微观结构理论视角下信息不对称对股票交易的影响研究

发布时间：2017-12-31 05:39

本文关键词：微观结构理论视角下信息不对称对股票交易的影响研究　出处：《天津大学》2014年博士论文　论文类型：学位论文

【摘要】：传统的资产定价模型假设所有的投资者都应能够及时免费地获得充分的市场信息。但是,实际上,信息的搜集和整理的成本是不可忽略的,投资者认识和把握信息的能力也是有限的,因此,在现实的证券市场中,这样的理想市场显然是不存在的。不过,相对来讲,越成熟的证券市场,越应该接近理想假设中完美的信息对称的有效市场。也就是说,证券市场越成熟,信息不对称对证券市场以及其中交易者的影响就会越小。与较为成熟的美国市场相比,我国证券市场的制度设计尚不完全,投资者的成熟度相对较低,信息不对称程度较高,散户的价值发现过程有限,再加上机构投资者的操控行为和媒体对散户的引导作用的影响,使得我国股票市场中的价值泡沫和投机交易大量存在。信息不对称问题的存在,不但会导致股票市场的资源配置能力减弱,使得市场中的资金很难投入到真正有价值的地方,制约经济发展的促进作用;而且有可能引发证券市场的剧烈波动,损害广大投资者的利益,严重的甚至会导致经济的泡沫化,造成不可估量的惨重损失。本文在金融市场微观结构理论视角下基于信息不对称理论研究了我国股票市场的信息交易过程,从理论和实证角度分析了信息不对称对我国证券市场中的交易者行为和资产价格的决定作用。通过对Easley et al(1992[1])所提出的序贯交易模型(EKOP模型)和信息交易概率(probability of informed trading,PIN)的分析和改进,本文提出了适合中国市场的改进的EKOP模型,并利用这一模型计算得到了各样本股票在每一特定时间段上的信息交易概率PIN指标。而后,在EKOP模型和PIN指标的基础上,本文进一步从以下三个方面对我国证券市场的信息不对称问题做了具体的实证分析:研究了我国证券市场中实际的信息不对称的程度及其在截面和时序上不同的特点;探讨了市场实际的信息状态、市场活跃度、市场预期、交易量,以及相关的微观结构指标(流动性、波动性、订单不平稳程度等)对信息交易概率的影响;揭示了我国的信息不对称程度对股票收益的直接影响关系,考察了在我国的证券市场中,信息不对称是不是显著的风险定价因子。实证结果显示,我国证券市场中各股票的信息交易概率与其自身资产的垄断优势及其话题性有关,也会受到公告信息发布时间的影响。市场活跃度、市场预期和交易量对信息交易概率的影响比较大,市场微观结构和市场实际的信息状态对信息交易概率的影响比较小,但这四方面的解释因子对PIN都有不可替代的解释力,它们分别从不同的侧面解释了信息交易概率一半以上的信息。从股票收益的角度来看,信息不对称是显著的风险定价因子。实证结果显示,信息交易概率对股票收益有显著的正影响,即信息不对称程度越高的股票会要求越高的收益作为风险补偿。
[Abstract]:The traditional asset pricing model assumes that all investors should be able to obtain sufficient market information free of charge in time. However, in fact, the cost of collecting and collating information cannot be ignored. The ability of investors to understand and grasp information is also limited, therefore, in the real securities market, such an ideal market obviously does not exist. However, relatively speaking, the more mature the securities market. The closer it should be to the perfect information symmetric efficient market in the ideal assumption, that is, the more mature the securities market is. Compared with the more mature American market, the institutional design of China's securities market is not complete, and the maturity of investors is relatively low. The degree of information asymmetry is high, the value discovery process of retail investors is limited, coupled with the manipulation of institutional investors and the influence of the media on the guiding role of retail investors. The existence of value bubbles and speculative transactions in China's stock market and the existence of asymmetric information will not only lead to the weakening of the resource allocation ability of the stock market. It makes it difficult for the capital in the market to invest in the real valuable place, restricting the promotion of economic development; And it may lead to the sharp fluctuations of the securities market, damage the interests of the majority of investors, serious and even lead to the bubble of the economy. This paper studies the information trading process of Chinese stock market based on information asymmetry theory in the view of financial market microstructure theory. This paper analyzes the determinant effect of information asymmetry on the behavior of traders and asset prices in China's securities market from the theoretical and empirical perspectives. [1) the proposed sequential transaction model / EKOP model) and the probability of information transaction probability of informed trading. Based on the analysis and improvement of pine, this paper presents an improved EKOP model suitable for the Chinese market. Using this model, the information transaction probability PIN index of each sample stock in each specific time period is calculated. Then, on the basis of EKOP model and PIN index. This paper makes a concrete empirical analysis of the information asymmetry in China's securities market from the following three aspects:. This paper studies the degree of information asymmetry in China's securities market and its characteristics in terms of cross-section and timing. This paper discusses the influence of the actual information state, market activity, market expectation, trading volume, and related microstructural indicators (liquidity, volatility, order unevenness, etc.) on the information transaction probability. This paper reveals the direct influence of the degree of information asymmetry on stock returns, and examines whether information asymmetry is a significant risk pricing factor in China's securities market. The empirical results show that information asymmetry is a significant risk pricing factor. The information trading probability of each stock in China's securities market is related to the monopoly advantage of its own assets and its topic, and will also be affected by the release time of public announcement information and the market activity. Market expectation and trading volume have great influence on the probability of information transaction, while the microstructure of the market and the actual information state of the market have little effect on the probability of information transaction. However, these four factors have irreplaceable explanatory power to PIN. They explain the information of more than half of the probability of information transaction from different aspects, and from the perspective of stock returns. Information asymmetry is a significant risk pricing factor. Empirical results show that the probability of information trading has a significant positive impact on stock returns, that is, the higher the degree of information asymmetry is, the higher the return will be as risk compensation.
【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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