中国证券市场信息风险特征与定价问题研究

本文以知情交易概率作为信息风险的测度,讨论了中国证券市场信息风险特征与定价问题：在引入并改进了EKOP知情交易概率模型非参估计方法的基础上,对指令驱动市场序贯交易模型的适用性进行了讨论,进一步对中国证券市场不同类型股票的风险特征进行了刻画并对信息风险因子定价的问题进行了研究。结果表明：中国证券市场信息风险对超额收益具有显著的解释力,但产生的是负效应,这种负效应来自于高投机性的市场行为。

Features of Information Risk and Risk Pricing in China Stock Markets

This paper discusses the character of information risk and how to price it based on the PIN as the measure of the information risk.On the basis of introducing and improving the PIN's Non-parametric Estimated model,this paper discusses the applicability of Sequential trading model in Order driven market and depicts the information risk's character of different styles of stocks in Chinese stock market.Further more we also study the risk pricing capability of PIN.The results show that PIN is capable to be a ri...