基于PIN值的信息不对称对沪市流动性影响研究

发布时间：2018-01-16 06:06

本文关键词：基于PIN值的信息不对称对沪市流动性影响研究　出处：《哈尔滨理工大学》2013年硕士论文　论文类型：学位论文

【摘要】：信息不对称普遍存在于各国的股票市场且不可避免，是股票市场的最重要特性之一，近年采用高频数据对金融市场的信息不对称性进行研究成为金融定量研究领域的一个热点。流动性是股票市场的基本功能之一，是衡量股票市场健康程度的重要指标。鉴于信息不对称和流动性对股票交易的重要性，本文对沪市股票市场信息不对称水平及其对流动性影响进行研究。通过对信息不对称水平度量指标PIN的研究来认识沪市的信息不对称水平，从定量的角度研究信息交易概率PIN值与市场流动性指标的数量伴随关系，发现信息不对称对股票市场总体的影响，可以减少逆向选择风险和促进股票市场良性发展。本文理论部分对国内外股票市场信息不对称和流动性水平的度量方法进行比较，以确定本文采用的度量方法。模型分析部分首先对EKOP模型的市场假设和模型原理进行系统分析以验证所采用模型在我国股票市场的适用性。实证研究部分，选择沪市股票市场为研究对象，选取上证50指数中具有代表性的12只股票作为样本，然后用PIN指标和流动性L指标对样本股票的交易情况所代表的信息不对称水平和流动性水平进行量化。最后对度量信息不对称水平的PIN指标和流动性L指标进行相关性和回归分析，，得到沪市股票市场信息不对称水平和流动性正相关，并且信息不对称水平的升高会带来流动性的增加的结论。本文旨在通过对沪市股票市场信息不对称水平对流动性影响的研究，分析沪市股票市场信息不对称水平现况和其与流动性的关系，达到为股票市场投资者和研究者提供理论支持以及实际决策参考的目的。
[Abstract]:Information asymmetry is one of the most important characteristics of stock market. In recent years, the use of high-frequency data to study the information asymmetry of financial markets has become a hot spot in the field of quantitative financial research. Liquidity is one of the basic functions of the stock market. In view of the importance of information asymmetry and liquidity to stock trading, this paper studies the level of information asymmetry and its influence on liquidity in Shanghai stock market. Through the study of the information asymmetry level measurement index PIN to understand the information asymmetry level of Shanghai stock market, from the quantitative perspective to study the quantitative relationship between the information transaction probability PIN value and the market liquidity index. Find out the impact of asymmetric information on the stock market as a whole. It can reduce the risk of adverse selection and promote the healthy development of stock market. This paper compares the measurement methods of asymmetric information and liquidity level of stock market at home and abroad. In order to determine the measurement method adopted in this paper, the model analysis part firstly systematically analyzes the market hypothesis and the model principle of the EKOP model to verify the applicability of the model in the stock market of our country. . Shanghai stock market is chosen as the research object, and 12 representative stocks in the Shanghai 50 index are selected as samples. Then the information asymmetry level and liquidity level represented by the trading situation of the sample stock are quantified by using PIN index and liquidity L index. Finally, the PIN index and liquidity L which measure the asymmetric level of information are quantified. Correlation and regression analysis were carried out. It is concluded that the asymmetric level of information is positively related to liquidity in Shanghai stock market, and the increase of asymmetric level of information will lead to the increase of liquidity. The purpose of this paper is to analyze the current situation of asymmetric information level in Shanghai stock market and its relationship with liquidity by studying the effect of information asymmetry level on liquidity in Shanghai stock market. It can provide theoretical support and practical decision reference for investors and researchers in stock market.
【学位授予单位】：哈尔滨理工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

【参考文献】