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基于行为金融学中的反向交易和隐蔽交易理论,运用我国上海和深圳股票市场2009-2014年1396支股票的高频逐笔交易数据估计了我国股票市场的知情交易概率,并且通过建立横截面回归模型以及面板联立回归模型等研究了知情交易概率与衡量股票市场逆向选择或信息不对称指标之间的关系,检验了四种估计方法对于我国股票市场知情交易度量的适用性。实证分析及稳健性检验结果均表明,基于反向交易和隐蔽交易等构造的知情交易概率度量方法能够成功地度量我国股票市场的逆向选择成本以及由于信息不对称造成的非流动性价格响应。
Based on the reverse transaction and hidden transaction theory in behavioral finance, this paper estimates the probability of informed trading in China’s stock market by using the high-frequency transaction data of 1396 stocks from 2009 to 2014 in the stock markets of Shanghai and Shenzhen in our country, and through the establishment of cross-section Regression model and panel simultaneous regression model to study the relationship between the probability of informed trading and the measure of adverse selection or asymmetric information in the stock market and test the applicability of the four estimation methods to the measure of informed trading in China’s stock market. The results of empirical analysis and robustness test show that the probability measures of informed trading based on reverse transaction and concealed transaction can successfully measure the adverse selection cost of the stock market in our country and the non-liquidity price response due to information asymmetry.