基于VAR模型的知情交易者信息性交易概率研究

基金项目: 国家自然基金资助项目(70671006); 全国优秀博士论文作者专项基金资助项目(200466)

详细信息

The Probability of Informed Trading Based on VAR Model

School of Economics and Management, Beijing University of Aeronautics and Astronautics, Beijing 100191, China

摘要: 选取CCER提供的上海证券交易所股票从2003年7月1日到2003年12月31日的分笔高频交易数据,构建了包含较全面信息的向量自回归(VAR)模型,得到了信息性交易概率代理变量,并在此基础上对变量进行相关性分析。研究结果表明,样本期间内信息性交易概率约为0.172713;信息不对称程度越大,价差越大;信息性交易在日内大约呈一个U型的走势;公告前的信息性交易概率最高,随着公司公告的发布,信息性交易概率减小,说明信息披露有利于市场增大透明度。
- 信息性交易概率 /
- 知情交易者 /
- 价差 /
- 日内模式 /
- 公司公告
Abstract: Selecting CCER high-frequency trading data of Shanghai Security Trading Market from 2003.7.1 to 2003.12.31 and adopting VAR model, the paper researches the representative variable of the probability of informed trading, The results show: the probability of informed trading is about 0.172713; the more asymmetric information is, the larger the spread is; the probability of informed trading is the well-known U-shape; it is the biggest before the announcement.
- probability of informed trading /
- informed trader /
- spread /
- intraday pattern /
- announcement

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