Research On Factors Influencing Stock Price Infomativeness Under Multi-game

An important function of the capital market is allocation of resources, an efficient capital market should be the center of the intersection of information, a variety of information reflected in the price through the investment strategy and transaction of the investors,and then, stock matket can guide resource configuration through stock price volatility. So, the relationship between stock price and information in it determine whether the market is effective or not.Efficient market theory is the basis of modern finance, its core idea is that all information should be reflect in the stock price, that is to say, the stock volatility of stock can reflect all the information of company's fundamental value. However, with the continuous development of the financial markets, particularly the rise of behavioral finance theory and development, more and more scholars question the efficient market theory, a lot of research literature has demonstrated tha not only company's information will affect the company stock, and some information Unrelated to the basic value of the company can also affec the stock price, since the stock price volatility includes the characteristics information of company and other information, so some scholars began to study how many does company information can acconunt for in the all information reflected in stock price, this is stock price informativeness. Which can be a measure whether the stock market is effective or not.This thesis try to research on the stock price informativeness of Chinese securities market and micro factors of it. Different with the previous, In this paper, we establish non-symmetrical micro-panels model to focus on how micro factor, on behalf of multi-game power, impact on the stock informativeness, measured by price non-synchronicity, the results shows that:From 2005 to 2008, the stock price informativeness of the total stock market, because of the severe shock of 2007,2008, is an inverted U-type, however, combine with the research of Chen Menggen, before 2006,the stock price informativeness fo Chinese security market is increasing steadily. and the stock price informativeness of Shenzhen stock exchange, because of more freedom and marketization, is higher than Shanghai stock exchange, especially, Shenzhen SME Board has the highest stock price informativeness. From the industry perspective, the top three is Food and beverages industry, machinery and equipment indutry, and wholesale and retail trade industry.In seven micro factors, stock price informativeness and company size are significantly positive correlated, other similar factor are Corporate Governance Conference, asset-liability ratio, The Fund's ownership percentage and Cross-border listing. However, Inconsistent with the hypothesis, Ownership Structure and audit quality have not clear impact on stock price infomativeness...