| In the financial market,information is integrated into the price of securities by influencing investors’ transaction behavior,and plays a direct and decisive role in the price fluctuation and price equilibrium of securities market.Information shock refers to the process in which significant information is integrated into prices.The occurrence of major unexpected events such as the introduction of new policies and announcements of major corporate events will cause information shock to the financial market,thus affecting stock prices."Efficient Market Hypothesis" holds that the stock price can fully reflect all available information of the asset in the market,but actually there is often a wrong response to the information shock in the financial market,that is,information events impact the market,and the stock price changes significantly and discontinuously.China’s securities market is still an emerging market,which is significantly influenced by policies,with a high proportion of retail investors and frequent jumps in securities prices.With the help of the relationship between information shock and stock price jump,this thesis takes China’s stock market as the research object to explore the impact of information shock on China’s stock market with price jump as the proxy variable of information shock.Firstly,this thesis identifies information shock based on jump,and studies the influence of information shock on price effectiveness.If effective information shock occurs,there should be no excess return in the market.After quintile grouping the accumulated jump return in the past month in 1,3,6 and 12 months after the information shock,the abnormal returns of different groups and the price difference between the highest group and the lowest group are studied.The empirical results show that investors overestimated prices and overreacted in 1,3,6 and 12 months after the information shock.Because the accumulated abnormal returns of positive jumps are less than the accumulated abnormal returns of negative jumps,it is a practical strategy to short-sell the stock portfolio that publishes good news.After adjusting the risk by regression,the same results were obtained by double fixed effect panel regression.The results of the two empirical analyses show that the stock market overreacted to the information shock for a long time,and there was a reversal effect.That is,within the monthly investment range,the price effectiveness of the stock market is recovering.Second,this thesis studies the dynamic influence of market liquidity and volatility in different time ranges after the occurrence of information shock.This thesis makes multiple panel regression from one week to four months respectively,and finds that after the occurrence of positive information shock,investors buy more in the short term,which leads to an increase in liquidity and volatility,but when they sell in a long time,the liquidity is damaged but the volatility is still relatively large.The liquidity of the stock market has been improved to some extent in the weekly range,but it will decrease again in the monthly range,while the volatility will always be negatively affected.Generally speaking,the quality of stock market has partially improved in terms of price effectiveness and liquidity,but the volatility has been damaged.Finally,this thesis summarizes all the results,and puts forward relevant suggestions form the aspects of assisting market participants to make investment decisions,assisting government departments to improve supervision policies,macrocontrol monetary policies,exploring the market’s ability to accommodate shocks,helping to improve the design of market structure and trading mechanism,and strengthening the legal system. |
