Study On Stock Price Behavior Under The Influence Of Information Asymmetry In Chinese Market

Research of information asymmetry on the impact of stock price is the critical branch of market microstructure theory,When there is asymmetric information in the market,the informed traders who have private information will integrate the information into the stock price through the trading behavior,which will affect the stock price.One of the most obvious features of the stock price behavior is the non-synchronization of stock price,which is whether the stock price and the market price are in the same rising or falling attribute.The transaction behavior of the informed trader brings more information into the stock price,which affects the non-synchronization of stock price.The degree of asymmetry of information is more significant before or after the information disclosure,the transaction behavior of informed traders is also more active.Before or after the information disclosure,the informed traders integrate information into stock prices,and also affect the behavior of non-informed traders,Thus affecting the drift of the stock price before and after the announcement.Based on the microstructure theory,this paper studies the impact of asymmetric information on the stock price asymmetry by constructing a DPIN model which measures the degree of asymmetric information.It further studies the influence of asymmetric information on the drift of the stock price before and after the disclosure.First,constructed the model of intraday i informed transaction probability,which measures the degree of information asymmetry in a shorter time interval.Further,considering the different situations of transaction size,disposal effect and trend chasing of informed transaction,and use it to analyze the significance of asymmetric information in China's securities market and its changes.Then,based on the microstructure perspective,this paper studies the asymmetric information on the impact of non-synchronous,pointed out that the asymmetric information is the main factor affecting the price of non-synchronous,asymmetric information through informed traders into the stock price,Which leads to the increase of the information content in the stock price,that is,the non-synchronization.Next,we study the relationship between asymmetric information,unexpected earnings and the price drift before and after the announcement.The degree of information asymmetry affects the drifting degree of earnings announcement before and after the announcement.Finally,we summed up the whole paper and pointed out forward research prospects in the future.