The Comparison Of The Probability Of Informed Trading And Its Effectiveness In Price Volatility Forecast Among SSE STAR Market,Main Board And NASDAQ

With the continuous growth of the global economy,the ability of sci-technology innovation has gradually become a key indicator to measure national competitiveness.In the critical period of China's economic transformation and upgrading,SSE STAR Market came into being.Compared with the main board in terms of listing standards and trading mechanism,SSE STAR Market has been significantly liberalized,and is more close to the Nasdaq market.It's mainly manifested in relaxing the requirements on the profitability of enterprises which to be listed and relaxing price limits to 20%,which to a certain extent magnifies the investment risk of SSE STAR Market,so it is of practical significance to measure the degree of information asymmetry and predict the future fluctuation of asset prices of SSE STAR Market.In this paper,VPIN is used as an indicator to measure the information asymmetry,and the high-frequency trading volume of the underlying assets is divided by the Volume Clock.The proportion of informed traders in the market is represented by the imbalance of the trading order flow in the interval,and the data is updated in a rolling way to simulate the speed of informed traders arriving the market.Through the comparative analysis of VPIN values of some listed companies in the SSE STAR Market,the main board and Nasdaq market,it is found that the probability of informed trading of SSE STAR Market is higher than that of the main board and lower than that of NASDAQ,but considering that the trading mechanism of "t + 0" in Nasdaq market may improve the participation of informed traders in a certain sense,and based on the fact that the proportion of institutional investors in China's capital market is far lower than that in the U.S.market,the degree of information asymmetry in China is actually at a high level.On this basis,this paper takes the realized volatility RV as the index to measure the asset price volatility,and analyzes the prediction ability of informed transaction probability to the future asset price volatility,and finds that VPIN value is often prior to RV value to reach the recent high point,and the predictability of VPIN index in China's capital market sample is better than that in the United States,especially for the applicability of SSE STAR Market.Meanwhile,due to the outbreak of COVID-19,the global capital market suffer a huge shock.Therefore,this paper analyzes the change of VPIN value of enterprises with high degree of concern in the Chinese and American market during the epidemic period.The results show that under this sudden systemic risk,the prediction effect of VPIN on asset price is weakened.There are two main reasons for speculation: one is that informed traders choose to wait under the fierce market fluctuations;the other is that a large number of trend traders including uninformed traders enter the market,which make the identity of informed traders hidden.Based on the existence of information asymmetry,it is difficult for the capital market to realize its own virtuous cycle.So it is necessary for relevant departments to improve the quality of information disclosure,establish a high-frequency early warning mechanism and improve the investor protection system to reduce the degree of market information asymmetry and its negative impact from the source,the middle and the post three stages respectively.In addition,the stock exchange should speed up the establishment of relevant indexes of SSE STAR Market,enrich relevant investment varieties,broaden the investment channels,and enhance the important complementary role of SSE STAR Market in China's capital market.