Study On The Probability Of Informed Transaction Of Chinese Stock Market Under The Condition Of Emergency

In recent years, the financial market emergencies emerge in an endless stream, which brings great threat to the stability of the financial market. At the same time, market microstructure theory develops rapidly, which provides the possibility to study the traders' behavior under the condition of emergency from the microscopic angle. To some extent, it can be said that information is the main factor to decide the trad ers' behavior, investors' investment activities are based on information. The accuracy and completeness of the information has the profound influence on the investment effect. However, the information asymmetry causes the market trading imbalance of interests. The thesis has carried on the dynamic characterization of information transaction in the stock market of our country, studies the dynamic changes process of stock probability of informed transaction under the condition of emergency. The study can be divided into the following four parts, the specific research contents and conclusions are as follows:Firstly, we take GuangDa "mistake" as research subject, explores the relationship between the probability of informed transaction and stock price, found that the probability of information transaction increases with the violent fluctuation of the stock. Although the VPIN model can't predict the happening of these non- informed events, it can be able to judge the trend of slow down of the stock price earlier. Secondly, we discuss the factors affecting the VPIN value according to the transaction data of C hina stock market, and discuss the influence of these factors on the robustness of the VPIN metric. The results show that, the estimation of VPIN has certain robustness under the existing conditions.In the third part, we have studied the relationship between VPIN and future stock price volatility. The research shows that VPIN value fluctuation and future stock prices show positive correlation obviously in certain parameters. It means that the higher VPIN value implies the greater the risk of flow, and it will be more difficult to predict the future stock price.In the last part, we have studied the statistical characteristics of stock VPIN before the price hit limit up. The results of the study show that, before the price hit limit up, the probability of informed transaction has increased abnormally in individual trading day or several consecutive trading days, and during the top price period, the value of VPIN is also at a very high level. The results of this study further confirmed that VPIN could effective early warn abnormal fluctuation of stock prices. In this paper, we applied the model of VPIN to the study of micro structure in C hinese stock market, and found that there is a close relationship between VPIN and stock price under the condition of emergency. It can promote the rational investment of investors by fully use of this model, and it also provides an effective means of risk management for the regular at the same time.