behavior characteristics information.Finally,from the market efficiency perspective,I extended the traditional static market efficiency hypothesis to the dynamic situation.At the same time,due to the level of personal ability,time and energy constraints,this paper also has some shortcomings.The theoretical research work needs to be further improved,such as the existence of the trading information rational expectation equilibrium,and the corresponding empirical research on the empirical aspects has yet to be expanded.In future study,it is expected to continue to improve the present study,so that the theoretical research work of this paper can be improved and deepened,and better explain economic phenomenon in real world.