Research On Corporate Governance,Information Asymmetry And Stock Price Behavior

Information on the capital market is of a decisive role in the formation and change of stock price,which impacts the stock price behavior directly.So the capital market is always regarded as the information market.But in the reality,information of the capital market can’t achieve the perfect state due to the influence of various factors,which makes the stock price discovery process very complicated.Therefore,the research of information asymmetry has become an very important part of the research on the market microstructure theory.Based on the Information asymmetry theory,this paper combines the company finance and market microstructure theory and carries a research on corporate governance,information asymmetry and stock price behavior through the theoretical and empirical studies.The paper is mainly composed of the following two parts:One part is a research on the governance of Chinese listed companies and stock price synchronicity.First of all,using the sample data of listed companies in Chinese a-share market from 2009 to2014,a panel data with fixed effect regression model is established to examine the relationship between corporate governance and stock price synchronicity.The results show a significant negative relationship between corporate governance and stock price synchronicity.,It means that the effective governance is expected to improve information transparency,which increases firm-specific information.Thus,firms with stronger corporate governance are associated with lower synchronicity.Secondly the further research show that firms with lower synchronicity have better firm performance than firms with higher synchronicity.The other part is a research on the informed trading and adverse selection problems in the Chinese stock market.First of all,drawing lessons from domestic and foreign researches,to develop proxies for the probability of informed trading,this paper combines contrarian trades with stealth trading,two concepts of informed trading.We use these proxies to test the relationship between informed trading and adverse selection which is measured by bid–ask spreads and stock illiquidity.In addition,taking behavioral biases,such as trend chasing and the disposition effect,into consideration,further refinements of the probability of informed trading are developed.Secondly,the article analyses the sample of the shares on CSI 800 index listed companies between 2011 and 2014 to test the relationship between informed trading and adverse selection using the high-frequency data and financial data with the Fama-Macbeth regression.The estimation results show that these proxies are highly positively related to bid–ask spreads and negatively related to stock liquidity in various empirical specifications.The robustness of these proxies for informed trading in the paper shows that the proxies developed can capture the adverse selection component of bid–ask spreads and illiquidity caused by information asymmetry successfully.