流动性特征对知情、非知情交易的影响研究

发布时间：2018-04-11 07:48

本文选题：交易强度 + 知情交易　；参考：《管理科学学报》2013年07期

【摘要】：利用生存分析理论建立一个高频交易强度模型,分析随市场流动性特征的改变,知情与非知情交易强度的变化.选取上证流动性高和低两组股票数据作为对照样本,检验知情、非知情交易在不同流动性股票中的表现.结果发现:两组股票中,随着交易量的增加知情交易强度增大,非知情交易强度减少;高流动股票中,随价差增大知情交易强度增加,非知情交易强度减少;低流动股票中,随价差增大知情交易强度减少,非知情交易强度增加.同时发现,两组股票,知情交易间正相关;高流动股票中,知情交易与非知情交易间负相关;而低流动股票中,知情交易与非知情交易间正相关.
[Abstract]:Based on the survival analysis theory, a high-frequency trading intensity model is established to analyze the change of informed and uninformed trading intensity with the change of market liquidity characteristics.Two groups of stock data of high liquidity and low liquidity of Shanghai Stock Exchange were selected as control samples to test the performance of informed and uninformed trading in different liquid stocks.The results show that: in the two groups of stocks, the intensity of informed trading increases with the increase of trading volume, the intensity of uninformed trading decreases with the increase of the spread of the price, the intensity of uninformed trading decreases with the increase of the spread of the price, and the intensity of the uninformed trading increases with the increase of the volume of trading volume.With the increase of the spread, the intensity of informed transactions decreases, and the intensity of uninformed transactions increases.At the same time, it is found that the two groups of stocks are positively correlated with informed trading; in high-current stocks, there is a negative correlation between informed trading and uninformed trading; and in low-current stocks, there is a positive correlation between informed trading and uninformed trading.
【作者单位】：北京化工大学经济管理学院;北京航空航天大学经济管理学院;
【基金】：国家自然科学基金资助项目(71071010;70831001)
【分类号】：F224;F830.91

【共引文献】