摘要
Admati和Pfleiderer[1]认为交易强度的增加,可能来自于知情交易也可能来自于流动性交易。本文通过分析中国股票市场上持续期间、交易量和波动率之间的关系,提供了识别知情交易和流动性交易的证据。与国外相关研究结论均不同的是,本文的实证结果认为:波动率与持续期间之间存在非线性关系,交易量较小时,交易强度的增加主要来自于流动性交易;而交易量较大时,交易强度的增加主要来自于知情交易。最后,本文对以上实证结果进行了稳健性检验,通过分析波动率日内特征对实证结果的影响,本文还发现,中国股票市场的知情交易通常发生在刚开盘的阶段。
Admati and Pfleiderer（1988） claimed that both informed-trading and liquidity trading will bring high trading activities. This paper gives an empirical study on the relation of duration, volume and volatility, which provide evidences to identify informed trading and liquidity trading. The results show that the high trading intensity is related to informed trading when volume is high, and that is related to liquidity trading when volume is low, which are different from the related studies outside. The robust test in the last part indicates that the result is robust and reliable. While analyzing the influence of intraday periodicity of volatility on empirical result, the authors find that the informed trading in Chinese stock market is likely to take place following the market open.
出处
《统计研究》
CSSCI
北大核心
2008年第2期71-77,共7页
Statistical Research
基金
获教育部“新世纪优秀人才支持计划项目”(教技函[2005]35号)
电子科技大学“中青年学术带头人+创新团队支持计划”
教育部“优秀青年教师资助计划项目”(教人司[2003]355号)资助。
