Research On Price Behavior Influnced By The Strategic Trading In The Stock Market Of China

In the stock market of China, there are a few influential traders who have the superiority on both information and capital. They are named informed traders in the Market Microstructure Theory and mostly refer to the institutional investors. Correspondingly, there are a great lot of individual investors, who are in the unfavorable condition for capital and have difficult in both collecting information and cooperating with each other. They are called uninformed traders in this paper.The paper does some research on how the trading strategies of both informed traders and uninformed traders work on stock price in the market of China. The paper also analyzes the behavior of stock price at two market states.At first, the paper introduces primary theories of stock market briefly. Then, it introduces the Market Microstructure Theory and the way to research price behavior by analyzing strategies of different traders. It proposes that we can research price performance in the stock market of China from the perspective of strategic trading. On the basic of analyzing how the trading strategies of both informed traders and uninformed traders work on stock price, the paper does empirical research on Shanghai stock market. After communicating the partial correlation coefficient between stock price and the number of stockholder, it found that the relationship is different according to if there are informed traders or not. Finally, the paper constructs a panel data model among stock price, the number of stockholder and Shanghai stock index, and gets the conclusion: when there are only uninformed trades, the positive relationship is found between stock price and the number of stockholder, and the prices change in the same way; when there are informed traders exiting, the negative relationship is found between stock price and the number of stockholder, and the prices perform in different ways.