基于改进信息交易概率模型的信息风险测度研究

发布时间：2018-01-29 14:26

本文关键词： 信息风险 PIN模型交易活跃度异质期望信息状态　出处：《管理科学》2014年06期 　论文类型：期刊论文

【摘要】：准确测度信息不对称是研究金融市场信息不对称问题的基础。在详细考察经典的信息交易概率模型的建模过程和假设条件的基础上,针对信息交易者和非信息交易者在不同信息状态下的订单提交状况,提出考虑外生信息状态概率、异质期望和交易活跃度的改进的信息交易概率模型;通过带机制转换的向量自回归模型估计外生信息状态概率,综合考虑多方面的市场交易信息,提高模型估计的准确性。实证结果表明,改进的信息交易概率模型可以较好地刻画证券市场的信息不对称程度。从截面上看,信息交易概率与标的资产的垄断优势和话题性相关,垄断优势越强的股票信息交易概率越低,话题性越强的股票信息交易概率越高;从时间上看,信息交易概率的变化受公告信息的影响,公告信息发布前的信息交易概率较高,公告信息发布后的信息交易概率较低。因此,在防范信息风险时,应重点关注话题性较强的版块,特别是股价比较容易受舆论影响波动的个股;同时,在公告信息发布之前的时段,应对市场波动和信息动向给予更多关注。
[Abstract]:Accurate measurement of information asymmetry is the basis of studying the problem of information asymmetry in financial market. Based on the detailed study of the modeling process and hypothesis conditions of the classical information transaction probability model. An improved information transaction probability model considering exogenous information state probability, heterogeneous expectation and transaction activity is proposed for information traders and non-information traders in different information states. The probability of exogenous information state is estimated by the vector autoregressive model with mechanism conversion, and the accuracy of model estimation is improved by synthetically considering various market transaction information. The improved information transaction probability model can well describe the degree of information asymmetry in the securities market. From the cross-section, the information transaction probability is related to the monopoly advantage and topic of the underlying assets. The higher the monopoly advantage, the lower the transaction probability of stock information, and the higher the probability of stock information trading with strong topic. From the point of view of time, the change of information transaction probability is affected by the announcement information, the information transaction probability before the announcement information is higher, and the information transaction probability after the announcement information is lower. Therefore, when guarding against the information risk. Should focus on the topic of a strong section of the sector, especially the stock price is more vulnerable to the impact of public opinion fluctuations of the individual stocks; Meanwhile, more attention should be paid to market volatility and information trends in the period before the announcement.
【作者单位】：天津大学管理与经济学部;首都师范大学;
【基金】：国家自然科学基金(71171144,71471129) 高等学校博士学科点专项科研基金(20130032110016)~~
【分类号】：F832.5;F224
【正文快照】： 1引言证券市场中的信息不对称水平是投资者和市场监管者都十分关心的问题。金融市场微观结构理论认为,信息交易者和非信息交易者是证券市场中普遍存在的交易主体[1],信息交易者有准确认知信息的能力,而非信息交易者则没有这样的优势。信息不对称问题的存在,不仅给非信息交易者

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