Analysis Of The Influence Of Transaction Information And Fundamental Information On Stock Price Change

China's A-share market arises abnormal fluctuations in 2015,and it attracts many scholars to discuss the reasons for the fluctuations.The explanations mostly focused on policy factors which are given by many scholars,and didn't related to the internal operating mechanism analysis of the A-share market.At the same time,the existing theory of stock price formation mechanism: the theory of effective market theory,the theory of noise trading,the theory of reflexivity test and the manipulation of stock price can not effectively explain the phenomenon of A-share market in China.For example,Game model can not effectively explain why retail investors do not buy the stocks in the low price but at high levels,and why the retail investors do still actively buy the stocks when prices begin to fall from the high.Therefore,this paper argues that the fundamental reason for the abnormal fluctuation of stock price is the irrational inference of the market participants and the collective action of the market.This paper mainly reflects the asymmetry of stock market from the influence of transaction information and fundamental information on stock price.This paper analyzes the formation mechanism of stock price-asymmetric collective action game.The market participants are divided into institutional investors and retail investors.Retail investors hold that their game object is all participants in the market,or the entire market,and because of their subjective speculative characteristics,their strategy is to use the continuous reflexivity tests based on incomplete information to infer the trend of the stock,and trade.In their reflexivity tests,they are highly susceptible to market transaction information such as the main trading and industry sector index.However,institutions have very rich experience in the market participants,including all aspects of market information and understanding of retail investors.So the institutions' strategy is to use the characteristics of the retail investors' strategy.Under the influence of a fundamental information,the institutions create a "market potential" to induce retail to buy and then to sell out in the high price through the manufacture of market transactions information.Therefore,in the process of asymmetric collective action game,retail investors are more susceptible to market transaction information,and institutional investors create transaction information to deceive individual investors to buy stock by using characteristics of retail investors, so the transaction information is more significant than the fundamental information on the impact of stock price changes.Finally,this paper uses the manufacturing transaction data from July 23,2014 to September 30,2015 in China's A-share market to establish a two-way time fixed effect model to analyze the impact of transaction information and fundamental information on stock price changes.The empirical results show that the main trading and industry sector index and other transaction information are more significant than the fundamental information on the rate of stock price change.This empirical result fully validates the collective action game mechanism of this paper,which shows that the stock market is an asymmetric market.