中国股票市场的信息测量与分析——基于771只上证A股的市场微观结构研究  

Measurement and analysis on information content of stock market in China——Market microstructure approach based on 771 stocks in Shanghai A stock market

作　　者：张格[1] 周铭山[2] 黄迈[1] 

机构地区：[1]中国农业银行总行 [2]西南财经大学金融学院

出　　处：《南方经济》2012年第5期27-37,共11页South China Journal of Economics

基　　金：国家自然科学基金重点项目(70932002);国家社会科学基金(10BJY10)资助

摘　　要：依托上交所启动市价委托机制以及股票被ST的"自然实验",本文分析了成交(未成交)委托的价格发现作用,测量了成交(未成交)委托不平衡中的私有信息含量和信息不对称程度。研究发现:其一,启动市价委托机制前,成交委托中的信息含量居多,约40.75%,未成交委托中的信息含量只有0.46%。其二,启动市价委托机制后,成交委托和未成交委托中的私有信息含量均显著上升,分别净增加约11.5%和5.0%;而信息不对称程度均显著下降,分别净下降约14.8%和3.5%。其三,ST股票的成交委托和未成交委托中的私有信息含量比正常股票分别净增加2.6%和54.2%;信息不对称程度因ST效应净增加约35.0%,但未成交委托的信息不对称程度下降并不显著。这为我国证券市场透明化建设提供了定量依据。This paper analyzes the price discovery role of realized orders and unrealized orders in China＇ s stock market. We approach this issue by first constructing three variables VAR system of return, realized order imbalance and unrealized order imbalance which is suitable for limit order market. We also investigate the private information content and information asymmetry of realized order imbalance and unrealized order imbalance. Empirical results indicate that information content of realized order is about 40. 75%, while information content of unrealized order is about 0. 46%. The research provides quantitative basis for the construction of a more transparent security market in China.

关 键 词：委托驱动市场 未成交委托不平衡三变量VAR系统 

分 类 号：G00[文化科学] C32[社会学]