信息非对称条件下中国股市波动性日内特性研究

基金项目: 国家杰出青年科学基金资助项目(70225002);教育部优秀青年教师教学科研奖励基金资助项目(001-28)

详细信息

Research on the Intraday Volatility of Chinese Stock Market Conditional on Asymmetric Information

摘要: 基于指令驱动市场信息模型,从信息不对称角度解释股票市场波动性日内特征的原因。结果表明,股票市场的非对称信息、公开信息和流动性成本是导致中国股票市场波动性具有"L "形日内模式的因素。股票市值越大,非对称信息、公共信息对股票价格波动的影响越低。
- 信息非对称 /
- 公共信息 /
- 指令驱动市场 /
- 波动性
Abstract: Based on the information model of order-driven market, the intraday characteris tics of the volatility of Chinese stock market are studied from the viewpoint of asymmetric information. The results show that the L intraday pattern of return volatility of stock market is caused by asymmetric information, public informati on and liquidity cost. The higher the market value of stocks, the lower the effe ct of asymmetric information and public information on price volatility.
- asymmetric information /
- public information /
- order-d riven market /
- volatility

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