Research On The Relationship Between The Informed Trading And Price In The Chinese Stock Market

Under the information asymmetry,informed trade relationship with the market is a core issue in the field of finance. At present in the financial field, research on the relationship between informed trade and stock price are mostly by indirect method, such as through the high frequency data research market makers under the condition of high frequency trading strategy of adverse selection. Or through observation of bid-ask spread under asymmetric information, the movement of stock price and so on, these studies do not intuitively study the relation between stock price and close to the deal, resolution in the case of asymmetric information, the change of factors such as market efficiency. This paper is based on asymmetric information distribution of the market, by building the informed trading model, to examine the insider trader or informed trader's trade relationship with the stock price and the change of market efficiency.This paper researches long-term and short-term informed trade relationship with stock price from two aspects: long-term and short-term. First of all, this paper introduces the basic concepts and related theories and divides the trader types according to the distribution of the information. According to the existing theories and transaction model, this paper has carried on the theoretical analysis on the relationship between the stock price and informed trade;Secondly, in view of our country's stock market trading characteristics, the probability of informed trade of the stock market in China has been established to measure; By establishing the dynamic VAR model, empirically analyses the relationship between the informed trading and stock prices. Using EKOP PIN probability measure model to construct a model to measure the long-term probability of informed trading; Then, this paper selects the R2 of CAPM model as a proxy index of stock private information content; Though the panel data model, this paper examine relationship between informed trade and stock price. Through the theoretical analysis and empirical test conclusion: the volatility of stock prices is driven by informed traders' trade; the volatility of stock prices reflects the level of informed trade ,and the private information of stock can be shared by stock price. Finally, this paper proposes the countermeasures and suggestions of improving the efficiency of Chinese stock market.