证券市场信息不对称的度量——基于改进的PIN模型实证研究

The measure of information asymmetry in the stock market:An empirical study of adjusted PIN model

知情交易概率(PIN)模型是最早用来度量市场信息不对称程度的模型,为市场微观经济理论做出了巨大贡献。然而,PIN模型所隐含的买卖指令之间的相关关系与实际并不相符。Duarte and Young(2009)通过增加指令冲击流等因素,对PIN模型进行了改进。利用沪深两市27家金融公司股票交易高频数据,对PIN模型和改进的PIN模型所隐含的买入量和卖出量相关性进行实证研究,验证两个模型与实际数据是否相符。27只股票运算结果显示,PIN模型隐含的买入量和卖出量之间的负相关关系与实际数据中买入量和卖出量之间的正相关关系并不相符,而改进的PIN模型隐含的买卖量之间的正相关性与实际数据一致。

Probability of Informed Trading （PIN） model is the first to measure the degree of the asymmetric informa tion, which has made tremendous contributions to the market micro economic theory. However, the correlation between buyers and sellers implied by the PIN model is not consistent with that in real data. Duarte and Young（2009）improved the PIN model by considering the factor of increasing the market order flow shock. In this paper, trading data from 27 companies in Shanghai and Shenzhen have been used to make comparative analysis between the PIN and AdjPIN, to verify the cor relation between buyers and sellers. The experimental results showed that that the negative correlation between buy and sell orders implied in the PIN model was not consistent with the positive correlation in real data, while the positive correlation implied in the AdjPIN model was consistent with that in real data.