Research On The Impact Of Informed Market Participants On The Information Content Of Stock Price

Information content of stock price, often refer to the firm-specific information, which will be reflected by the stock price and the situation of volatility of stock price before the financial publications were published. If the stock price can fully and effectively reflect the firm-specific information, it means a higher information content of stock price. On the contrary, a less information content of stock price. China’s stock market is an emerging capital market, information content of stock price is less. Informed market participants refers to stock traders in the stock market, who can get market information, industry information, and reflect the company’s trait information through their own advantages, including securities analysts, institutional investors and corporate insiders. This paper is based on the theory that informed market participants passed on the stock’s intrinsic value and investment risk by arbitrage behavior in the securities market,treating China’s securities market as research sample and 1-R2 as indicator by means of the multifactor pricing model, inspect the impact of securities analysts, institutional investors and corporate insider on the information content of stock price, and discuss the influence of three kinds of informed market participants on the information content of stock price having the informed market participants as a whole.This paper select 2009-2013 Shenzhen and Shanghai A-stock listed companies as data samples, testing and verifying the impact of securities analysts, institutional investors and traders who are informed market participants in the securities market on the information content of stock price. The results show:Firstly, China’s securities market exists a big gap compared with western countries,but the information content of stock price is basically in an upward trend from 2009 to 2013; Secondly, when we investigated the relationship between the information content of stock price and informed market participants, which shows will increase the information content of the stock; Again, a comprehensive study found that when introducing securities analysts and company insiders variables, there was no significant relationship between institutional investors and the Information Content of Stock Price; however, after robustness tests and performing a zero value to the test, we find that securities analysts, institutional investors and insider trading transactions of people have a significant impact on the information content of stock price.