沪市知情交易概率(PIN)特征与风险定价能力被引量：40

The Feature of Probability of Informed Trading and Risk Pricing in Shanghai Stock Market

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摘要本文以EKOP模型为基础,研究了沪市股票知情交易概率的特征,并检验了知情交易概率的风险定价能力。结果显示,在我国股票市场上,知情交易概率作为定价因子是有解释力的,但是知情交易概率对收益产生的却是负效应。这一结果不仅与理论上信息不对称需要风险补偿相反,而且与美国市场上的实证结果也相反。本文结合案例分析,提出该实证结果出现的原因在于我国股市所特有的庄家与散户博弈的赢利模式。此外,本文的实证结果也不同于之前对我国市场的研究,产生差异的原因在于模型估计方法、回归方法和样本区间的不同。 Based on the model of EKOP, this paper estimates the probability of informed trading （PIN） in Shanghai stock market, describes the feature of PIN, and tests the risk pricing capability of PIN. The result shows, PIN is capable to be a risk factor in Chinese stock market, but its influence on return is negative. This result is contrary to the theory and the research on American market. With a case study, this paper proposes that the reason of the contrary result is due to the unique profit mode of the game between large and small investors in Chinese stock market. Besides, this result is also different from the previous research on Chinese market, and the reason for that is the differences in model estimation methods, regression methods and sample selection.

作者韩立岩郑君彦李东辉

机构地区北京航空航天大学经管学院澳大利亚新南威尔士大学金融系

出处《中国管理科学》 CSSCI 2008年第1期16-24,共9页 Chinese Journal of Management Science

关键词知情交易风险定价微观结构 informed trading risk pricing market microstructure

分类号 F830.9 [经济管理—金融学]

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参考文献12

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