同行业股票价格发现的实证研究——基于知情交易假设下日内高频数据的实证分析

对以往研究中股票价格发现仅发生在单支股票内的假设提出质疑，从知情交易入手，以公司季报为事件，运用沪深股市高频数据，对股票间的收益率和净成交额之间的日内关系进行了检验。研究结果发现，即使在控制了公告的影响后，中国市场上同行业中两竞争者的股票相互之间仍然有信息流动，具有价格发现功能，但这种现象在公告附近的一两天内却未表现出比平常更为显著。造成这一结果的原因除了知情交易者基于行业共同信息交易同行业竞争者股票的动机更强烈以外，还与中国市场本身的特点有关。

An Empirical Research on the Intraday Price Discovery across Stocks of the Same Industry Based on the Informed Trading

In previous literatures it is often assumed that price discovery takes place within a single security. Based on informed trading, this paper takes quarterly reports disclosure as the event and uses intraday transaction data to study the interactions between return and order flow of two competitors. The research result, however, shows that on Chinese market stock often has information content for their intra-industry rivals even after controlling for the influence of quarterly reports, and so provides evidence about the existence of the cross-stock price discovery function between equities in the same industry. We are surprised to find that this phenomenon doesn＇t have a more significant performance near the disclosure. The reason may be related to the particularity of Chinese market, besides that the cross-stock trading incentives may be stronger if the information is an industry-wide one.