市场知情交易概率、流动性与波动性--来自中国股指期货市场的经验证据  

Probability of Informed Trading,Liquidity and Volatility:Evidence from China's Stock Index Futures Market

作　　者：周强龙[1] 朱燕建[2] 贾璐熙[1] 

机构地区：[1]复旦大学经济学院,上海200433 [2]浙江大学经济学院,浙江杭州310027

出　　处：《金融研究》2015年第5期132-147,共16页Journal of Financial Research

基　　金：国家自然科学基金项目(71403238;71303053);浙江省自然科学基金项目(LQ13G030002);浙江大学金融研究院金融学科发展课题(XK14004)的资助

摘　　要：本文借助中国股指期货市场的高频交易数据,采用基于非参数估计的VPIN方法对股指期货市场的知情交易概率水平进行了测算,并进一步考察了市场知情交易概率与未来流动性水平和波动状况之间的关系。研究发现:(1)绝大多数时候中国股指期货市场的知情交易概率值都处在相对较低的水平,市场运行总体有序。(2)不论是在日内高频还是在日间低频的环境下,市场知情交易概率对流动性水平和波动状况均有显著的预测作用,其与未来的市场流动性水平呈现负相关的关系,而与波动状况则呈现正相关关系,从实证的角度证明了市场知情交易概率的升高会对流动性交易者发生逆向选择并对市场质量产生负面影响。(3)对某些特定时点和事件前后的知情交易概率和市场状况进行具体分析表明,知情交易概率对市场的极端走势具有一定的预警功能。In this paper, we calculate the probability of informed trading in the CSI 300 index futures market by VPIN （Volume - Synchronized Probability of Informed Trading） approach in a non - parametric framework based on the real - time trading data, and investigates the relationships between probability of informed trading and the levels of liquidity and volatility in the future. We find that, （1） Probability of informed trading in the CSI 300 index futures market stay at a range that is relatively low in most times, which implies that the operation of the market is in order overall; （2） Probabihty of informed trading can help predict the levels of liquidity and volatility both in the circumstances of intraday high frequency and interday low frequency. It＇ s negatively related with later liquidity level, while positively related with later volatility level, and the predicting powers are significant. The empirical results corroborate that adverse selection among liquidity suppliers will follow the increase of probability of informed trading and have negative influence on market quality ; （3） Specific analyses of probability of informed trading and market conditions during the time periods around several particular events implies that probability of informed trading can forecast certain extreme trends in futures market.

关 键 词：知情交易概率 流动性 波动性 股指期货 

分 类 号：F724.5[经济管理—产业经济] F224