机事不密:股灾年降息降准前的知情交易

Intolerable leakage: Informed trading before cuts on interest rate and reserve requirement ratio in 2015

以2014年底至2015年底8次降息降准事件为自然实验,研究股市震荡中的知情交易和市场反应.研究结果表明,降息降准公布前,开盘价收益率、每笔成交量和知情交易比例显著提高,波动率和成交笔数显著下降;信息不对称程度高以及降息降准直接利好的银行、证券、房地产等行业的股票,其知情交易比例显著提高.进一步检验发现,降息降准公布前,每笔大单的规模和总大单数量显著提高,大单与小单的知情交易比例都显著高于正常日,且小单的知情交易比例在最后交易时段逐渐与大单接近.这些结果意味着股灾年中降息降准货币政策公布前知情交易在市场中是普遍存在的.隐含的信息传播途径是,资金雄厚的知情投资者首先买卖相关股票获得收益,并且知情交易在统计意义下先向其他资金雄厚的投资者扩散,随后是向中小散户扩散.

This paper investigates the informed trading in Chinese stock markets by a natural experiment of the PBC’s interest rate cuts and reserve requirements rate(RRR)cuts.The empirical evidence shows that the return by opening price,volume per trade and the probability of informed trading appear a significant growth,whereas the volatility and the number of trades dramatically drop in the trading day prior to the PBC’s interest rate cuts and RRR cuts.Moreover,the probability of informed trading increases more considerably in some stock sets such as the stocks with higher information asymmetry and the stocks from banks,securities,real estate industries which benefited more directly from the monetary policies.Our study also finds that prior to the release of interest rate cuts and RRR cuts,the volume and proportion of the big trades rise significantly,and the probability of informed trading both in big and small trades is also higher than in the normal situations.These results indicate that Chinese stock market has informed trading during stock market crash.Some rich investors use the insider information to trade stocks and get additional revenue in the market before the information significantly leaks to other rich investors and individual investors.