Research On The Asymmetry Information And Liquidity Of Chinese Stock Market

According to the theory of market microstructure,the essence of price formation is the process of information disclosure,integration and transmission.Therefore,research the relationship between information and liquidity is of great significance to explore the price discovery rule,and the relationship between a result,there has been controversy,will be hard to detect the private information and public information separate study,can grasp the inner relation of information and liquidity helps financial regulators to strengthen targeted prohibit insider trading legislation,to short time dried up liquidity in the market at the same time to prevent abnormal phenomenon,has the practical significance.In the securities market,listed companies are the target of investors' investment,the main body of the market and the important source of market information.Therefore,the management,equity structure,corporate governance mechanism are decisive factors for the quality of the stock market.In particular,China's stock market,the nature of China's economic ownership determines that China's state-owned enterprises have a higher industrial status and are monopolized in many industries.The particularity of China provides a new way to study the liquidity of China's stock market.Therefore,this paper introduces the ownership of companies and explores the internal relationship between ownership and information asymmetry and liquidity in the special context of China.Combined with previous studies,this paper divides information into public information and private information and explores two related research topics.First,based on existing literature and logical reasoning,the first part puts forward the hypothesis of the influence of public information and private information on liquidity and the mutual influence between two kinds of information.This paper builds an empirical research model.The findings suggest that disclosure enhances market liquidity,but the impact is not sustainable.Private information weakens market liquidity,and the effect is constant.When two kinds of information exist simultaneously in the market,private information has a negative impact on public information and reduces its enhancement effect on liquidity,while public information has no impact on private information.The second part is the study on the influence of company ownership on information asymmetry and liquidity.In this part,this paper divides ownership use into state-owned and non-state-owned virtual variables,builds relevant empirical research model,carries out regression with information asymmetry level and liquidity agent variables,and verifies relevant hypotheses.With the introduction of the proportion of state-owned shares,the state-owned enterprises are divided into state-owned absolute holdings and state-owned relative holdings,the influences of the two on information asymmetry and liquidity are explored,and the research results are explained and analyzed from different angles.The results show that the degree of information asymmetry and liquidity of state-owned enterprises are higher,and the higher the proportion of state-owned shares,the higher the level of information asymmetry.When the proportion of state-owned shares reaches over 70%,the liquidity of state-owned enterprises will decrease due to the high information asymmetry and the decrease of tradable shares brought by equity concentration.The research results of this paper have implications for the development of information disclosure system and the reform of mixed ownership.