基于MMPP模型的“送转股”公告效应研究——来自中国证券市场的证据

The Study of Announcement Effect of Stock Dividend and Transfer of Reserve to Common Shares Based on MMPP Model: Evidence from China Stock Market

基于马尔科夫调制泊松过程模型建模交易笔数数据,将交易笔数分离为流动性交易笔数和信息性交易笔数,并构建一个新的估计日度PIN的方法.采用事件研究的方法,考察了我国股市"送转股"公告日前后20,d的超额收益率及信息非对称程度,实证检验我国股市是否有送转股公告效应,以及这种公告是否向市场传递了信息.研究结果表明:我国股市存在"送转股"公告效应,"送转股"公告确实向市场传递了信息,且在"送转股"公告前就有信息泄露.

Based on the Markov modulated Poisson process, this paper modeled the transaction data, and separated the trades of informed traders from the transaction data, and then built a new estimate method of daily PIN. It used the event study method to explore the abnormal return and Probability of Informed Trading around the day of announce of stock dividend and transfer of reserve to common shares in the China＇ s stock market. The results show that China＇ s stock market has the effect on the announce of stock dividend and transfer of reserve to common shares, and the result indicates that announcement effect of stock dividend and transfer of reserve is existed, and it transfers information to the market and leaks information before the announcement day.