非预期广义信息到达与流动性动态行为研究

在将信息定义拓展到更广泛内涵的基础上,结合日内跳跃识别方法,研究非预期广义信息冲击前后流动性的动态行为,深入分析信息的发生时间对流动性回复特性的影响。研究结果表明: 信息到达能引起流动性多个维度的变化,且各维度反应程度和回复特性不同;信息的方向和非预期程度是影响流动性动态行为的重要因素;另外,中国市场开盘、午间休盘这两个特殊信号也将改变流动性日内回复的路径。

The Research of Unexpected Ggeneralized Information and Liquidity Dynamic Behavior

Based on the jump's intraday detection method, expending the set of information to a general one, this paper analyzes intraday liquidity dynamic behavior around the arrival of unexpected generalized information and reveals how the time of information arrival impacts on the characteristic of liquidity recovery. The empirical result finds that the arrival of information often occurs with changes of liquidity's several dimensions, and these dimensions show different reactions and responses. The information's direction and degree of unexpectedness also become an important factor to affect liquidity behavior. A further study suggests market opening and lunch?break can change the path of liquidity recovery.