Investor Behavior,Information Diffusion And Price Discovery In The Chinese Stock Market

Investor behavior is an essential factor that affects information integration and price discovery.It is necessary to guide investor behavior rationally to strengthen behavior supervision and improve market quality.Considering the trading constraints of impact cost and information risk,this disertation model the intertemporal trading decision and conduct a numerical simulation in various information status and market conditions.Furthermore,this disertation empirically investigate the relationship between investor behavior,information integration,and stock market price discovery from the perspectives of investor structure,trading behavior,and changes in the trading mechanism.The specific content includes the following five parts:First,research on investor behavior and market clearing in continuous trading market.This part constructs a theoretical model to study investor intertemporal order strategies and information disclosure under conditions of liquidity shock and information risk.From aspects of average transaction volume,order splitting,and transaction delay,we investigate the characteristics of the order strategy of informed traders.The conclusion shows that under a specific market condition,there is an equilibrium solution in the two-period continuous trading market.The average transaction volume of informed traders is positively correlated with information risk and negatively correlated with the cost of liquidity shocks.And information risk is the main factor affecting transaction delay.The higher the information risk,the smaller the delay of informed orders.The conclusions provide a theoretical explanation for investors’ order splitting behavior.Second,research on the information demonstration effect and price impact of institutional investors.In this part,we focus on the market role of institutional investors and study the information demonstration effect of the institutional surveys and the impact of institutional order trading on stock prices.Conclusions show that,on the one hand,institutional surveys play a role in information disclosure,reducing information cost.On the other hand,the trading behavior of institutional investors can have a shortterm information impact on stock prices,promoting the information integration and price efficiency in the market.The conclusions provide experimental evidence for the market guiding role of institutional investors.Third,research on the relationship between market liquidity supply and price efficiency based on investor trading behavior.Using high-frequency trading data,we identify contrarian trading orders to study the impact of market-making trading behavior on intra-day price efficiency.The conclusions show that market make trading can provide instant liquidity for the market,and positively promote the integration of information and the efficiency of price discovery.The research explores ways to improve market price efficiency from the perspective of investor behavior,which can provide references for rationally guiding investor behavior and improve market quality.Fourth,research on spoofing orders and microstructure market manipulation.Based on the high-frequency and transaction data in the Chinese stock market,this disertation investigate the transmission path of market manipulation empirically.Conclusions show that it is profitable for spoof trading,and the market manipulators could reach more profit by misleading retail investors’ trading behavior.In addition,in a market with high information uncertainty,it is more difficult for investors to classify information from noise,benefiting manipulators to hide their abnormal trading and gain an illegal profit.This research explores the motivation and dependence path of the microstructure market manipulation,providing a reference for the preventive supervision of abnormal trading behavior.Fifth,research on the impact of market quality,investor trading behavior,and closing price manipulation on the closing trading mechanism.Focusing on the changes in the closing mechanism of the Shanghai Stock Exchange,we study the market effect of the call auction closing mechanism based on the Shanghai A-share stock market.The conclusions are as follows:First,in terms of liquidity,volatility,and price continuity,market quality improves when the closing mechanism changes from continuous auction to call auction.Second,order strategy is different in the closing call market,and investors trade more aggressively in the continuous trading period before closing.Third,the closing call mechanism restrains the closing price manipulation and thus prompts an efficient closing price.This study examines the policy effects of closing mechanism changes and provides pieces of evidence for trading mechanism design in emerging markets.