CAJ | 학술논문

根据交易价格和交易量与限价订单簿状态的相对关系将交易主动性分为12类，对比不同规模股票交易主动性的差异。进一步地，通过宏观信息发布前后以及极端价格变化前后交易主动性的变动趋势来分析交易主动性对于信息的敏感性，并利用交易主动性对下期收益的影响关系验证其信息价值，从其表征信息冲击的能力和对市场影响两个角度研究交易主动性能否代表信息。
근거교역개격화교역량여한개정단부상태적상대관계장교역주동성분위12류，대비불동규모고표교역주동성적차이。진일보지，통과굉관신식발포전후이급겁단개격변화전후교역주동성적변동추세래분석교역주동성대우신식적민감성，병이용교역주동성대하기수익적영향관계험증기신식개치，종기표정신식충격적능력화대시장영향량개각도연구교역주동성능부대표신식。
Trading aggressiveness is a direct reflection of the attitude of investors .In this study, transactions in the mar-ket are classified into twelve groups according to their transaction price , trading volume , quote price and declaration volume . A comparison is made upon the trading aggressiveness of stocks of different sizes , followed by an analysis of the information sensitivity of the trading aggressiveness through its changes before and after macro news release and extreme price fluctuations . A test is conducted on the information content of the trading aggressiveness through its influence on the return of the next peri -od, exploring whether the trading aggressiveness represents information content from the two angles of capacity to represent in -formation impact and influence on the market .