摘要
将交易者市场到达率看作与市场状态相依的变量,实证研究了上海证券市场知情与非知情交易者的市场到达率及其影响因素.首先运用EKOP模型假设,选取2003.7.1至2003.12.31上海证券市场高频分笔交易数据,对知情与非知情者的到达率(交易强度)进行了度量;其次研究了各种宏观、微观市场特征对交易者到达率的影响.实证结果表明:非知情交易者的到达率与市场收益正相关,知情交易者的到达率主要受买(卖)交易量和供给(需求)弹性的影响,且这种影响只存在于同期之间.与非知情交易者不同,知情者较多的观察微观公共信息.
The paper regards the arrival rate as the variable which relates to the market state. The paper investigates the informed and uninformed traders＇ arrival rate and the influencing factors in the market. It firstly measures the arrival rate of informed and uninformed traders, selecting the data on the Shanghai Security Exchange （SSE） from July 1, 2003 to December 31, 2003, and employing EKOP model （ Easley, Kiefer, O＇ Hara and Paperman, 1996）. Then, it investigates how the market characters affect the traders＇ arrival rate. The empirical results show that ： 1 ） The arrival rate of uninformed traders is mainly affected by market return. 2） Bid （ask） volume and supply （demand） elasticity influences the informed traders＇ arrival rate. Different from uninformed traders, the informed traders observe more micro-common information.
出处
《管理科学学报》
CSSCI
北大核心
2010年第1期85-94,共10页
Journal of Management Sciences in China
基金
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)
关键词
信息性交易
到达率
弹性
知情交易者
非知情交易者
informative trading
arrival rate
elasticity
informed trader
uninformed trader
