| In recent years, as the global economy went into depressed stage of the financial crisis, the economy of our country has entered the rapid growth stage of the new normal. During the period of the new normal, to maintain steady economic development, it needs to improve the efficiency of financial services to the real economy, deepen the reform of the financial system, and perfect the system of stock market.According to the current trading system of our country stock market, the price limits system is the most controversial. In the early days of A-share market, there was full of speculation in the air, and stock price fluctuated violently. To prevent price fluctuating severely and maintain the market stable, the limitation system appeared. Twenty years later, capital market has achieved blossom by leaps and bounds. As an interferential trading system, price limits on the market has been doubted by more and more scholars. So, studying the influence to the market of the price limits system has vital influence on promoting the reform of stock market.In the past, events such as "insider trading" occurred frequently. Information Asymmetry was the key of hindering price discovery, exacerbating fluctuations of stock price, lowering the efficiency of the market, and destroying the market order. So in order to promote the development of the stock market, the first problem is to reduce the level of information asymmetry in stock market. In view of this, with focusing on the effects of the price limits on stock information asymmetry for an all-around, multi-angle, and deep-seated research, this paper puts forward some policy recommendations for the reform of the market system.First of all, by the method of literature research, this paper analyzes effects of the price limits on stock information asymmetry on the basis of theory, which believes the price limits will hinder information spreading, and exacerbates stock information asymmetry. On the one hand, so the price limit interrupts the continuous changes in prices that the uninformed traders can't learn timely from the price and volume changes, which hinders the dissemination of information and leads to stock information asymmetry deepening; on the other hand, informed traders influenced by the price limits and based on the principle of profit maximization, around the relationships of limit price and the equilibrium price, change their investment strategy, delay or centralize trading in an attempt to mask information, resulting in reducing information revelation and transmission efficiency, increasing the possibility of informed trading and deepening the degree of information asymmetry.In the next place, through the empirical approach, around the influence of the price limits to the stock information asymmetry, this article researches from the following four points:First, by the piecewise comparison method, it studies the relationships between conditions of ups and downs and the situation of information asymmetry of 2737 non-ST stocks in the A-share market from January 2014 to December 2015. On the basis of demonstration of the EKOP model's applicability in measuring the stock information asymmetry in the A-share market, the entering of noise trading improved the traditional EKOP model, and then it respectively calculated the sample stocks'informed trading probability of a small number of limit move shares at the preliminary of the bull market and a large number of limit move shares when the stock market disaster happened. By comparing them, it comes out the larger the number of limit move shares is, the higher the degree of information asymmetry in stock market is.Second, by grouping comparative method, it studies the differences of degree between limit move shares and wide-range move shares. According to the conditions of the ups and downs in each trading day, it dynamically divide all stocks into each trading day group, such as limit-up group, limit-down group,large-range up group and large-range down group. By parametric testing (Z-test) the probability of informed trading in each stock group, it found there existed significant differences between limit move shares and wide-range move shares in the beginning of the bull market and the stock market crash period, which certified that price limits has positive correlation relationships with stock information asymmetry significantly.Third, set a time window to study the timeliness of how much price limits make effect on stock information asymmetry. In the beginning of the bull market and the stock market crash period, it respectively selected the maximum number of price limit move shares trading day as the event day, just like July 16th 2014 and June 15th 2015.It divided sample shares into limit-up group, large-range up group, large-range down group and limit-down group, according to whether they reached price limit on the event day. with the help of non-parametric tests (K-W), comparing the degree of information asymmetry in four groups whether there existed a significant difference before and after the event day each ten day, it found that:(1)Degrees at the 1% significance level,the limit-up and the limit-down group are higher than large-range up group, large-range down group on the event day, which proved the degree of information asymmetry in stock is high when shares achieved limits move; (2) Before the event day, four groups'degree of stock information asymmetry didn't exist significant differences, which denied the hypothesis that the higher degree of information asymmetry of the stocks were,the easier they could achieve price limit,and proved that shares achieved limit move stock was the reason why the degree of information asymmetry became higher on the event day; (3)On the first trading day after the event day, the limit-up group's and the limit-down group's degree of information asymmetry were higher than the large-range up group's and the large-range down group's at the 5% significance level while the significant difference didn't exist on the rest trading day.It shows that the impact of the limit move on the degree of information asymmetry is relatively shortly on-going.Fourth, study the price limits how change the relationship between stock information asymmetry and its influence factors by constructing a panel regression model with factors affecting the level of information asymmetry, and explore the transmission mechanism of the impact on stock information asymmetry from price limit. Based on the theory analysis of the influencing factors of the stock information asymmetry, it constructed individual fixed effects model in which probability of informed trading is interpreted as a variable, and the influence factors of the dummy variables, interaction terms and stock information asymmetry as the explanatory variables, by importing dummy variables of limit move shares and interaction terms of them and their influence factors. From the regression coefficient of each variable in the model, the analysis shows that when the stock reaches a price limit, the scale growth of company has less negative influence on stock information asymmetry, and the absolute change in stock price, volume and amplitude have stronger positive influence on stock information asymmetry, the degree of stock information asymmetry goes up.Finally, combined theoretical analysis with empirical analysis and based on quantitative empirical results, this paper qualitatively studies the reasons why limit move caused the degree of information asymmetry rising on that day and next day, and the reason why price limit caused the change of relationship between stock information asymmetry and its influence factors, and put forward some policy recommendations aimed at the reform of the stock market system.Compared with the previous studies, the innovation of this paper is mainly reflected in the following four aspects:(1) Topic's selection:most previous studies with changes of exchange rate, price and other indicators, indirectly departed from the reasons why price limit caused information asymmetry or market reactions from information asymmetry under the price limit, and inferred the asymmetric relationships between price limit and stock information asymmetry. Different from them, this paper confirmed informed trading probability as a proxy for the degree of information asymmetry, selected " the influence of price limit on the degree of information asymmetry" as the research object, and studied the relations of the two positively and directly.(2)Model's improvement:this paper faced the problems existing in the measure model (EKOP model) of information asymmetry in measuring the stock information asymmetry in the A-share market. First, order-driven market transaction rules are different from market maker trading rules. Second, assumptions about market participants disagree with the actual. Based on this, this paper firstly demonstrates the applicability of EKOP model on the A-share market, and then makes improvements to the traditional EKOP model by introducing a noise trader.(3) Construction of model:stock information asymmetry affected by many factors when studying the conduction mechanism of the impact from price limit on it. This is the first time basing on full consideration of all kinds of factors influencing the stock information asymmetry, introducing of the price limit dummy variables with interaction terms of them and their factors, and constructing individual fixed effects model of stock information asymmetry factors in this paper.(4)Extension of the conclusion:This paper not only probes into the cause of elevated stock information asymmetry by price limit, also discussed the meaning from this paper conclusion in other areas at the view of pricing. It comes out that in this paper price limit will make stock information asymmetry degree increased, while the conclusions of previous studies showed that the risk of information asymmetry is incapable of ignored risk factor in the stock pricing. Then in different stock markets different price limit settings will lead to different risk of stock information asymmetry, and different information asymmetry risk will lead to different price of the same stock with consistent fundamental indicators. Therefore, the conclusion of this paper undoubtedly provides a new perspective to research cross listed stock price differences.The deficiency of this paper:(1) Due to the difficulties of data collection and model calculations for a long time, this paper only comparatively analyzes the impact of price limit on stock information asymmetry in bull period and market's performance extreme crash period, but doesn't study on correlation of price limit and the degree of information asymmetry in the bear market period;(2) This paper analyzes the reasons of limit move shares'information asymmetry degree rising on the first limit day and the next day, and the reasons of price limit changing the correlation of stock information asymmetry and its influencing factors. However, limited to the writer's shallow qualifications and knowledge limitations, the analysis conclusion couldn't yet perfectly explain the path of price limits impacting on stock information asymmetry, so it waits for further development and research. |
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