信息不对称影响因素研究——以证券市场为例被引量：1

Impact Factors on Information Asymmetry

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摘要本文通过引入带机制转换的向量自回归模型对信息交易概率模型进行改进,以描述信息不对称程度。通过面板回归的方法对中国证券市场信息不对称程度的可能影响因素进行了分析。实证结果显示,市场活跃度、市场预期和交易量对信息交易概率的影响比较大,市场微观结构和市场实际的信息状态对信息交易概率的影响比较小,但这四方面的解释因子对PIN都有不可替代的解释力,它们分别从不同的侧面解释了信息交易概率一半以上的信息。 The paper first introduces an improved PIN model to measure information asymmetry with a MS-VAR mod-el;and then,it uses the panel data model to analyze the impact on information asymmetry of China’s security market.The results show that the market activity,market expectations and trading volume contribute more to information asymmetry,but the microscopic structure and the actual state of information contribute less.The four explanation factors have irreplaceable explanatory power on PIN,which all explain more than half of the PIN information in different aspects.

作者常建勇郭灿杨宝臣王联欣

机构地区天津大学管理与经济学部首都师范大学美术学院

出处《经济与管理研究》 CSSCI 北大核心 2015年第2期59-67,共9页 Research on Economics and Management

基金国家自然科学基金项目"基于随机波动Heath-Jarrow-Morton模型的可违约债券定价及风险管理策略研究"(71171144) 高等学校博士学科点专项科研基金项目"基于流动性调整的可违约债券定价与信用组合资产管理研究"(20130032110016)

关键词 MS VAR 信息不对称信息交易概率 MS-VAR information asymmetry probability of informed trading （PIN）

分类号 F830.9 [经济管理—金融学]

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参考文献23

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二级参考文献29

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