中国股市信息传导与市场变化研究

发布时间：2018-05-27 01:12

本文选题：信息交易 + 噪音交易　；参考：《天津大学》2014年博士论文

【摘要】：信息是投资者制定决策的根本依据,贯穿证券交易过程始终,对投资者交易和市场价格变化有重要影响。分析证券市场信息传导过程及其导致的市场变化有助于投资者更深刻的了解市场运行机制,深化中国证券市场微观结构的研究,为投资者和监管者的决策提供依据。因此,本文基于交易的视角,对信息传导过程中的信息交易和噪音交易状况以及二者对于市场均衡价格和市场价格特征以及投资者行为的影响进行了研究,主要内容如下:首先,基于对股票市场投资者结构的分析,将交易者分为信息交易者、噪音交易者和流动性交易者,并延续理性预期模型的框架,构建了同时存在噪音交易者、信息交易者和流动性交易者的均衡模型,对交易者占比不同的市场均衡进行刻画和对比。此部分证明了噪音交易者和信息交易者的存在对市场均衡价格有重要影响。在相同市场状况下,市场均衡价格随着信息交易者比例的增加而更接近于真实值。但是,噪音交易者对市场的影响与流动性交易者能否通过观察市场交易过程学习信息有关,在流动性交易者不能的模型中,噪音交易者的存在会导致资产均衡价格偏离其真实值,而若流动性交易者有学习能力,则市场均衡价格会通过流动性交易者和信息交易者的交易逐渐回到其真实价值。然后,针对EKOP模型中假设只存在信息交易者和流动性交易者并且投资者对于市场信息只是应激反应并无学习能力的缺陷,构建了同时存在噪音交易、信息交易和流动性交易的投资者动态学习模型,使模型假设更符合中国股票市场的实际情况。在此基础上,利用此模型分析了噪音交易者、信息交易者和流动性交易者在交易过程中相互学习和干扰的程度,结果表明A股市场交易者具有学习的能力,能够根据前期三类交易到达率以及当前的订单流信息调整自己的下单量,并且前期交易对于后面交易具有指引作用,但订单流信息冲击在A股市场中消退很快。接下来,利用考虑噪音交易的投资者动态学习模型对A股市场信息交易和噪音交易状况进行刻画,并对比了不同市场状态和不同规模的股票信息交易和噪音交易水平差异,分析A股市场信息交易和噪音交易水平是否会随市场状况及公司规模发生改变。结果显示流动性交易在A股市场所占比例最多,噪音交易次之,而信息交易最少。相对而言,熊市信息交易概率高于牛市时期和稳定时期,三种市场状态下噪音交易概率不存在显著差异。此外,股票规模对三类交易相对比率并无显著影响。当市场出现极端收益时信息交易概率明显会增高,而出现极端波动时噪音交易和信息交易均略高于平均水平。第四部分利用A股实际交易数据分析了信息交易比率和噪音交易比率对投资者行为的影响。结果证实噪音交易增多使市场分歧加大,进而使市场变得更加活跃,但这种影响关系显著性不高。信息交易变多使保守交易者积极性降低而信息交易者依然活跃,因此信息交易增多时订单簿厚度变小而成交量减少不明显。另外,由于信息交易者和非信息交易者受到信息和噪音的影响方向不同,信息交易和噪音交易比率变化对市场平均投资者交易主动性的影响显著度不高。第五部分验证了信息交易比率和噪音交易比率对市场价格行为特征的影响。在股票市场上信息交易比例越大,市场不对称程度越高,而噪音交易越多,市场不确定越大,此部分通过实证方法证明了信息交易和噪音交易的增多都伴随着市场价差的扩大和波动性的增高,因此,信息交易和噪音交易水平变高均使市场交易成本增多,同时使市场波动风险变大。
[Abstract]:Information is the fundamental basis for investors to make decisions. Throughout the process of securities trading, it has an important impact on the exchange of investors and the change of market prices. The analysis of the process of information transmission and the changes in the market will help investors to understand the market mechanism more deeply and deepen the research on the micro structure of the Chinese securities market. The investors and regulators provide the basis for decision-making. Therefore, based on the perspective of transaction, this paper studies the information transaction and noise trading status in the process of information transmission, and the influence of the two parties on the market equilibrium price and market price characteristics and investor behavior. The main contents are as follows: first, on the stock market investors The analysis of structure divides traders into information traders, noise traders and liquidity traders, and extends the framework of rational expectation model, and constructs a balanced model of noise traders, information traders and liquidity traders, which portrays and compares traders with different market equilibrium. This part proves the noise. The existence of traders and information traders has an important impact on the market equilibrium price. In the same market situation, the market equilibrium price is closer to the real value with the increase of the proportion of information traders. However, the impact of noise traders on the market is related to whether liquidity traders can learn information from the market transaction process by observing the market transaction process. In the model of a dynamic trader, the existence of noise traders will cause the equilibrium price of the asset to deviate from its real value, and if the liquidity trader has the learning ability, the market equilibrium price will gradually return to its real value through the transaction of the liquidity trader and the information trader. Then, there is only information in the EKOP model. On the basis of the model, the model hypothesis is more consistent with the actual situation of the Chinese stock market. On the basis of this model, the model hypothesis is more consistent with the actual situation of the Chinese stock market. The extent to which noise traders, information traders and liquidity traders learn and interfere with each other during the transaction, the result shows that the A share market trader has the ability to learn, and can adjust its own quantity according to the three types of transaction arrival rate and the current order flow information, and the earlier transaction has guidance for the back transaction. But the impact of the order flow information impact on the A stock market is fast. Then, the dynamic learning model of investors considering noise trading is used to describe the information transaction and noise trading situation in the A stock market, and the differences in the stock information transaction and noise trading level in different market states and different scales are compared, and the information exchange of the A share market is analyzed. The trading level of ease and noise will change with the market situation and the size of the company. The results show that the liquidity transaction occupies the most proportion in the A share market, the noise trading is the second, and the information transaction is least. In addition, the size of the stock has no significant impact on the relative ratio of the three types of transactions. The probability of information transaction is obviously higher when the market appears extreme income, while the noise transaction and information transaction are slightly higher than the average when there is extreme volatility. The fourth part analyses the ratio of information transaction and noise trading using the actual transaction data of A shares. The impact of ratio on investor behavior. The results confirm that the increase in noise trading increases the market divergence and makes the market more active, but the impact is not significant. Information trading has reduced the enthusiasm of conservative traders while the information traders are still active, so the thickness of the order book becomes smaller and trading volume when the credit transaction increases. In addition, because information traders and non information traders are affected by the different direction of information and noise, the impact of information transaction and noise trading ratio on the market average investor's initiative is not significant. The fifth part verifies the characteristics of the ratio of information transaction and the ratio of noise trading to market price behavior. The greater the proportion of information transactions in the stock market, the higher the market asymmetry, and the more noise trading, the greater the uncertainty in the market. This part proves that the increase of the information transaction and the increase of noise trading is accompanied by the expansion of the market price difference and the increase of volatility through empirical methods. Therefore, the level of information trading and noise trading has become higher. Both increase the transaction cost of the market and increase the risk of market fluctuation.
【学位授予单位】：天津大学
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F832.51

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