信息性交易概率与股价同步性  

Probability of Informed Trading and Stock Price Synchronicity

作　　者：肖浩[1,2] 夏新平[1] 邹斌[3] 

机构地区：[1]华中科技大学管理学院,武汉430074 [2]中南财经政法大学会计学院,武汉430073 [3]江西财经大学会计学院,南昌330013

出　　处：《管理科学》2011年第4期84-94,共11页Journal of Management Science

基　　金：国家自然科学基金(70872035)~~

摘　　要：财务学研究将资本资产定价模型的统计量R2作为股价同步性的度量指标,而对R2代表的经济含义学者们持有信息论和噪声论两种对立观点。在文献回顾的基础上,深入分析中国股价同步性所代表的经济含义以及知情交易对股价同步性的影响,并以深市2003年至2004年在主板交易的上市公司为研究对象,采用EKOP模型估计股票的信息性交易概率,将其作为知情交易的直接度量,构建线性回归模型,对中国信息性交易概率与股价同步性的关系进行实证检验。研究结果表明,信息性交易概率与股价同步性之间呈高度负向相关,即知情交易通过增加股价中的信息含量降低股价同步性。由于市场层面的信息与公司特质信息对股价同步性的影响不同,进一步将信息性交易概率分解为市场信息性交易概率和个股信息性交易概率,分别纳入回归模型中进行检验。结果显示,个股信息性交易概率对股价同步性有负向影响,市场信息性交易概率与股价同步性有正相关关系。上述研究发现为R2股价信息含量的解释提供了有利的实证支持。R2, a statistical variable in CAPM, is widely used as a proxy for measuring stock price synchronicity in financial research. But there exist two controversial opinions about the economic implications ofR2 , which are named information theory and noise theory. Based on literature reviews, the paper thoroughly analyses the economic implications of stock price synchronicity in China, and the effects of informed trading on stock price synchronicity. By using a sample of companies listed on Shenzhen Stock Exchange during 2003-2004, we adopt the model of EKOP to evaluate the probability of informed trading which can be treated as a representative of informed trading, construct a linear regression model and examine the relationship between probability of informed trading and synchronicity. The results show probability of informed trading has a significantly negative impact on synchronicity. Further, we decompose the probability of informed trading into individual stock＇s probability and market＇s probability, and find that individual stock＇s probability is also inversely associated with synchronicity, while synchronicity is higher for firms with greater market＇s probability. Our findings provide strong support for the high-information interpretation of synchronicity.

关 键 词：信息性交易概率 股价同步性 EKOP模型 信息含量 

分 类 号：F830.91[经济管理—金融学]