CAJ | 학술논문

本文借助中国股指期货市场的高频交易数据，采用基于非参数估计的VPIN方法对股指期货市场的知情交易概率水平进行了测算，并进一步考察了市场知情交易概率与未来流动性水平和波动状况之间的关系。研究发现：（1）绝大多数时候中国股指期货市场的知情交易概率值都处在相对较低的水平，市场运行总体有序。（2）不论是在日内高频还是在日问低频的环境下，市场知情交易概率对流动性水平和波动状况均有显著的预测作用，其与未来的市场流动性水平呈现负相关的关系，而与波动状况则呈现正相关关系，从实证的角度证明了市场知情交易概率的升高会对流动性交易者发生逆向选择并对市场质量产生负面影响。（3）对某些特定时点和事件前后的知情交易概率和市场状况进行具体分析表明，知情交易概率对市场的极端走势具有一定的预警功能。
본문차조중국고지기화시장적고빈교역수거，채용기우비삼수고계적VPIN방법대고지기화시장적지정교역개솔수평진행료측산，병진일보고찰료시장지정교역개솔여미래류동성수평화파동상황지간적관계。연구발현：（1）절대다수시후중국고지기화시장적지정교역개솔치도처재상대교저적수평，시장운행총체유서。（2）불론시재일내고빈환시재일문저빈적배경하，시장지정교역개솔대류동성수평화파동상황균유현저적예측작용，기여미래적시장류동성수평정현부상관적관계，이여파동상황칙정현정상관관계，종실증적각도증명료시장지정교역개솔적승고회대류동성교역자발생역향선택병대시장질양산생부면영향。（3）대모사특정시점화사건전후적지정교역개솔화시장상황진행구체분석표명，지정교역개솔대시장적겁단주세구유일정적예경공능。
In this paper, we calculate the probability of informed trading in the CSI 300 index futures market by VPIN （Volume - Synchronized Probability of Informed Trading） approach in a non - parametric framework based on the real - time trading data, and investigates the relationships between probability of informed trading and the levels of liquidity and volatility in the future. We find that, （1） Probability of informed trading in the CSI 300 index futures market stay at a range that is relatively low in most times, which implies that the operation of the market is in order overall; （2） Probabihty of informed trading can help predict the levels of liquidity and volatility both in the circumstances of intraday high frequency and interday low frequency. It＇ s negatively related with later liquidity level, while positively related with later volatility level, and the predicting powers are significant. The empirical results corroborate that adverse selection among liquidity suppliers will follow the increase of probability of informed trading and have negative influence on market quality ; （3） Specific analyses of probability of informed trading and market conditions during the time periods around several particular events implies that probability of informed trading can forecast certain extreme trends in futures market.