Research On The Trend Of Domestic Stock Market Pricing Efficient And Influence Factor

The law of one price(LOP)assumes that assets with the same intrinsic value have the same price.As one of the most fundamental assumption in finance,the violation of LOP in reality has always been the focus of finance research.In reality,assets with the same intrinsic value often have been priced differently.The arbitrary action based on LOP may be prevented by a series of costs,hence the elimination of LOP can not be made in time.According to the latest research overseas,the violation of LOP may persists,especially at the intraday level.In this paper,the author use empirical research with domestic statistical data to examines the differentiate pricing of the SSE 50 index and the SSE 50 index ETF,from 2005/7 to 2018/2.As the SSE 50 index ETF is the identical copy of the SSE 50 index,these two securities are assets with the same intrinsic value,which ought to has the same rate of return,facing any information flows.Hence this paper examines the tracking error of these two securities and discover the following points:Tracking error exists in all time intervals.However,as the time interval extends,tracking error becomes smaller.The largest tracking error shows up in one-minute time interval,while the smallest tracking error shows up in sixty-minute time interval.This proves that the violation of LOP occurs in every time interval,but will be partially eliminated as the time interval extends.As the improvement of domestic finance market,tracking error becomes smaller in general,meaning the violation of LOP is decreasing.The violation of LOP is influenced by calendar effect.Although weekly effect does not affect the violation,holiday effect significantly decrease the violation of LOP,which means noise traders and some other things that disturb investor's sentiment will be less active near holidays,thus increase market efficient.Liquidity decrease the violation of LOP,while trading volumes increase the violation of LOP,unexpectedly.This means traders consist of both noise traders and arbitrary traders.