论文部分内容阅读
在股票市场中,内幕信息的拥有者,即知情投资者的交易行为对于股价波动,以及股票市场的公平和效率具有关键的影响。在B&W模型与修正模型下,文章基于沪深两市的日内交易数据,对公开信息假说与隐藏性交易假说的实证检验探讨了A股市场价格波动、交易额、交易次数之间的关系,以及知情投资者的交易行为及其影响。从其研究结论来看,隐藏性交易假说被接受,而公开信息假说不成立。其中,大额交易较容易存在内幕信息,股票市场知情投资者倾向于大额交易。
In the stock market, the trading behavior of the insider information owner, the informed investor, has a crucial impact on stock price volatility and the fairness and efficiency of the stock market. Under the B & W model and the revision model, based on the daily transaction data of Shanghai and Shenzhen stock markets, this paper discusses the relationship between price volatility, transaction volume and the number of transactions in the A-share market based on the empirical test of the public information hypothesis and the hidden transaction hypothesis The Transaction of Informed Investors and Its Impact. From its research conclusion, the hidden transaction hypothesis is accepted, but the open information hypothesis does not hold. Among them, large-scale transactions more likely to have insider information, the stock market informed investors tend to large transactions.