本文關(guān)鍵詞：基于PIN值的信息不對(duì)稱對(duì)滬市流動(dòng)性影響研究　出處：《哈爾濱理工大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 信息不對(duì)稱 PIN 滬市流動(dòng)性

【摘要】：信息不對(duì)稱普遍存在于各國(guó)的股票市場(chǎng)且不可避免，是股票市場(chǎng)的最重要特性之一，近年采用高頻數(shù)據(jù)對(duì)金融市場(chǎng)的信息不對(duì)稱性進(jìn)行研究成為金融定量研究領(lǐng)域的一個(gè)熱點(diǎn)。流動(dòng)性是股票市場(chǎng)的基本功能之一，是衡量股票市場(chǎng)健康程度的重要指標(biāo)。鑒于信息不對(duì)稱和流動(dòng)性對(duì)股票交易的重要性，本文對(duì)滬市股票市場(chǎng)信息不對(duì)稱水平及其對(duì)流動(dòng)性影響進(jìn)行研究。 通過(guò)對(duì)信息不對(duì)稱水平度量指標(biāo)PIN的研究來(lái)認(rèn)識(shí)滬市的信息不對(duì)稱水平，從定量的角度研究信息交易概率PIN值與市場(chǎng)流動(dòng)性指標(biāo)的數(shù)量伴隨關(guān)系，發(fā)現(xiàn)信息不對(duì)稱對(duì)股票市場(chǎng)總體的影響，可以減少逆向選擇風(fēng)險(xiǎn)和促進(jìn)股票市場(chǎng)良性發(fā)展。本文理論部分對(duì)國(guó)內(nèi)外股票市場(chǎng)信息不對(duì)稱和流動(dòng)性水平的度量方法進(jìn)行比較，以確定本文采用的度量方法。模型分析部分首先對(duì)EKOP模型的市場(chǎng)假設(shè)和模型原理進(jìn)行系統(tǒng)分析以驗(yàn)證所采用模型在我國(guó)股票市場(chǎng)的適用性。實(shí)證研究部分，選擇滬市股票市場(chǎng)為研究對(duì)象，選取上證50指數(shù)中具有代表性的12只股票作為樣本，然后用PIN指標(biāo)和流動(dòng)性L指標(biāo)對(duì)樣本股票的交易情況所代表的信息不對(duì)稱水平和流動(dòng)性水平進(jìn)行量化。最后對(duì)度量信息不對(duì)稱水平的PIN指標(biāo)和流動(dòng)性L指標(biāo)進(jìn)行相關(guān)性和回歸分析，，得到滬市股票市場(chǎng)信息不對(duì)稱水平和流動(dòng)性正相關(guān)，并且信息不對(duì)稱水平的升高會(huì)帶來(lái)流動(dòng)性的增加的結(jié)論。 本文旨在通過(guò)對(duì)滬市股票市場(chǎng)信息不對(duì)稱水平對(duì)流動(dòng)性影響的研究，分析滬市股票市場(chǎng)信息不對(duì)稱水平現(xiàn)況和其與流動(dòng)性的關(guān)系，達(dá)到為股票市場(chǎng)投資者和研究者提供理論支持以及實(shí)際決策參考的目的。
[Abstract]:Information asymmetry is one of the most important characteristics of stock market. In recent years, the use of high-frequency data to study the information asymmetry of financial markets has become a hot spot in the field of quantitative financial research. Liquidity is one of the basic functions of the stock market. In view of the importance of information asymmetry and liquidity to stock trading, this paper studies the level of information asymmetry and its influence on liquidity in Shanghai stock market. Through the study of the information asymmetry level measurement index PIN to understand the information asymmetry level of Shanghai stock market, from the quantitative perspective to study the quantitative relationship between the information transaction probability PIN value and the market liquidity index. Find out the impact of asymmetric information on the stock market as a whole. It can reduce the risk of adverse selection and promote the healthy development of stock market. This paper compares the measurement methods of asymmetric information and liquidity level of stock market at home and abroad. In order to determine the measurement method adopted in this paper, the model analysis part firstly systematically analyzes the market hypothesis and the model principle of the EKOP model to verify the applicability of the model in the stock market of our country. . Shanghai stock market is chosen as the research object, and 12 representative stocks in the Shanghai 50 index are selected as samples. Then the information asymmetry level and liquidity level represented by the trading situation of the sample stock are quantified by using PIN index and liquidity L index. Finally, the PIN index and liquidity L which measure the asymmetric level of information are quantified. Correlation and regression analysis were carried out. It is concluded that the asymmetric level of information is positively related to liquidity in Shanghai stock market, and the increase of asymmetric level of information will lead to the increase of liquidity. The purpose of this paper is to analyze the current situation of asymmetric information level in Shanghai stock market and its relationship with liquidity by studying the effect of information asymmetry level on liquidity in Shanghai stock market. It can provide theoretical support and practical decision reference for investors and researchers in stock market.
【學(xué)位授予單位】：哈爾濱理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51

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