Asymmetric Information And Capital Market Efficiency Study

This thesis, focused on an analysis of the information asymmetry between various investors in the stock market, attempts to unfold the impact of the asymmetric information the stock market efficiency.It involves the effect of the asymmetric information participants'behaviour including investors and companies on the stock market. The relationship between information asymmetry and stock prices is in essence the correlation between the change of stock prices and information revelation. Stock prices as mentioned in this thesis, if not specified, refer to the equation prices under the condition of market clearing. This thesis points out the Walras equilibrium is no longer workable as applied to stock market with incomplete information. And it examines the rational expectation equilibrium theory, which accounts for the efficiency of the market. The exposition of the rational expectation equilibrium theory is carried out on two levels. On the first level, the exposition is based on the premise of a perfectly competitive market. On the second level, there is actually an imperfectly competitive stock market. and the paper discusses the forming of the rational expectation equilibrium under the two conditions the stock price reveals the private information completely and incompletely. The third effect of the asymmetric information is on the fluctuation of stock price. The thesis founds a model and then analyzes the improving of the information and the declining of the stock price's fluctuation.In the 4th chapter, the thesis applies the statistical methods to the Chinese security market and draws a conclusion that the Chinese security market is weak-form-efficiency one.