日内高频状态下信息冲击驱动跳跃模式研究  

Research of Information Impact Driving Jump under the Condition of Intraday High-frequency

作　　者：王春峰[1] 闫芳[1] 房振明[1] 黄晓彬[1] 

机构地区：[1]天津大学管理与经济学部,天津300072

出　　处：《管理评论》2014年第1期41-46,共6页Management Review

基　　金：国家自然科学基金项目(71271146)

摘　　要：本文基于等成交量划分采样时段的日内知情交易概率计算方法,构建测度日内高频状态下信息冲击的双维度指标,并结合BNS理论框架下的日内跳跃识别方法,从更为微观的视角考察了中国A股市场日内信息冲击驱动跳跃行为的模式。实证结果表明,日内信息冲击对于跳跃的发生具有一定的驱动作用并且没有公司规模效应,进一步研究发现跳跃幅度随着信息冲击双维度指标的增大而增大的变化模式。By calculating the intraday high-frequency probability of informed trading in which sampling periods are divided by equivalent volume, we construct indicators to measure the information impact under the condition of intraday high-frequency. And combining with the intraday jump identification method within the framework of BNS theories, we research the patterns of high-frequency information im- pact driving intraday jump from a more microscopic perspective. The empirical results show that information impact can drive intraday jump to a certain extent but the driving has no firm size effect. Further research demonstrates that intraday jump size increases with the increase of two-dimension indexes of information impact.

关 键 词：信息冲击 信息不对称程度 信息融入速率 日内跳跃 

分 类 号：F830.9[经济管理—金融学] F224