CAJ | 학술논문

噪音交易能够长期存在对传统信息交易测算方法提出了挑战。基于EKOP模型的框架，将交易分为信息交易、噪音交易和流动性交易，构建了同时估计噪音交易和信息交易比例的模型。在此基础上，利用此模型对中国A股市场信息交易和噪音交易情况进行刻画，并对比了不同市场状况以及不同规模股票交易情况的差异，结果显示熊市信息交易概率最高，相对稳定的市场信息交易概率最低，三种市场状态下噪音交易概率不存在显著差异，而股票规模对于交易类型影响不显著。另外，研究表明，极端收益时期信息交易概率明显会增高，而极端波动时期噪音交易和信息交易均比正常情况下略高。
조음교역능구장기존재대전통신식교역측산방법제출료도전。기우EKOP모형적광가，장교역분위신식교역、조음교역화류동성교역，구건료동시고계조음교역화신식교역비례적모형。재차기출상，이용차모형대중국A고시장신식교역화조음교역정황진행각화，병대비료불동시장상황이급불동규모고표교역정황적차이，결과현시웅시신식교역개솔최고，상대은정적시장신식교역개솔최저，삼충시장상태하조음교역개솔불존재현저차이，이고표규모대우교역류형영향불현저。령외，연구표명，겁단수익시기신식교역개솔명현회증고，이겁단파동시기조음교역화신식교역균비정상정황하략고。
T he fact that noise trading can exist for a long time challenge traditional informed trading evaluate method .In this paper ,we divide all the trading into informed trading ,noise trading and liquidity trading ,and evaluate the ratio of three types of trading based on EKOP model framework .Furthermore , we calculate the probability of information based trading ,the probability of noise based trading of Chinese stock market .The results show that the probability of information based trading in bear market is higher than bull market and the stable market ,but there is no significant difference among the probability of noise in three periods .The result also shows the size of listed company is not an important factor that influences the probability of informed trading and noise trading .In addition ,the study show s that the probability of informed trading is much higher in extreme yield period ,and the probability of informed trading and noise trading gets higher in extreme volatility period .