基于PIN值的信息不对称对沪市流动性及波动性的影响研究

On the Impacts of Information Asymmetry on Shanghai Stock Market’s Liquidity and Volatility Based on PIN Value

PIN值即知情交易概率,是衡量股票市场信息不对称水平的有效指标,指知情交易笔数占交易总笔数的比重。基于2015—2017年沪市A股交易数据,分别以换手率和收益率波动率作为个股流动性和波动性的代理变量,运用面板数据分析方法,检验知情交易概率与股票流动性、波动性之间的关系,研究信息不对称对我国股票市场的影响。控制部分财务指标后,实证结果显示:知情交易概率与流动性呈显著负相关,与波动性呈显著正相关。这一结论说明市场知情交易概率的升高会对股票市场产生负面影响。

PIN value,also known as the probability of informed trading,is an effective index to measure the level of information asymmetry in the stock market.It refers to the proportion of the number of informed transactions to the total number of informed and uninformed transactions.Based on the A-share trading data of Shanghai Stock Exchange from 2015 to 2017,taking turnover rate and rate of return and volatility as the proxy variables of individual stock's liquidity and volatility,by the use of panel data analysis method,it examines the relationship between informed trading probability and stock liquidity and volatility,and studies the impacts of information asymmetry on China's stock market.After controlling some financial indicators,the empirical results show that the probability of informed trading is significantly negatively correlated with liquidity and significantly positively correlated with volatility,indicating that the increase of the probability of informed trading will exert negative impacts on the stock market.