沪市A股上市公司定期公告对信息性和流动性交易行为的影响

利用扩展后的EKOP模型, 从金融市场微观结构的视角, 以沪市A股2005至2009年年报与次年一季度报在同一天发布的402只股票为样本, 分别计算了公告前后样本股票的信息性交易概率(AdjPIN)以及信息性和流动性交易者的交易强度, 发现相对于公告前, 信息性交易者和流动性交易者在公告后的交易强度都有提高, 样本股票的信息性交易概率也有升高; 通过对样本股票公告前后日均交易量变化的回归分析发现, 相对于信息性交易者, 流动性交易者公告前后的交易强度变化较大, 是样本股票交易量变化的主要影响因素.

Quarterly disclosure of listed companies in SSE and its impact on informed and liquidity trading

Based on the extended EKOP model developed by Duarte and Young, this paper selected a sample of 402 listed companies in Shanghai Stock Exchange (SSE) whose annual reports from 2005 to 2009 were disclosed on the same day of next year's first quarter reports respectively. Using the buy and sell data of 60 trading days, this paper estimated the probability of informed trading (referred as PIN) and the trading intensities of informed and liquidity traders by numerically maximizing the log likelihood function of the extended EKOP model. The results indicate that PIN and both of the informed and liquidity trading intensities undergo an increase after the disclosure on average. The increase of the informed and liquidity trading intensities is in consistency with the idea that information disclosure increases liquidity in stock markets. The increase of PIN indicates that information disclosure does not reduce the degree of information asymmetry among different traders, of which one possible cause is that institutional traders can make better use of the disclosed information than individual traders. Furthermore, this paper conducted a series of regression analysis and found that the change of the liquidity trading intensity before and after the disclosure, which is greater than that of the informed trading, is the main influencing factor of the change of the sample stocks' trading volume.