| 信息交易概率与中国股市价格行为关系的研究 |
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| 引用本文： | 王春峰,董向征,房振明.信息交易概率与中国股市价格行为关系的研究[J].系统工程,2005,23(2):62-67. |
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| 作者姓名： | 王春峰 董向征 房振明 |
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| 作者单位： | 天津大学,管理学院,天津,300072 |
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| 基金项目： | 国家杰出青年基金资助项目(70225002) |
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| 摘 要： | 介绍并利用信息交易概率(PIN)作为衡量中国市场信息非对称程度的指标，建立了关于信息交易概率、流动性和波动性之间关系的回归模型，并采用三阶段最小二乘法(3-SLS)对其进行参数估计。实证结果表明在中国股票市场中信息交易概率与市场流动性正相关，而与波动性负相关，进一步揭示了中国股市的价格行为。
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| 关 键 词： | 信息交易概率 流动性 波动性 |
| 文章编号： | 1001-4098(2005)02-0062-06 |
On Relations between Information Trading and the Behavior of the Stock Price |
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| WANG Chun-feng,DONG Xiang-zheng,FANG Zhen-ming.On Relations between Information Trading and the Behavior of the Stock Price[J].Systems Engineering,2005,23(2):62-67. |
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| Authors: | WANG Chun-feng DONG Xiang-zheng FANG Zhen-ming |
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| Abstract: | The probability of information trading(PIN), as a measurement of the asymmetrical information content, is (introduced) and the regression model to investigates the correlation between PIN, liquidity and volatility is set up in this (paper.) The coefficients are estimated by the mean of three stage least squares. The results show that higher PIN leads to (lower) (liquidity) and higher volatility and vice versa. At the same time these concludes disclose the behavior of the price (further) in China stock market. |
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| Keywords: | Probability of Information Trading Liquidity Volatility |
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