Study On The Relationship Between Information Integration And Asset Price

Information is important role in the market.How information influences asset price is an essential issue debated in development of financial theory.The major focus is on how information integrated into asset prices and the extent to which asset prices reflect market information.The process of information integration into asset price is influenced by both investor behavior and market conditions.Analyzing the process of information integration under specific market conditions is important to understand the pattern of asset price.Given the specific market situation in China,we firstly study the integration process of announcement and negative news into asset prices,analyze how China’s specific market conditions affect the information integration process.And then we analyze the extent to which asset prices reflect information from the perspective of asset price predictability.The main contents are as follows:Firstly,we analyze the process of earnings announcement information integration into asset prices.Given the specific market conditions in China and using the transaction data of the Shanghai Stock Exchange,we find that there a significant earnings announcement discount anomaly,which has the negative average risk-adjusted return on the earnings announcement day,contrary to the well-known earnings announcement.Considering the significant short-selling constraints in Chinese market,we first analyze the internal logic how short-selling constraints affect the announcement information integration process from the theoretical perspective,and then propose a transmission path of earnings announcement information integrate into asset prices from the perspective of asymmetric trading before announcement,and further make an empirical test.The study shows that net buying before earnings announcement is a significant driving factor of earnings announcement discount found in SSE.Secondly,we analyze the process of negative information integration into the asset price.Taking the preliminary earnings estimate as background,we analyses the integration pattern of negative information into asset price from the perspective of short selling behavior.Firstly,considering China’s specific situation,we analyze the impact of short selling constraints on the integration process of information into asset prices.Then,taking the preliminary earnings estimate as research background,we analyses the behavior pattern of short sales to observe the process of private information integration process.The empirical results show that only when the preliminary earnings announcement containing negative information and the company is small,short-sellers increase the ratio of securities lending before the announcement and show the characteristics of informed trading.These results show that even if the Chinese market environment allows for securities lending trading,it still has a significant inhibitory effect on the expression of negative news.Finally,we analyze the relationship between the degree of information reflection and the predictability of asset prices.We first analyze the relationship between different effective market levels and asset price predictability from the perspective of efficient market hypothesis and rational expectation equilibrium theory.Further,taking the advantage of artificial intelligence technology in forecasting,the impact of new technologies on promoting market efficiency is analyzed from the perspective of improving prediction technology.We propose a new hybrid prediction model and apply it to China’s three major carbon price series predictions.The results show that the proposed algorithm has better performance in terms of prediction accuracy and stability than several other comparison models.The results show that asset prices in China’s carbon exchange reflect information at a limited level,and that new information processing technologies can help improve market efficiency.