沪市买卖价差和信息性交易实证研究  

Bid-Ask Spread and Informed Trading: Evidence from Shanghai Stock Exchange

作　　者：杨之曙[1] 姚松瑶[1] 

机构地区：[1]清华大学经济管理学院,北京100084

出　　处：《金融研究》2004年第4期45-56,共12页Journal of Financial Research

基　　金：本研究得到国家自然科学基金(项目编号:70103002)的资助。

摘　　要：本论文基于市场微观结构理论,实证研究信息性交易是否可以解释成交活跃和交易清淡的股票买卖价差之间的差异。利用EKOP(1996)的信息性交易模型,我们估计了在上海证券交易所上市交易的股票的信息性交易风险。实证研究发现成交活跃的股票同交易清淡的股票相比信息性交易的概率较低。使用回归方程,我们提供了信息性交易对买卖价差的影响的经济解释。Based on the market microstructure theory, this article investigates whether difference in information -based trading can explain observed differences in spreads for active and infrequently traded stocks. Using EKOP (1996)' s PIN model, we estimate the risk of information - based trading for a sample of Shanghai Stock Exchange (SHSE) listed stock. Our most important empirical result is that the probability of information - based trading is lower for high volume stocks. Using regressions, we provided evidence of the economic importance of information - based trading on spreads.

关 键 词：市场微观结构 买卖价差 信息性交易 

分 类 号：F832.5[经济管理—金融学]