Comparison of Asymmetry Information Characteristics between Stock Market and Warrant Market

Based on high frequency transaction data of warrants before 2005 and underlying stocks, the asymmetry information characteristics difference between stocks and warrants is disclosed utilizing probability of informed trader. Empirical result shows that at present there is distinct difference of information asymmetry between stock market and warrant market of China and information risk in stock market is bigger than warrant's. The conclude is opposition to theoretical analysis and at the same time denote Chinese market's particularity.