统计研究 ›› 2008, Vol. 25 ›› Issue (2): 71-77.

• 论文 • 上一篇    下一篇

持续期间、交易量、波动率与知情交易

谭地军 ;田益祥; 黄文光   

  1. 电子科技大学管理学院
  • 收稿日期:1900-01-01 修回日期:1900-01-01 出版日期:2008-02-15 发布日期:2008-02-15

Duration, Volume, Volatility and Informed Trading

Tan Dijun ;Tian Yixiang; Huang Wenguang   

  • Received:1900-01-01 Revised:1900-01-01 Online:2008-02-15 Published:2008-02-15

摘要: 内容提要:Admati和Pfleiderer [1]认为交易强度的增加,可能来自于知情交易也可能来自于流动性交易。本文通过分析中国股票市场上持续期间、交易量和波动率之间的关系,提供了识别知情交易和流动性交易的证据。与国外相关研究结论均不同的是,本文的实证结果认为:波动率与持续期间之间存在非线性关系,交易量较小时,交易强度的增加主要来自于流动性交易;而交易量较大时,交易强度的增加主要来自于知情交易。最后,本文对以上实证结果进行了稳健性检验,通过分析波动率日内特征对实证结果的影响,本文还发现,中国股票市场的知情交易通常发生在刚开盘的阶段。

关键词: 关键词:知情交易, 流动性交易, 持续期间, 交易量, 波动率

Abstract: Abstract: Admati and Pfleiderer(1988) claimed that both informed-trading and liquidity trading will bring high trading activities. This paper gives an empirical study on the relation of duration, volume and volatility, which provide evidences to identify informed trading and liquidity trading. The results show that the high trading intensity is related to informed trading when volume is high, and that is related to liquidity trading when volume is low, which are different from the related studies outside. The robust test in the last part indicates that the result is robust and reliable. While analyzing the influence of intraday periodicity of volatility on empirical result, the authors find that the informed trading in Chinese stock market is likely to take place following the market open.


 

Key words: Key words: Informed trading, Liquidity trading, Duration, Volume, Volatility