中国股票市场信息结构及实证研究

Information structure in China stock market: Theory and empirical study

股票市场中存在明显的信息不对称,这是影响股票价格波动的重要因素.文章首先提出信息结构的概念,然后结合中国股票市场特点,描述了股票价值信息和价格波动之间的关系,并分析了信息结构各参数对市场学习过程的影响.结论表明市场随着交易的进行,能够不断调整股票价值变化的预期,最终将事件信息反映到价格之中;市场信息公开程度是影响市场学习能力的重要因素,信息公开度越高,市场学习能力就越好,市场价格反映股票内在价值的速度越快.

The information asymmetry in stock market will lead to the price fluctuation. On view of the features of China stock market, we describe the causality between information and price fluctuation, and analyze the influence of all factors in information structure on the market learning process. Finally, we concluded: (1) the market can adjust gradually the prospect of the stock value according to the fluctuation of stock price, and (2) the openness of information is an important factor that works on the ability of market discovery.