基于信息非对称模型的交易行为与波动性关系研究——交易规模和交易频率

The Investigation on the Relation between Behavior of Traders and Volatility Based on the Information Asymmetric Model——Trade Size and Trade Numbers

本文基于信息非对称模型研究了上海股市的交易行为与股价波动的关系。实证研究发现:平均每笔交易量比交易频率包含更多的波动性持续信息,对波动性具有更好的解释能力,而且不同规模的交易对波动性冲击不同,其中最大笔交易对波动性的冲击最大。上述结果表明,我国股市中的量价关系是与信息非对称模型一致,而私有信息交易(大笔交易)可能是我国股市中个股过度波动的主要原因之一。

The relation between behavior of traders and stock market volatihty is investigated based on the information asymmetric model on the Shanghai stock market. Our results confirm the significance of the average trade volume, beyond that of the number of trades, in the volatility-volume relation. And we also find the impact on the volatihty varies from trade size. The largest trade size has the most important impact on the volatility. The results indicate that the relation between the volatility and volume is consistent with the information asymmetric model. That is to say, the private information trading of institution investor perhaps is the main cause of excessive volatility of Chinese stock market.