考虑卖空限制的A股市场信息非对称对流动性的影响研究  

Influence of Information Asymmetry on Liquidity in View of Short-sale Constraint in A-share’s Market

作　　者：郭华[1] 王春峰[1] 房振明[1] 

机构地区：[1]天津大学管理与经济学部,天津300072

出　　处：《西安电子科技大学学报（社会科学版）》2013年第2期47-54,共8页Journal of Xidian University：Social Science Edition

基　　金：国家自然科学基金面上项目(71271146);长江学者与创新团队发展计划项目(IRT1028)

摘　　要：针对中国股票市场特点将卖空限制因素引入动态EKOP模型,在此基础上构造直接测度日内市场信息非对称程度的时变PIN指标,并通过MEM模型对市场流动性的动态模式进行建模,进一步采用上证180指数成分股的2010年高频分笔数据,从相对价差和买卖方深度的角度实证分析日内的信息非对称程度、交易量和市场波动对流动性水平的影响。结果表明我国股市的流动性水平表现出较强的聚集性特征,与信息非对称和市场波动呈负相关关系,而与交易量呈正相关关系。Considering the characteristic of the Chinese market, we introduce the factor of short-sale constraint into the dynamic EKOP model, and construct the time-varing PIN index to measure the level of market＇s information asymmetry directly. Applying the MEM model and based on the high-frequency tick by tick transaction data of the SSE 180 financial index from 2010, we depict the dynamic of liquidity and the impact of information asymmetry, trading volume and volatility on liquidity from the perspectives of relative spread and market＇s ask and bid depth. The results show that market＇s liquidity exhibits the feature of intensive clustering, and that market＇s liquidity is negatively correlated with the market＇s information asymmetry and volatility, but in positive correlation to the trading volume.

关 键 词：卖空限制 时变PIN MEM 流动性 

分 类 号：F830.9[经济管理—金融学]