A Study Of Measure And Influencing Factors Of Information Asymmetric Degree In Chinese Stock Markets

The discussion of measure and influencing factors of information asymmetric degree in stock market is an important subject in Market Microstructure Theory and Corporate Governance Theory. The problem of information asymmetry in China's stock market is more outstanding. Therefore it is very necessary to study this problem.According to the actual situation of China's stock market this paper selects MRR model, GKN model and LSB model as measure models of information asymmetric degree, and measure the information asymmetric degree of Shanghai and Shenzhen 300 Index respectively in the phases of bear market and bull market. The results of measurement show that information asymmetric degree in the phase of bear market is 36.98% and information asymmetric degree in the phase of bull market is 40.64%. The information asymmetric degree in the phase of bull market is higher than that in the phase of bear market. It indicates that investors have a much greater incentive to access to insider information of listed companies for benefit drive in the phase of the bull market.According to Market Microstructure Theory and Corporate Governance Theory, the paper makes empirical studies to examine the information asymmetric degree's relationship with corporate equity and management incentive based on MRR model, GKN model and LSB model. The paper also does the robustness tests and bull market tests to examine the accuracy and reliability of empirical conclusions. There are four main conclusions in the paper. Firstly, insiders significantly increase the degree of information asymmetry while institutional investors and equity transfer significantly lower it. Secondly, the more of that ownership is concentrated in a listed company, the lower degree of information asymmetry. Thirdly, management incentive makes negative impacts on the degree of information asymmetry, but ownership incentive has a more significant effect than remuneration incentive.