Abstract: Behavior finance researches show that stock price is influenced not only by corporate intrinsic value information, but also by market common information. Study on the character of share price movement can effectively estimate information character of share price, make clear the status of stock market's capital allocation efficiency and the extent of market development. This paper analyses the information character of stock price through empirical research on the movement character of stock price, empirically tests financial capital allocation efficiency in Chinese stock market. We find that present stock market does not transfer enough corporate special information and has weak signal function of inducting capital allocation. The conclusion consistent with empirical results on capital allocation efficiency, namely Chinese stock market has low efficiency in financial capital allocation.

Keyword: Stock price information; Character of price movement; Capital allocation efficiency