摘要
基于深证300价格指数中数据最全的220支股票的分笔交易数据,分析股票暴涨暴跌之前1天的股价和流动性状况,以探讨大幅价格变动与之前交易过程的关系.对暴涨暴跌之前1天的日内分析表明,暴涨暴跌前1天的收益和流动性与未发生暴涨暴跌时显著不同,这意味着中国市场存在提前的信息泄露和内幕交易行为.回归结果表明因信息泄漏而发生异常变动的价格和流动性指标与次日股价暴涨暴跌的概率有显著的关联性.
Abstract： With tick data of 220 stocks selected from SZ300P index components by the optimal sample length, this paper analyzes the price variations and liquidity conditions before large price changes, and studies the rela- tion between large price changes and the previous trading process. The event study on the intraday data implies that the return and liquidity variations in intraday time intervals are quite different from ordinary cases, which shows that there are early information leakage and informed trading behaviors. The regression results show the daily return and liquidity variables with abnormal changes induced by leaked information are significantly correlated with the probability of large price changes in the next trading day.
作者
万谍
王军波
杨晓光
Wan Die Wang Junbo Yang Xiaoguang(School of Finance, Zhejiang Gongshang University, Hangzhou 310018, China Department of Economics and Finance, City University of Hong Kong, Hong Kong 999077, China Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China)
出处
《系统工程学报》
CSCD
北大核心
2016年第5期643-656,共14页
Journal of Systems Engineering
基金
国家自然科学基金资助项目(71431008
71532013
71501170)
浙江省自然科学基金资助项目(LQ16G010001)
关键词
高频交易数据
大幅价格变化
信息交易
Key words： high-frequency trading data
large price changes
informed trading
