摘要
微观结构文献和实证模型对于交易强度(交易持续期的倒数)与知情交易之间的关系的预测是相互矛盾的。本文试图建立一个研究该问题的实证框架,并采用上海股票市场交易数据进行实证研究。本文的主要发现是:(1)基于利好消息的交易通常会使交易强度增大,而基于利空消息的交易通常会导致较长的交易持续期;(2)较长的持续期会导致价格下跌和较低的波动率: (3)在较低频率数据(如日数据、周数据或月数据)中普遍存在的杠杆效应在本文采用的交易数据中被拒绝。
Mierostrueture literature and empirical models offered conflicting prediction regarding the relationship between trading intensity and information-based trading. In this paper, I undertake an empirical investigation that is motivated by this conflicting theory. Firstly, I develop an asymmetric specification that attempts to capture the asymmetric effect of good news and bad news on intertrade durations. One interesting point that emerges from the analysis is that good-news-based trading will generally lead to increased trading intensity, while bad-news-based trading will generally contribute to longer durations. Then I ask whether long durations are associated with bad news. It turns out that long durations will lead to declining prices and low volatility; moreover, the commonly assumed leverage effect is rejected at the transaction data level.
出处
《南方经济》
北大核心
2006年第1期5-21,共17页
South China Journal of Economics
基金
国家自然科学基金项目(70473106)中山大学"985工程"产业与区域发展研究创新基地(105203200400010)国家社科基金课题(03AJY008)广东省普通高校人文社会科学重点研究基地经费资助成果之一
关键词
自回归条件持续期(ACD)模型
UHF—GARCH模型
非对称设定
ACD model
UHF-GARCH model
microstructure
trading intensity
information-based trading
volatility
asymmetric effect
Shanghai Stock Exchange （SSE）
