Private Information And Public Information: Empirical Evidence On Information Integration Speed In The Chinese Stock Market

China's stock market has been established for nearly 30 years,but its overall performance is large but not strong,and its market efficiency is generally low.In order to better realize the optimal allocation of resources,it is necessary to continuously improve the efficiency of the stock market.Information can guide investors' trading behaviors and change stock price behaviors by influencing investors' expectations of asset returns and risks.This paper measures the efficiency of Chinese stock market and reflects the efficiency of the stock market with the speed of information integration into stock price through investors' transactions.Information efficiency is constrained by market environment and information environment.Previous studies on market efficiency measurement in different market environments have neglected information environment.They have not considered that the information integration process of different parts of information sets may have different characteristics.The same method is used to measure the information integration of different parts of information sets,which makes the empirical market efficiency measurement based on partial information sets often produce misleading inferences.Under the prevailing characteristics of speculative noise trading in the Chinese stock market,this paper examines the impact of speculative noise trading on the information integration speed.According to the different characteristics of the information integration process,different indexes and models are used to measure the speed of firm-specific private information and market-wide public information respectively.This paper also studies the influencing factors of market efficiency,measures the relationship between each factor and the information integration speed of private information and public information through the multiple regression model,analyzes the influence of various factors on the information integration process of private information and public information under the background of speculative noise trading,and verify the two types of information whether there is interaction in the process of information integration.This paper makes an empirical test on the intraday high-frequency data of A-share common stocks in Shanghai and Shenzhen after screening from January 2,2012 to December 31,2012.The results indicate that several stock attributes,such as market capitalization,turnover ratio,trading volume,and price level,etc.,are all correlated with the information integration speed for both private and public information.However,their effects on the information integration speed are not the same for the two types of information.The information flow effect of speculative noise trading is very common in China's stock market.By comparing the information integration speed of different exchanges(boards)with different levels of speculative noise trading,it is found that speculative noise trading actually accelerates the information integration of private information,but has no significant impact on the information integration speed of public information.The price level and volatility are the more important factors affecting the information integration speed for both private information and public information when speculative noise trading becomes more prevalent.In addition,the empirical evidence shows that private information and public information actually interact in their information integration processes,and there is a competitive effect.More private information integration slows the information integration speed for public information.Institutional traders conduct more informed transactions on specific private information of the company,which slows the information integration speed for public information in the whole market.When speculative noise trading is more common,the competitive effect will be higher.This paper empirically verifies that when speculative noise trading prevails,the speed of private information and public information merging into price is different,and finds that the interaction between private information and public information in the process of information merging is a competitive effect.It also reminds researchers to pay attention to the choice of market efficiency measure.This paper is a supplement to the existing literature gaps and innovative.In addition,this paper makes an in-depth study of the characteristics of China's stock market and answers the characteristics of different factors affecting the efficiency of the Chinese stock market,which is of great significance to investors,listed companies,stock exchanges and regulators.The research results of this paper can help to find out which characteristics of stocks are more favorable for different types of investors in the Chinese stock market,which is of great significance for investors and arbitrageurs to use their private information or public information to apply arbitrage strategies.This paper explores how to improve the information integration speed into the price of the stock market through the influencing factors of market efficiency,so as to improve the market efficiency,which has certain significance for exchanges and regulators to improve market efficiency by guiding investors behavior in the market and managing listed companies and their stocks,and provides suggestions for them to formulate market policies.