管理科学
管理科學
관이과학
MANAGEMENT SCIENCES IN CHINA
2014年
6期
121-131
,共11页
信息风险%PIN模型%交易活跃度%异质期望%信息状态
信息風險%PIN模型%交易活躍度%異質期望%信息狀態
신식풍험%PIN모형%교역활약도%이질기망%신식상태
information risk%PIN model%trading activity%heterogeneous beliefs%information state
准确测度信息不对称是研究金融市场信息不对称问题的基础。在详细考察经典的信息交易概率模型的建模过程和假设条件的基础上，针对信息交易者和非信息交易者在不同信息状态下的订单提交状况，提出考虑外生信息状态概率、异质期望和交易活跃度的改进的信息交易概率模型；通过带机制转换的向量自回归模型估计外生信息状态概率，综合考虑多方面的市场交易信息，提高模型估计的准确性。实证结果表明，改进的信息交易概率模型可以较好地刻画证券市场的信息不对称程度。从截面上看，信息交易概率与标的资产的垄断优势和话题性相关，垄断优势越强的股票信息交易概率越低，话题性越强的股票信息交易概率越高；从时间上看，信息交易概率的变化受公告信息的影响，公告信息发布前的信息交易概率较高，公告信息发布后的信息交易概率较低。因此，在防范信息风险时，应重点关注话题性较强的版块，特别是股价比较容易受舆论影响波动的个股；同时，在公告信息发布之前的时段，应对市场波动和信息动向给予更多关注。
準確測度信息不對稱是研究金融市場信息不對稱問題的基礎。在詳細攷察經典的信息交易概率模型的建模過程和假設條件的基礎上，針對信息交易者和非信息交易者在不同信息狀態下的訂單提交狀況，提齣攷慮外生信息狀態概率、異質期望和交易活躍度的改進的信息交易概率模型；通過帶機製轉換的嚮量自迴歸模型估計外生信息狀態概率，綜閤攷慮多方麵的市場交易信息，提高模型估計的準確性。實證結果錶明，改進的信息交易概率模型可以較好地刻畫證券市場的信息不對稱程度。從截麵上看，信息交易概率與標的資產的壟斷優勢和話題性相關，壟斷優勢越彊的股票信息交易概率越低，話題性越彊的股票信息交易概率越高；從時間上看，信息交易概率的變化受公告信息的影響，公告信息髮佈前的信息交易概率較高，公告信息髮佈後的信息交易概率較低。因此，在防範信息風險時，應重點關註話題性較彊的版塊，特彆是股價比較容易受輿論影響波動的箇股；同時，在公告信息髮佈之前的時段，應對市場波動和信息動嚮給予更多關註。
준학측도신식불대칭시연구금융시장신식불대칭문제적기출。재상세고찰경전적신식교역개솔모형적건모과정화가설조건적기출상，침대신식교역자화비신식교역자재불동신식상태하적정단제교상황，제출고필외생신식상태개솔、이질기망화교역활약도적개진적신식교역개솔모형；통과대궤제전환적향량자회귀모형고계외생신식상태개솔，종합고필다방면적시장교역신식，제고모형고계적준학성。실증결과표명，개진적신식교역개솔모형가이교호지각화증권시장적신식불대칭정도。종절면상간，신식교역개솔여표적자산적롱단우세화화제성상관，롱단우세월강적고표신식교역개솔월저，화제성월강적고표신식교역개솔월고；종시간상간，신식교역개솔적변화수공고신식적영향，공고신식발포전적신식교역개솔교고，공고신식발포후적신식교역개솔교저。인차，재방범신식풍험시，응중점관주화제성교강적판괴，특별시고개비교용역수여론영향파동적개고；동시，재공고신식발포지전적시단，응대시장파동화신식동향급여경다관주。
Measuring information asymmetry accurately is the research basis of financial market′s information asymmetry issue. Based on the modeling and assumption of the classical PIN model, this paper examines different order submission behavior of in-formation traders and non-information traders under different information states.Herein, an improved PIN model, which takes the information state probability as the exogenous variable and considers the heterogeneous beliefs and trading activity, is built up. The exogenous information state probability is estimated by Markov-switching vector autoregressive ( MSVAR ) model, which takes various market trading information into consideration, so the accuracy of the model could be improved.The empirical re-sults indicate that the advanced model is more accurate in measuring the information asymmetry of financial market.First, the probability of informed trading ( PIN) is related to the monopolistic advantage and topicality of underlying asset.On one hand, strong monopolistic advantage always results in a lower PIN;on the other hand, high topicality is usually accompanied by high PIN.Furthermore, the PIN vibration is influenced by reports.The PIN is always in a high level before the information being opened to the public, and subsequently decreases significantly after being reported.Therefore, for preventing information risk, it is needed to focus on the stocks that are easy to be influenced by public opinion and to pay more attention on the market fluctua-tions and the trends of information before announcement of related information released.
