股市信息不对称对股价暴跌的影响——基于不确定性的新视角  

The impact of stock market information asymmetry on stock price crash:A new perspective of uncertainty

作　　者：毛杰 刘红忠[2,3] MAO Jie;LIU Hong-zhong(School of Economics,Shanghai University,Shanghai 200444,China;School of Economics,Fudan University,Shanghai 200433,China;Finance Research Centre,Fudan University,Shanghai 200433,China)

机构地区：[1]上海大学经济学院,上海200444 [2]复旦大学经济学院,上海200433 [3]复旦大学金融研究中心,上海200433

出　　处：《管理科学学报》2023年第8期117-132,共16页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(71473041,71673049,72173028);国家社会科学基金资助重大项目(18ZDA094,22&ZD117);中国博士后科学基金资助项目(2019M661386);上海市“超级博士后”激励计划资助项目(2019159)。

摘　　要：在理性预期均衡的框架内,构建了市场微观结构的理论模型,并在模型中引入了不确定性,得以从不确定性的全新视角在理论上揭示了股市信息不对称对股价暴跌会有正向的影响,股市中信息不对称的程度越高,股价暴跌幅度便会越大,而且此正向的影响会随着不确定性的增大而增大.本研究还以A股市场2010年—2015年的分笔高频数据为样本,计算了A股市场股票的知情交易概率,并据此实证检验了股市信息不对称对股价暴跌的影响.实证结果也表明:股市信息不对称与股价暴跌显著正相关,股市中信息不对称的程度越高,股价暴跌幅度便会越大.另外还根据证券分析师的预测数据构建了A股市场个股的不确定性指数来度量股市中的不确定性,并基于不确定性指数识别出了不确定性在股市信息不对称对股价暴跌的影响中具有放大效应,即股市中的不确定性越大,股市信息不对称对股价暴跌的影响也会越大.研究结论不仅丰富和深化了对股价暴跌成因的既有认识,还为防范和化解股票市场异常波动提供了新的理论依据和决策参考.This paper constructs a market microstructure model within the framework of Rational Expectations Equilibrium and introduces uncertainty into our model,so as to study whether and how stock market information asymmetry contribute to stock crash from the perspective of uncertainty.Our model demonstrates that market information asymmetry does contribute to stock crash,and that the greater the information asymmetry,the deeper the stocks would plunge.Further,the greater the uncertainty in the market,the greater the impact that information asymmetry would have on stock crash.The paper also calculates the probability of informed trading of A-share stocks listed on the Shanghai and Shenzhen stock markets based on the tick data from 2010 to 2015 and empirically tests the impact of stock market information asymmetry on the stock price collapse,using the calculated probability of informed trading as a measure of information asymmetry.The empirical results show that there exists a significant positive correlation between market information asymmetry and stock crash,and the greater the market information asymmetry,the greater the plummeting the stocks prices.In addition,the paper also constructs an uncertainty index,based on analyst forecasts,to measure the uncertainty in the stock market.The results show that market uncertainty tends to increase the impact of information asymmetry on stock crash:The greater the uncertainty in the market,the greater the impact of information asymmetry on stock crash.Our findings not only enrich the existing knowledge about the causes of stock crash,but also sheds new light on how to prevent abnormal volatility on stock markets.

关 键 词：股价暴跌 信息不对称 知情交易概率 不确定性 

分 类 号：F830.9[经济管理—金融学]