Stock price fluctuation under asymmetric information

2015 International Conference on Logistics, Informatics and Service Sciences (LISS) Pub Date : 2015-07-27 DOI:10.1109/LISS.2015.7369616

Cheng Liu, Lan Tian, Yuting Huangfu, Lili Chen

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引用次数: 1

Abstract

Basing on EKOP information trading model analysis framework, we selected 50 stocks each as sample from the mainboard, small and medium-sized board and GEM (Growth Enterprises Market) in Chinese stock market for empirical analysis. This paper discusses the fluctuation of stock price under the information asymmetry. Preliminary empirical results show that the average daily turnover rate and probability of informed trading has positive correlation, and it does not conform to the theoretical derivation. As for the empirical improvement, the liquidity risk, average stock price and probability of informed trading as supplementary explanation variables are introduced to do regression analysis. The results show that under the condition of asymmetric information, the higher the stock prices is, the greater the information transaction risk raises; the larger the value of the probability of informed trading becomes, the greater the impact on stock price fluctuation brings; meanwhile, the liquidity risk has no directly influence on the information transaction risk and stock price fluctuation.

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信息不对称条件下的股价波动

基于EKOP信息交易模型分析框架，我们从中国股票市场主板、中小板和创业板中各选取50只股票作为样本进行实证分析。本文讨论了信息不对称下的股票价格波动问题。初步实证结果表明，日均换手率与知情交易概率呈正相关，不符合理论推导。在实证改进方面，引入流动性风险、平均股价和知情交易概率作为补充解释变量进行回归分析。结果表明:在信息不对称条件下，股价越高，信息交易风险越大;知情交易概率值越大，对股价波动的影响越大;同时，流动性风险对信息交易风险和股价波动没有直接影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

2015 International Conference on Logistics, Informatics and Service Sciences (LISS)

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