AH股市场中知情交易信息传递效率比较研究  

Comparative Study on Transfer Efficiency of Informed Trading Informationin AH StocksMarket

作　　者：王建峰 郭华[2] 潘炳红 

机构地区：[1]河北省考试院 [2]天津大学金融工程研究中心

出　　处：《南开经济研究》2014年第3期125-136,共12页Nankai Economic Studies

摘　　要：针对私有信息获取途径的差异性对知情交易的类型进行细分,将信息加工者引入EKOP模型,对市场的信息分布特征进行更准确的刻画,进一步从资产定价理论出发,以于AH股市场双重上市的股票为样本,对比考察不同股票市场环境下知情交易对于股价中私有信息含量的影响效果。结果表明市场环境会影响知情交易的信息传递效率,H股市场的效率高于A股市场;相对于信息加工者,内幕交易者更能提高股价信息含量并促进信息传递的实现。According to different way of obtaining private information, we subdividethetypes of informed trading, and introduce the information processors into the EKOP modelto characterize the distribution of market information more accurately. Moreover basing onthe AH stocks, we compare the effect of informed trade to the content ofprivate informationin stock price between different markets. The results show that the market environment willaffect the efficiency of information transfer of informed trading, the efficiency of H-stockmarket is higher than A-stocks market; relative to information processors, insider traderscan enhance the information content in stock price and promote the realization of informa-tion transfer.

关 键 词：信息加工者 内幕交易者 知情交易 信息传递 AH股 

分 类 号：F832.51[经济管理—金融学]