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基于PIN值的信息不对称对沪市流动性及波动性的影响研究

作者:优质期刊论文发表网  来源:www.yzqkw.com  发布时间:2019/9/16 9:41:06  

摘要:信息不对称普遍存在于各国的股票市场,是股票市场的最重要特性之一。一方面,作为股票市场中不可或缺的关键特征,近些年伴随高频数据的运用趋于成熟,针对金融市场的信息不对称问题所开展的分析,逐渐演变为新时代金融体系定量分析的新焦点。另一方面,信息上的不对称还可能带来众多知情交易违法犯罪行为,对交易市场的正常运行造成干扰和影响,信息不对称对我国股票市场的影响成为我国证监部门重点关注的研究内容。

知情交易概率指的是知情交易笔数占知情与不知情交易的总笔数的比重,是衡量股票市场信息不对称水平的有效指标。EKOP模型是计算知情交易概率的重要模型,将EKOP模型与面板数据回归模型相结合,基于2015~2017年沪市A股个股交易数据,研究信息不对称对我国股票市场流动性及波动性的影响。

首先以换手率作为流动性的代理变量,探究股市流动性与知情交易概率之间的关系,同时以股票日收益率的标准差作为波动性指标,探究股市波动性与知情交易概率之间的关系。控制了各项公司财务指标后,得出市场流动性与市场知情交易概率显著负相关的结论,知情交易概率越高,市场的流动性越低;而波动性与市场知情交易概率显著正相关,市场波动性随着市场知情交易概率的升高而增大。因此市场中知情交易概率的提升,会对市场形成显著的负面影响。

政府监管机构和市场管理部门需要通过完善市场交易机制降低不对称水平;上市公司则应该严格防范内幕交易,积极主动地传达公司相关信息,减少投资者自身的信息获取成本;投资者也需要形成优良的风险意识以及相关的理性投资思想,强化自身的信息分析水平,积极发展新的理性投资理念,有效开发投资者在金融体系中应当具备的积极影响力。

Information asymmetry is one of the mostimportant characteristics of the stock market, which exists widely in the stockmarkets of various countries. On the one hand, as an indispensable key featureof the stock market, with the use of high-frequency data tending to improve inrecent years, the analysis of information asymmetry in the financial market hasgradually evolved into a new focus of quantitative analysis of the financialsystem in the new era. On the other hand, information asymmetry may also bringmany illegal and criminal acts of informed trading, which may interfere withand affect the normal operation of the trading market. The impact ofinformation asymmetry on China's stock market has become the focus of thesecurities regulatory department.           

The probability of informed trading refersto the proportion of the number of informed transactions to the total number ofinformed and uninformed transactions. It is an effective index to measure thelevel of information asymmetry in the stock market. EKOP model is an importantmodel for calculating the probability of informed trading. This paper combinesEKOP model with panel data regression model to study the impact of informationasymmetry on liquidity and volatility of China's stock market based on the dataof Shanghai A-share transactions from 2015 to 2017.           

Firstly, we use turnover rate as the proxyvariable of liquidity to explore the relationship between stock marketliquidity and the probability of informed trading. At the same time, we use thestandard deviation of daily stock return as the volatility index to explore therelationship between stock market volatility and the probability of informedtrading. After controlling the financial indicators of various companies, it isconcluded that market liquidity is negatively correlated with the probabilityof informed trading. The higher the probability of informed trading, the lowerthe liquidity of the market. Volatility is positively correlated with theprobability of informed trading. Market volatility increases with the increaseof the probability of informed trading. Therefore, the increase of theprobability of informed trading in the market will have a significant negativeimpact on the market.           

Government regulators and market managementdepartments need to reduce the level of asymmetry by improving the markettrading mechanism; listed companies should strictly guard against insidertrading, actively convey relevant information of the company, and reduce thecost of information acquisition of investors themselves; investors also need toform a good risk awareness and related rational investment ideas, andstrengthen their information analysis level. We should actively develop newrational investment ideas and effectively develop the positive influenceinvestors should have in the financial system.

关键词:信息不对称;知情交易概率;流动性;波动性;面板数据回归模型

Information asymmetry; Informed trading probability;Liquidity; Volatility; Panel data regression model

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