无消息即坏消息:中国股市的信息不对称

No news is bad news: The information asymmetry in China’s stock market

提出了一个扩展的知情交易概率指标(APIN)并证明了其相对于PIN在中国股市上具有更好的信息不对称测度效力.在内幕交易监管存在较大完善空间、并存在较高卖空限制的转型股市中,信息获取会成为股票交易获利的决定性因素.此时,一方面,当投资者无消息时,会认为自己在博弈中处于劣势地位,此时“无消息即坏消息”.投资者在这种情况下会更倾向于卖出股票避免损失.另一方面,“无消息即坏消息”下规避性投资者卖出股票占总卖出股票的比重会随着信息不对称程度的增加而增加,作为“无消息”投资者,这类投资者会比真正“坏消息”下的卖出者要求更高的卖价,所以其卖出增加会减小买卖价差.这会导致股市信息不对称指标(APIN)与买卖价差间呈现显著负相关性,并使得PIN对信息不对称的度量容易出现偏差(低估偏差大于高估偏差).总之,APIN可以刻画“无消息即坏消息”下的交易情形,比PIN更精准地度量了中国股市的信息不对称情况.

This paper presents an augmented probability of informed trades(APIN),and evidences its better ability to measure the informational asymmetry in China’s stock market than PIN.Information would determine the profit of stock tradings in a transitional stock market with insider-trading and a strict restriction for short-sale.In this case,"no news"investors would prefer more sales to buys to avoid loss.On one hand,investors without any news would attribute themselves to"inferior participants"in the trading game,meaning that"no news"is bad news;then they are apt to sell stocks.On the other hand,the sales ratio of"no news"investors would boost with the rise of informational asymmetry.Since"no news"investors always ask for higher bid prices than investors with real"bad news",their sales would lead to a number of reductions of bid-ask spreads,resulting in significantly negative APIN-Spread connections and undervaluation of PIN for information asymmetry.In all,compared with PIN,APIN depicts the information asymmetry of China’s stock tradings more clearly,and better illustrates the case in which"no news"is"bad news".