The Research Of Information Integration Under Chinese Stock Market Impact

Information plays a very important decisive role for price behavior on the stockmarket, and price discovery process of securities is actually a process of informationtransduction and integration into the price. The development of information theoryand model has always been the focus and emphasis of the domestic and foreignmarket microstructure research. Theory and model is the cornerstone of the study ofthe laws of the market variables and their relationship, the more logical basis for thepractical application of the investment decision-making. On the background ofincreasingly high-frequency transaction, this article studies information arrival-conduction-integration-the release process as well as information impact drivingprice jump mode, also the growing forecast event study. The following is the gist ofthis research:Firstly, basing on the intraday jump identification method which under BNStheoretical framework, this paper depicted the distribution characteristics of intradayjump’s time and amplitude in Chinese stock market. Combined with non-parametricestimation methods, this paper studied the whole process of information arrival–conduction–integration–release, which also is intraday jump’s PIN effects mode.This paper researched the driving effect of generalized information on price’ssignificant jump, and the results show that intraday jump is a fierce form of pricediscovery and in which the information fully integrates into the market instantly. Thisstudy not only has theoretical significance for researching stock price discoverypathway, but also has practical significance for high-frequency trading strategies andrisk management.Secondly, basing on the method of calculating intraday high-frequencyprobability of informed trading in which sampling periods are divided by equivalentvolume, this paper constructed indicators to measure the high-frequency informationimpact. And combining with the intraday jump identification method within theframework of BNS theories, this paper researched the patterns of high-frequencyinformation impact driving intraday jump from a more microscopic view. Theempirical results show that high-frequency information impact can drive intradayjump in a certain extent but the driving has no firm size effect. Further researchdemonstrates that intraday jump size increases with the increase of two-dimensionindexes of high frequency information impact.Lastly, in order to study the PIN effect of forecasted events, the article used eventstudy methodology to investigate PIN sequence significant during the selected time window period and the impact of information disclosure on the excess returns ofgrowing forecast. The empirical results verify that in Chinese weakly efficient marketinformation disclosure of growing forecast exists and information pre-reaction periodis2trading days before the announcement. The information disclosure in pre-reactionperiod has a weakening effect on the excess return of the event.