Research On The Effect Of Information Asymmetry On Shanghai Stock Market Liquidity Base On PIN

The information asymmetry generally exists in the stock market of all countries,and it is inevitable, which is one of the most important characteristics of the stockmarket. In recent years using high-frequency data on asymmetric information of thefinancial market has been becoming a hot topic in the field of the financialquantitative research. Liquidity is one of the basic functions of the stock market, andan important indicator of the health of the stock market. In view of the importance ofinformation asymmetry and liquidity of stock trading, this article on the level ofinformation asymmetry and its impact on liquidity of the Shanghai stock market.Through studding of information asymmetry level metrics PIN we canunderstand the information asymmetry level of our country. The Probability ofinformed trading PIN and market liquidity indicators from a quantitative point ofview of the number of concomitant, we can found that the impact of informationasymmetry on the stock market in general, that can reduce the risk of adverseselection and promote the sound development of the stock market. The theoreticalpart of this article is to compare the stock markets with asymmetric information andthe level of liquidity metrics to determine the measurement method used in this paper.Model analysis section first systematic analysis the EKOP model market assumptionsand model principle to verify the applicability of the model in China stock market.Empirical research, choose the Shanghai stock market as the research object, selectthe SSE50index12stocks representative as a sample, then use the PIN indicatorsand liquidity indicators L sample stock transactions on behalf of the level ofinformation asymmetry quantify and liquidity levels. Finally, correlation andregression analysis to PIN indicator of the level of information asymmetry andliquidity indicators L. Shanghai stock market information asymmetry level andliquidity is positive correlation, and the asymmetric information elevated levels will bring the conclusion of the increased liquidity.This paper aims at the study of the impact on the liquidity of the Shanghai stockmarket, the level of information asymmetry, analysis the level of informationasymmetry existing state and its relationship with liquidity of the Shanghai stockmarket, to achieve the purpose of theoretical support as well as the actual decisionmaking reference for stock market investors and researchers.