高频透视信息披露的股市反应

The Reaction of Stock Market to the High-frequency Data

以一家上市公司年报公告、红利公告及股权分置方案实施的信息冲击当日,及前后各19个交易日共39天股票交易记录的高频数据为研究对象,将数据进行插值、延拓处理,对交易价格、交易金额及其交易金额的增量进行分析,直观信号图像说明了公司的信息披露具有信息含量;小波分析方法则可检测出突变信号、分离出微观市场结构噪音和有效价格信号,并检测出噪音为白噪声。小波分析详细刻画了信息披露的股市反应的信号特征。

With a listed finn＇ s high-frequency data which recorded during the days around some information published, the paper analyzes traded price, traded amount of money and its increment after interpolating and expanding those high-frequency data. The result shows that the information published do have information content, and different information deliver different information content. Wavelet analysis method could observe the signal of jump, separate market microstructure noise that is a kind of white noise from observed price. With wavelet analysis, it can also explicitly reflect the signal character of securities market response to information published by listed finn.