中国股票市场的知情交易与信息传递效率研究

发布时间：2018-02-03 04:40

本文关键词： 信息不对称市场微观结构知情交易信息含量价格行为市场效率　出处：《天津大学》2014年硕士论文　论文类型：学位论文

【摘要】：市场有效性研究一直是金融经济学的核心领域。从微观的角度来看，有效性并非资本市场的本质属性，而是具备信息优势的知情交易者与处于信息劣势的非知情交易者之间关于信息与价格博弈的必然结果。当资产价格不能反映真实价值时，拥有私有信息的知情交易者便还会采取相应行动，从而打破了原有的价格均衡并产生了一定的价格冲击，但来自于他们的交易压力最终将迫使资产价格向接近其基本价值的方向变化，直至信息充分反映在价格之中。在这一过程中，知情交易会使资产价格中包含更多的信息，同时一些知情交易者、特别是内幕交易者又会试图掩藏相关信息从而影响了价格反映信息的速度。实际上，信息融入和信息融入速度共同构成了信息传递效率的两个方面。本文基于市场微观结构理论的研究框架，从信息不对称的视角出发，在对知情交易者的内涵加以重新界定之后围绕知情交易与信息传递效率之间的关系展开了研究与讨论，并通过实证手段检验了我国股票市场的知情交易对于信息传递过程的影响。首先，把知情交易者细分为内幕交易者和信息加工者，通过构建能够反映对称性订单流冲击的拓展PIN模型分别度量出两类知情交易概率，以资本资产定价模型的可决系数作为股价私有信息含量的代理指标，利用非平衡面板回归分析的方法考察了两类知情交易在信息传递中的作用。然后，考虑市场环境和信息环境对于知情交易信息传递作用的影响，进一步探讨了不同市场环境下知情交易与股价私有信息含量之间的关系。接下来，，采用事件研究方法分析并比较了三个典型信息事件揭示期间的知情交易变化与价格冲击现象，检验了两类知情交易能否在信息融入速度的层面上促进市场效率的提高。最后，总结全文，指出了文中存在的不足并给出了未来的研究展望。
[Abstract]:The study of market efficiency has always been the core field of financial economics. From the micro point of view, efficiency is not the essential attribute of capital market. It is the inevitable result of information and price game between informed traders with information advantage and uninformed traders who are in information disadvantage. Informed traders with private information also take action to break the original price equilibrium and create a price shock. But trading pressure from them will eventually force asset prices to move closer to their basic value until the information is fully reflected in the price. In the process, informed trading will lead to more information in asset prices. At the same time, some informed traders, especially insider traders, will try to hide the relevant information, thus affecting the speed of the price reflecting the information. In fact, Information integration and information integration speed constitute two aspects of information transmission efficiency. Based on the research framework of market microstructure theory, this paper starts from the perspective of information asymmetry. After redefining the connotation of informed traders, this paper studies and discusses the relationship between informed transactions and the efficiency of information transmission. The influence of informed trading on the process of information transmission in China's stock market is tested by empirical means. Firstly, the informed traders are divided into insider traders and information processors. By constructing an extended PIN model which can reflect the impact of symmetric order flows, we measure the probability of two types of informed transactions. Taking the determinacy coefficient of capital asset pricing model as the proxy index of the private information content of stock price, this paper investigates the role of two types of informed transactions in information transmission by using the method of non-equilibrium panel regression analysis. Then, considering the influence of market environment and information environment on the information transmission of informed transaction, the relationship between informed trading and private information content of stock price in different market environment is further discussed. Then, this paper analyzes and compares the changes of informed transactions and price shocks during the disclosure of three typical information events by using the event study method. This paper examines whether two types of informed transactions can promote market efficiency at the level of information integration speed. Finally, the paper summarizes the full text, points out the shortcomings of the paper and gives the future research prospects.
【学位授予单位】：天津大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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