| 基于信息非对称模型的交易行为与波动性关系研究——交易规模和交易频率 |
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| 引用本文： | 王春峰,韩冬,蒋祥林.基于信息非对称模型的交易行为与波动性关系研究——交易规模和交易频率[J].管理工程学报,2007,21(1):134-137. |
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| 作者姓名： | 王春峰 韩冬 蒋祥林 |
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| 作者单位： | 1. 天津大学管理学院,天津,300072
2. 复旦大学金融研究院,上海,200433 |
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| 基金项目： | 国家自然科学基金
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国家自然科学基金
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高等学校优秀青年教师教学科研奖励计划 |
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| 摘 要： | 本文基于信息非对称模型研究了上海股市的交易行为与股价波动的关系.实证研究发现:平均每笔交易量比交易频率包含更多的波动性持续信息,对波动性具有更好的解释能力,而且不同规模的交易对波动性冲击不同,其中最大笔交易对波动性的冲击最大.上述结果表明,我国股市中的量价关系是与信息非对称模型一致,而私有信息交易(大笔交易)可能是我国股市中个股过度波动的主要原因之一.
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| 关 键 词： | 波动性 信息非对称 交易量 交易规模 交易频率 |
| 文章编号： | 1004-6062(2007)01-0134-04 |
| 修稿时间： | 2006年5月16日 |
The Investigation on the Relation between Behavior of Traders and Volatility Based on the Information Asymmetric Model——Trade Size and Trade Numbers |
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| WANG Chun-feng,HAN Dong,JIANG Xiang-ling.The Investigation on the Relation between Behavior of Traders and Volatility Based on the Information Asymmetric Model——Trade Size and Trade Numbers[J].Journal of Industrial Engineering and Engineering Management,2007,21(1):134-137. |
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| Authors: | WANG Chun-feng HAN Dong JIANG Xiang-ling |
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| Abstract: | The relation between behavior of traders and stock market volatility is investigated based on the information asymmetric model on the Shanghai stock market.Our results confirm the significance of the average trade volume,beyond that of the number of trades,in the volatility-volume relation.And we also find the impact on the volatility varies from trade size.The largest trade size has the most important impact on the volatility.The results indicate that the relation between the volatility and volume is consistent with the information asymmetric model.That is to say,the private information trading of institution investor perhaps is the main cause of excessive volatility of Chinese stock market. |
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| Keywords: | volatility information asymmetric trade volume trade size trade numbers |
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