Research On Stock Price Undulates Based On The Theory Of Asymmetrical Information

Based on the theory of Efficient Market Hypothesis, the efficiency of the stock market can be wholly reflected by the stock price correctly. Once the new information appears, the price can make changes quickly and the change has no bias. That is to say, once the market information changed, the market price would also change. In the modern capital market, such as the scale effect, the inertia effect, the reversal effect, under-reaction, overreaction and so on, which leads to the development of the behavior finance. Based on the behavior finance and the efficient market hypothesis, this paper studies the overreaction of the stock market in our country, analyzes the reason of the overreaction in the stock market based on different models and gives some suggestions to the stock market based on the former theoretical analysis and the empirical analysis, which can be the reference for the development of the stock market in our country. The study in this paper consists of three parts.(1) Based on the data of the stock market of shanghai, this paper makes an empirical test based on the CAR model. In the analysis, this paper chooses one year and six months as the formation period and test period. Some discussions on the results are obtained.(2) This paper gives an analysis on the overreaction of the stock market based on the BSV, DHS and HS models and makes a comparison between different analysis results.(3) This paper gives some suggestions on the overreaction in the stock market from the improving the structures of the investors, government supervision and financial innovation, which can be the reference for the development of the stock market. The study in this paper can be the strong reference for the development of stock market in our country, theoretically and empirically.