A股市场噪音交易与信息交易水平对比研究

Contrastive Analysis of Information Based Trading and Noise in A-Share Stock Market

噪音交易能够长期存在对传统信息交易测算方法提出了挑战。基于EKOP模型的框架,将交易分为信息交易、噪音交易和流动性交易,构建了同时估计噪音交易和信息交易比例的模型。在此基础上,利用此模型对中国A股市场信息交易和噪音交易情况进行刻画,并对比了不同市场状况以及不同规模股票交易情况的差异,结果显示熊市信息交易概率最高,相对稳定的市场信息交易概率最低,三种市场状态下噪音交易概率不存在显著差异,而股票规模对于交易类型影响不显著。另外,研究表明,极端收益时期信息交易概率明显会增高,而极端波动时期噪音交易和信息交易均比正常情况下略高。

The fact that noise trading can exist for a long time challenge traditional informed trading evaluate method. In this paper, we divide all the trading into informed trading, noise trading and liquidity trading, and evaluate the ratio of three types of trading based on EKOP model framework. Furthermore, we calculate the probability of information based trading, the probability of noise based trading of Chinese stock market. The results show that the probability of information based trading in bear market is higher than bull market and the stable market, but there is no significant difference among the probability of noise in three periods. The result also shows the size of listed company is not an important factor that influences the probability of informed trading and noise trading. In addition, the study shows that the probability of informed trading is much higher in extreme yield period, and the probability of informed trading and noise trading gets higher in extreme volatility period.