日内知情交易概率测度及事件影响研究

Research of intraday informed trading probability Measure and Affect to events

在EKOP模型测度PIN的基础上,通过建立时变交易到达率模型,滚动计算日内知情交易概率,并将PIN测度与事件研究相结合,对比了不同规模公司股票在事件日前后PIN的变化情况。实证结果表明我国股市存在信息泄露情况,尤其是小规模公司股票在公告日前一天知情交易明显增加;前一笔知情交易对当前非知情交易有削弱作用,但对当前知情交易有加强作用,可以进一步解释交易的集簇现象;日内PIN对信息的刻画更加准确,但也发现在公共事件发生后第二天PIN仍会增加,这表明市场上存在信息的学习者,需要对引起PIN增加的原因进行更准确的分析。

Based on the use of the EKOP model to measure the PIN, intraday informed trading probability is calculated by modeling the time-varying arrival rates of informed and uninformed trades. Combining the PIN measure and the research for events, the state of PIN changes are compared among stocks of different-sized companies. Empirical results show that the information disclosure exists in Chinese stock market, especially the PIN increases in small size stocks the day before announcements. The former informed trade is negative to present uninformed trade, but positive to present informed trade, which explains the clustering phenomenon. Information is described more accurately by intraday PIN, although PIN increases after the announcements. It shows that there exists some information learners in the market, so more analysis on explanations of PIN increasing is needed.