证券市场导报Issue(8)：47-54,64,9.
中国股票市场信息不对称测度的比较——基于证监会行政处罚案例的研究
摘要
Abstract
Based on the EKOP model, this paper proposes a measure of the daily probability of informed trading (daily PIN). Using 46 administrative penalty cases issued by CSRC which are involved in informed trading from 2010 to 2015, this paper compares multiple measures of asymmetric information including daily PIN about their performances before, during and after the inside information sensitive period as well as before and after the disclosure of inside information. The study shows that the daily PIN during the sensitive period is larger than the daily PIN after the sensitive period. Moreover, the daily PIN jumps down after the inside information being public. This suggests that the daily PIN could reflect the changes in information structure better. Our study expands the application of asymmetric information theory into empirical finance study and provides a reference on how to predict and prevent informed trading for regulators.关键词
知情交易概率/信息不对称/价差/价格冲击/内幕交易Key words
PIN/asymmetric information/spread/price impact/informed trading分类
管理科学引用本文复制引用
郇钰,高扬..中国股票市场信息不对称测度的比较——基于证监会行政处罚案例的研究[J].证券市场导报,2018,(8):47-54,64,9.基金项目
国家自然科学基金青年项目"新常态下基于进化算法的金融产业结构多目标优化研究" (项目编号:61603010)、中国博士后科学基金项目"基于大数据分析技术的投资者情绪与市场微观结构研究" (项目编号:2017M610671) （项目编号:61603010）
