本文關(guān)鍵詞：中國股票市場沖擊下信息融入研究　出處：《天津大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 市場微觀結(jié)構(gòu) PIN 信息沖擊 日內(nèi)跳躍 業(yè)績預(yù)增

【摘要】：信息對證券市場價格行為具有決定性的重要作用，證券的價格發(fā)現(xiàn)過程實際上就是信息傳導(dǎo)融入價格的過程。信息理論和模型的發(fā)展，向來是國內(nèi)外市場微觀結(jié)構(gòu)研究的熱點和重點。理論和模型是研究市場變量規(guī)律及其相互關(guān)系的基石，更是投資決策實際應(yīng)用的邏輯基礎(chǔ)。本文深入研究了在交易日趨高頻化背景下，通過構(gòu)建相應(yīng)信息指標研究極端價格發(fā)現(xiàn)過程中的信息到達—傳導(dǎo)—融入—釋放過程，以及信息沖擊驅(qū)動價格跳躍形成的模式，并將高頻下的信息指標應(yīng)用于業(yè)績預(yù)增事件研究。以下是本文的研究內(nèi)容要點： 日內(nèi)高頻下跳躍的PIN效應(yīng)研究：為了從更高頻更微觀的角度研究資產(chǎn)價格日內(nèi)跳躍前后信息的到達—傳導(dǎo)—融入—釋放過程，本研究基于實時交易量數(shù)據(jù)構(gòu)建日內(nèi)高頻PIN指標，并結(jié)合BNS理論框架下的日內(nèi)跳躍識別方法，刻畫了1分鐘頻度的不同跳躍時刻的PIN日內(nèi)效應(yīng)模式圖。同時實證結(jié)果也驗證了日內(nèi)跳躍在本質(zhì)上是一種信息極短時間融入的、激烈的價格發(fā)現(xiàn)形式。 日內(nèi)高頻下信息沖擊驅(qū)動跳躍模式研究：為了更進一步研究信息沖擊驅(qū)動日內(nèi)跳躍的微觀機制，基于交易量及其不平衡性表征的交易信息，從信息不對稱程度和信息融入速率兩個維度來刻畫日內(nèi)高頻信息沖擊特征。實證結(jié)果得到日內(nèi)跳躍幅度隨著高頻信息沖擊的雙維度指標的增大而呈山坡狀緩慢增大的變化模式，，同時得到信息沖擊對跳躍的驅(qū)動作用不具有公司規(guī)模效應(yīng)的結(jié)論。 業(yè)績預(yù)增事件的PIN效應(yīng)研究：為了研究業(yè)績預(yù)增事件的PIN效應(yīng)，采用事件研究法考察選定時間窗口內(nèi)PIN序列的顯著性以及信息泄露對該事件超額收益影響。實證結(jié)果驗證了業(yè)績預(yù)增事件在中國弱有效市場存在信息的提前泄露，并且確定了信息預(yù)反應(yīng)期為公告日前2個交易日；預(yù)反應(yīng)期內(nèi)的信息泄露情況對事件性超額收益具有弱化作用。
[Abstract]:Information plays a decisive role in the price behavior of securities market. In fact, the process of price discovery of securities is the process of information transmission and integration of price, and the development of information theory and model. The theory and model are the cornerstone of the study on the law of market variables and the relationship between them. It is also the logical basis of the practical application of investment decision. By constructing corresponding information indicators, the paper studies the process of information arrival, conduction, integration and release in the process of extreme price discovery, as well as the model of information shock driving price jump. And the information index under the high frequency is applied to the research of the performance advance event. The following are the main points of this paper: The PIN effect of intraday high frequency jump: in order to study the arrival, conduction, integration and release process of the information before and after the intra-day jump in asset prices from a more high-frequency and more microscopic point of view. Based on the real time trading volume data, the paper constructs the high frequency intraday PIN index and combines with the intraday jump recognition method under the framework of BNS theory. The PIN intraday effect pattern at different hopping times of 1 minute frequency is depicted. The empirical results also prove that the intraday jump is essentially a kind of price discovery form in which the information is incorporated in a very short time. In order to further study the micro mechanism of information shock driving intra-day jump, trading information based on trading volume and its imbalance is used. The characteristics of intraday high frequency information shock are described from the two dimensions of information asymmetry degree and information integration rate. The empirical results show that the intraday jump amplitude increases slowly with the increase of the two dimensional indexes of high frequency information shock. Big change patterns. At the same time, we get the conclusion that the information shock does not have the firm scale effect. Research on PIN effect of performance Pre-increasing event: in order to study the PIN effect of performance Pre-increasing event. The significance of PIN sequence in the selected time window and the influence of information leakage on the excess return of the event are investigated by using event research method. The empirical results verify the existence of pre-performance events in China's weak efficient market in advance. Leak. And the information pre-reaction period is determined to be two trading days before the announcement date; The leakage of information in the pre-reaction period weakens the event excess return.
【學(xué)位授予單位】：天津大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51;F224

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