Study On Price Behavior In Stock Market Of China With Time Character Based On The Asymmetric Information

Information directly effects or decides the price discovery and equilibriumcondition in financial market, but it is difficult that information arrives at the perfectand complete state. Consequently the researches on asymmetry information are thecore of financial market microstructure theory. On the basis of asymmetry information,the characteristics of price behavior in Chinese stock market are studied from thepoint of high frequency. At the same time, time factor in trading process is taken intoaccount. The main contents of the dissertation are as following:1. In the time domain and frequency domain, high frequency transaction data atfive minutes interval are utilized to investigate the whole character of intradayvolatility in Chinese stock market. From the view of time domain, the whole intradayvolatility in our stock market shows typical U model, and this kind of model isexplained by opening mechanism and last-night information releasing. From the viewof frequency domain, long-run memory and periodic characteristics of absolute returnare attained in theory through volatility analyzing by the means of high-pass filter andlow-pass filter. Empirical result shows that the mixture-of-distribution Hypothesis is correctin Shanghai Stock Exchange.2. Considering the time factor, the autoregressive conditional duration model ismade use of to study the price volatility behavior of Chinese stock market. On thebasis of price duration, WACD and LACD models are used to investigate therelationship between the price behavior and transaction time character in our stockmarket. The results verified proof that investors should consider price duration as akind of information event and the duration information together with present assetbid-ask quote, transaction frequency and volume etc. jointly affects the futuretransaction process of asset. The fact can be explained by asymmetry information.3. The dissertation researches the liquidity of Chinese stock market and analysesall the kinds of influence factors by means of traditional and conditional timecharacter measurement. The conclusion through traditional means indicates that thereare obviously intraday and weekend effects in the field of liquidity in our stockmarket. We think that Chinese stock market microstructure, information asymmetryand inverse selection lead to the liquidity mode of Shanghai Stock Exchange.Liquidity characteristic also are studied from the view of transaction time. VNET,which the new variable to measure the liquidity depth in stock market is basis onconcept of price duration, is used to investigate the liquidity characteristic in Chinesestock market. The results explicate that liquidity in stock market shows lag effect,time effect and transaction effect and all the effects can be explained throughasymmetry information.4. Under asymmetry information hypothesis, relationship between price volatilityand volume in Chinese stock market is researched. Without considering thetransaction duration, the EGARCH (1,1) model using high frequency data illustratesthat unexpected return and transaction volume are obviously clustering during thetrading process in our stock market. The results include that the return and volumeduring historical duration can clearly explain the return and volume at presentduration and volume tends to be positively correlation with volatility. In addition, highfrequency volatility of unexpected return is not distinctly asymmetrical. Whenconsidering the transaction duration, many characteristics are also the same as theconclusion arriving at non-duration state. But transaction duration shows theobviously negative correlation with price volatility, and this proofs again transactionintensity is important factor to affect the price variance.5. A Theoretical model is set up, which studies relationship among tradingfrequency, average transaction volume and volatility in non-dealer market. Numericalsimulation is utilized to analyze the mode, which imply transaction time interval Tand volatility. On the basis of the expand JKL model, the dissertation verifies therelationship. Average volume and transaction frequency are obviously positivecorrelation with intraday volatility when ignoring the big scale order and onlytransaction frequency is positive correlation with volatility and average volume isnever a representative good variable of information when considering informationtraders' strategy in the process of trading.