摘要
基于Easley、Hvidkjaer和O’Hara的序贯交易模型与PIN(Probability of Inform ation-based Trading,基于信息的交易比率)指标对我国股市知情交易情况进行的实证分析研究结果表明:(1)我国股市信息不对称程度较高;(2)由于知情交易者利用坏消息的能力有限且流动性交易水平较高,我国股市知情交易比率并不太高;(3)知情交易比率与后续期间股票收益率的负相关性,表明我国股市中市场操控型知情交易比较严重。因此,我们认为应进一步完善上市公司的信息披露制度,降低投资者之间的信息不对称程度,同时确保流动性投资者参与股市的积极性;在引入做空机制时应慎重考虑和综合权衡,避免不适当地增加流动性投资者所承担的逆向选择风险水平,降低股市的流动性供给和风险分散功能;证券市场监管部门应进一步加强对异常交易活动的监控,加大对市场操纵行为的打击力度,以确保我国证券市场的健康发展。
This paper investigates the level and the nature of information-based trading in Chinese stock market. Using the sequential trade model and the PIN measure developed by Easley, Hvidkjaer and O＇ Hara （2002）, we find substantial evidences concerning the information-based trading. First, information asymmetry is severer in Chinese stock market than that of NYSE. Second, since the informed traders have limited ability to exploit bad news and liquidity trading is high, the probability of information-based trading is reasonable compared with that of NYSE. Last, evidence shows that information-based trading has negative impact on stock return of subsequent period, which means the market manipulation prevails in information-based trading in Chinese stock market.
出处
《当代财经》
CSSCI
北大核心
2007年第2期43-48,共6页
Contemporary Finance and Economics
关键词
信息不对称
序贯交易模型
基于信息的交易比率
知情交易
股票市场
information asymmetry, sequential trade model , stock market, probability of information-based trading, informed trading
