Stock price fluctuation under asymmetric information
2015 International Conference on Logistics, Informatics and Service Sciences (LISS)(2015)
摘要
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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关键词
asymmetric information,bid-ask spread,probability of informed trading,the maximum likelihood function
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