中国股票市场冲击下信息融入研究

发布时间：2018-01-04 02:38

本文关键词：中国股票市场冲击下信息融入研究　出处：《天津大学》2013年硕士论文　论文类型：学位论文

【摘要】：信息对证券市场价格行为具有决定性的重要作用，证券的价格发现过程实际上就是信息传导融入价格的过程。信息理论和模型的发展，向来是国内外市场微观结构研究的热点和重点。理论和模型是研究市场变量规律及其相互关系的基石，更是投资决策实际应用的逻辑基础。本文深入研究了在交易日趋高频化背景下，通过构建相应信息指标研究极端价格发现过程中的信息到达—传导—融入—释放过程，以及信息冲击驱动价格跳跃形成的模式，并将高频下的信息指标应用于业绩预增事件研究。以下是本文的研究内容要点：日内高频下跳跃的PIN效应研究：为了从更高频更微观的角度研究资产价格日内跳跃前后信息的到达—传导—融入—释放过程，本研究基于实时交易量数据构建日内高频PIN指标，并结合BNS理论框架下的日内跳跃识别方法，刻画了1分钟频度的不同跳跃时刻的PIN日内效应模式图。同时实证结果也验证了日内跳跃在本质上是一种信息极短时间融入的、激烈的价格发现形式。日内高频下信息冲击驱动跳跃模式研究：为了更进一步研究信息冲击驱动日内跳跃的微观机制，基于交易量及其不平衡性表征的交易信息，从信息不对称程度和信息融入速率两个维度来刻画日内高频信息冲击特征。实证结果得到日内跳跃幅度随着高频信息冲击的双维度指标的增大而呈山坡状缓慢增大的变化模式，，同时得到信息冲击对跳跃的驱动作用不具有公司规模效应的结论。业绩预增事件的PIN效应研究：为了研究业绩预增事件的PIN效应，采用事件研究法考察选定时间窗口内PIN序列的显著性以及信息泄露对该事件超额收益影响。实证结果验证了业绩预增事件在中国弱有效市场存在信息的提前泄露，并且确定了信息预反应期为公告日前2个交易日；预反应期内的信息泄露情况对事件性超额收益具有弱化作用。
[Abstract]:Information plays a decisive role in the price behavior of securities market. In fact, the process of price discovery of securities is the process of information transmission and integration of price, and the development of information theory and model. The theory and model are the cornerstone of the study on the law of market variables and the relationship between them. It is also the logical basis of the practical application of investment decision. By constructing corresponding information indicators, the paper studies the process of information arrival, conduction, integration and release in the process of extreme price discovery, as well as the model of information shock driving price jump. And the information index under the high frequency is applied to the research of the performance advance event. The following are the main points of this paper: The PIN effect of intraday high frequency jump: in order to study the arrival, conduction, integration and release process of the information before and after the intra-day jump in asset prices from a more high-frequency and more microscopic point of view. Based on the real time trading volume data, the paper constructs the high frequency intraday PIN index and combines with the intraday jump recognition method under the framework of BNS theory. The PIN intraday effect pattern at different hopping times of 1 minute frequency is depicted. The empirical results also prove that the intraday jump is essentially a kind of price discovery form in which the information is incorporated in a very short time. In order to further study the micro mechanism of information shock driving intra-day jump, trading information based on trading volume and its imbalance is used. The characteristics of intraday high frequency information shock are described from the two dimensions of information asymmetry degree and information integration rate. The empirical results show that the intraday jump amplitude increases slowly with the increase of the two dimensional indexes of high frequency information shock. Big change patterns. At the same time, we get the conclusion that the information shock does not have the firm scale effect. Research on PIN effect of performance Pre-increasing event: in order to study the PIN effect of performance Pre-increasing event. The significance of PIN sequence in the selected time window and the influence of information leakage on the excess return of the event are investigated by using event research method. The empirical results verify the existence of pre-performance events in China's weak efficient market in advance. Leak. And the information pre-reaction period is determined to be two trading days before the announcement date; The leakage of information in the pre-reaction period weakens the event excess return.
【学位授予单位】：天津大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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