期刊文献+
任意字段
题名或关键词
题名
关键词
文摘
作者
第一作者
机构
刊名
分类号
参考文献
作者简介
基金资助
栏目信息

如何衡量市场中的知情交易:理论与文献综述

How to Measure the Informed-trading of Market: Theory and Literature Review
下载PDF
导出
摘要 知情交易在市场微观结构的信息模型中扮演着关键角色,特别是在理性预期模型(REE)引入到市场微观结构以后,知情交易更是理解市场流动性、市场波动性以及价格发现等诸多市场运行特征的钥匙。本文对知情交易的基本特征和意义进行了介绍,对学术界衡量市场知情交易的各类方法进行了梳理总结,并对各方法特点作了简要评价。 Informed-trading plays a key role in the information model of market microstructure. Particularly, after the Ra-tional Expectations Model （REE） is introduced to the market microstructure, informed-trading has been the key to understand-ing market liquidity, market volatility and price discovery. This paper introduces the basic characteristics and significance of informed-trading. Then, the paper summarizes all kinds of methods to measure the informed-trading of market and gives a brief evaluation of the characteristics of each method.
作者 尹康 程志芬
机构地区 湖北经济学院经济学系 上海财经大学统计与管理学院 武汉大学珞珈学院
出处 《湖北经济学院学报》 2014年第6期53-59,共7页 Journal of Hubei University of Economics
关键词 知情交易 流动性交易 知情交易概率 informed-trading liquidity trading the probability of informed-trading
分类号 F830.9 [经济管理—金融学]
  • 相关文献

参考文献28

  • 1Akerlof, G. A. The Market for "Lemons" : Quality Uncertainty and the Market Mechanism[J].The Quarterly Journal of Economics, 1970, (3) : 88-500.
  • 2Bagehot, W. The Only Game in Town [J].Financial Analysts Journal, 1971, (2) : 12-14.
  • 3Ohara, M. Market Microstructure Theory[M].MA:Black- well Cambridge, 1995.
  • 4Kyle, A. S. Continnons Auctions and Insider Trading[J]. Econometrica, 1985, (6) : 1315-1335.
  • 5Garman, M. Market Microstructure[J].Journal Economics, 1976, (3) :257-275.
  • 6Copeland, T. E.,D. Galai. Information Effects on the Bid-Ask Spread [J].The Journal of Finance, 1983, (5): 1457-1469.
  • 7Glosten, L. R.,L. E. Harris. Estimating the Components of the Bid/Ask Spread[J].Journal of Financial Economics, 1988, (1) : 123-142.
  • 8Amihud, Y.,H. Mendelson. Asset Pricing and the Bid- Ask Spread [J].Journal of Financial Economics, 1986, (2) :223-249.
  • 9Huang, R. D.,H. R. Stoll. The Components of the Bid- Ask Spread: A General Approach [J].Review of financial studies, 1997, (4) :995-1034.
  • 10Foster, F. D.,S. Viswanathan. Variations in Trading Volume, Return Volatility, and Trading Costs; Evidence on Recent Price Formation Models [J].The Journal of Finance, 1993, ( 1 ) : 187-211.

二级参考文献65

  • 1王春峰,董向征,房振明.信息交易概率与中国股市价格行为关系的研究[J].系统工程,2005,23(2):62-67. 被引量：24
  • 2李朋,刘善存.信息性交易概率分解与买卖价差研究[J].南方经济,2006,35(2):13-22. 被引量：9
  • 3周开国,何兴强,柴俊.股票交易活跃性、流动性与基于信息的交易——对H股的微观结构分析[J].财经问题研究,2006(8):50-59. 被引量：10
  • 4Amihud,Y., and H. Mendelson, 1986, "Asset Pricing and the Bid- Ask Spread," Journal of Financial Economics 17, 223- 249.
  • 5Brerman, M.J., Jagadeesh, N., B. Swaminathan, 1993, Investment Analysis and the Adjustment of Stock Prices to Common Information, Review of Financial Studies 6, 799- 824.
  • 6asley, D. and M. O'Hara, 1987, "Price, Trade Size, And Information in Securities Markets," Journal of Financial Economics 19,69 - 90.
  • 7Easley, D. and M. O' Ham, 1992, "Time and The Process Of Security Price Adjustment, " Journal of Finance 47, 577 -606.
  • 8Easey D,, N. Kiefer, M, O'Ham, and J, Papernmn, 1996, "Liquidity, Information, and Infrequently Traded Stocks,"Journal of Finance 4, 1405 - 1436.
  • 9Goldberger, A. S. 1991. "A Course in Econometrics. Cambridge", MA: Harvard University Press.
  • 10Lee, C., and M.J. Ready, 1991, "Inferring Trade Direction from Intraday Data", Journal of Finance, 46, 73.3 - 746.

共引文献115

湖北经济学院学报
2014年 第6期

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部