Information Efficiency And The Adjustment Of Asset Price In Cross-market

How will the adjustment of stock to get complete reaction when new information arrived the market? Whether there is overreaction or under reaction? The substance of these two questions is information efficiency and dynamic adjustment process of stock price. With the launch of stock index futures, our country successfully enter the age of cross market structure. The information efficiency and adjustment of stock in A stock market are worth researching.First of all, this article presents the theory background of information efficiency and relevant research model. Combing out the researches in and abroad, choose the interval multistage emigration adjustment coefficients of stock as the quota of information efficiency in the stock market.Afterwards, analyze the questions of dynamic adjustment process of stock price and information efficiency in a stock market before and after the launch of stock index futures by choosing datas in real market. We get the conclusion that the launch of stock index futures has not much influence on information efficiency in the stock market through analyzing the calculation results. This demonstrates that in the cross market structure, adjustment of external information is still inadequate in our stock market, stock prices will still largely deviate from its intrinsic value and the power of price discovery has not completely developed.At the same time, go a step further to find out the influence factors on information efficiency in the cross market structure. This article bottom on the methodology of agent-based computational finance, and use the Sum Web platform to study the relationship between stock information efficiency and investors structure. The result demonstrates that the proportion of event investors has not much influence on information efficiency in the stock market while the proportion of arbitrage investors has more influence.At the end of empirical research and simulation experiment, give some policy proposals on the base of the conclusion that we have got. Meanwhile, point out the shortages of research and the direction of further research.