| The impact of asymmetric information on asset price is a very important problem in financial studies. While financial market microstructure focuses on asymmetric information, most market microstructure literature examines the impact of asymmetric information on asset price indirectly instead of studying the relationship between asymmetric information and price discovery. This paper examines the implication of market microstructure theories for price discovery, and studies the role of asymmetric information in price discovery both theoretically and empirically. The main contents of the dissertation are as following:The first part: the second chapter deals with the origin, developing phases, objectives and lately publications of the theories of financial market microstructure. The first chapter also illustrates the importance of the research on the price discovery of Chinese stock market. The third chapter tells about the definition, measurement and estimation of price discovery. Several factors that affect the long-range and short-range price discovery are discussed qualitatively.The second part: Empirical Study the formation of bid-ask spread. The bid-ask spread can be a function of information asymmetric and differences of opinion. And we research the relation between the bid-ask spread and size (market value),liquidity,trade size, also investigate intra-day patterns of the bid-ask spread. The third part: Based on the market microstructure theories, the impact of asymmetric information on asset price is analyzed directly. It is represented that the price system can be viewed as information dissemination system, and price, trade (including trade size, direction and time), and the effect of trade on price are all informative. The informed trading possibility in Chinese stock market is tested empirically by an empirical model.The forth part: the seventh chapter is the conclusions of the whole thesis with several suggestions for developing Chinese stock market. |
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