The Information Asymmetry Affect In China Stock Markets

The fundamental purpose of the financial investment is to achieve earnings, but the income is accompanied with the risk. So, the rate of return and volatility are both the most important characteristics of the stock market. Foreign scholars focus on the volatility of the stock market rate of return gradually shift from the persistence of the fluctuations and the clustering to the asymmetry of the volatility. Foreign scholars have put forward the asymmetric GARCH model and the asymmetric SV model to detect the existence of the asymmetry, and found that in many foreign markets, there are asymmetric phenomenon. Chinese scholars also found volatility asymmetric phenomenon in Chinese stock market in related research. But Chinese research has been limited to use foreign model research, and was only testing the existence of asymmetric phenomenon, few of them are on the characteristics and the causes.This paper start from the current situation of the domestic and foreign stock market research and found that some domestic research results appeared different results from abroad markets. Therefore, we put forward the precise definition,which different from the results of the foreign scholars about the stock market fluctuations asymmetry. For asymmetric formation reasons, we analyst the existing two hypothesis, found that both of them cannot explain the phenomenon in Chinese stock market, and from the market characteristics, investors and investors in market behavior behavior performance in aspects to our cause asymmetry in the preliminary analysis.Empirical, we applied the threshold GARCH model, which can depicts the asymmetric of rate of the return and volatility, and divided China’s Shanghai Composite Index into four stages according to the condition of the market to do empirical analysis respectively. The results showed that both of China’s stock market as a whole and the four stages, there are asymmetric phenomena; the asymmetry of the market as a whole is the same as the mature market, that is bad news cause greater influence to the volatility than the good news; on the contrary, the symmetry of the volatility in stage different. In a bear market, bad news cause greater influence to the volatility than the good news; and in a bull market, the impact of positive news is greater than negative news. Which can explain the market condition can explain the causes of China’s stock market volatility asymmetry. Next, you are given the significance of the study of stock market asymmetry to improve the market and investors, to make suggestions to promote the market stability and improve the investor’s investment management efficiency and risk management efficiency.