指令驱动市场中的信息交易概率研究  

Research on probability of informed trading in order driven market

作　　者：王艳[1] 杨忠直[2] 

机构地区：[1]北京大学经济学院 [2]上海交通大学管理学院,上海200052

出　　处：《华中科技大学学报（自然科学版）》2005年第10期118-120,共3页Journal of Huazhong University of Science and Technology(Natural Science Edition)

基　　金：国家自然科学基金资助项目(70441021)

摘　　要：首先指出国内已有实证研究中使用的模型不适用于中国证券市场,然后以Handa,Schwartz和Tiwari(2003)的指令驱动市场价格形成模型为基础,提出了信息交易概率估计方法,重新研究了中国证券市场中的信息交易概率问题.实证结果发现:股票交易越活跃,信息交易概率越低,信息交易概率和买卖价差都呈现倒J型的日内形态,信息交易对买卖价差有显著的影响.最后给出了文中结论所体现的政策含义.Informed trading probability is very important to explain many evidences in stock market. In this paper the author firstly pointed out the model used in the empirical study on China is not suited for China stock market. Then the author used the model of Handa,Schwartz and Tiwari（2003） which is built on order driven market and proposed an estimation method on probability of informed trading. The empirical results showed that there isn＇t close relationship between trading activity and informed trading, and strong relationship between bid-ask spread and informed trading. Moreover, the intra-day character of both PIT and bid-ask spread is reverse J shape. At last, some suggestions based on the conclusions were given.

关 键 词：证券市场 指令驱动市场 信息交易 买卖价差 

分 类 号：F830.91[经济管理—金融学]