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中国管理科学

中国管理科学 ›› 2008, Vol. 16 ›› Issue (1): 16-24.

• 论文 • 上一篇    下一篇

沪市知情交易概率(PIN)特征与风险定价能力

韩立岩1, 郑君彦1, 李东辉2   

  1. 1. 北京航空航天大学经管学院 北京100083;
    2. 澳大利亚新南威尔士大学金融系 悉尼NSW2052
  • 收稿日期:2007-06-01 修回日期:2007-11-27 出版日期:2008-02-28 发布日期:2008-02-28
  • 作者简介:韩立岩(1955- ),男(蒙古族),北京人,北京航空航天大学经济管理学院金融系主任,教授,博士生导师,研究方向:金融发展理论.

The Feature of Probability of Informed Trading and Risk Pricing in Shanghai Stock Market

HAN Li-yan1, ZHENG Jun-yan1, LI Dong-hui2   

  1. 1.School of Economics and Management, Beijing University of Aeronautics and Astronauties, Beijing 100083, China;
    2. Finance Department, the University of New South Wales, Sydney NSW 2052, Australia
  • Received:2007-06-01 Revised:2007-11-27 Online:2008-02-28 Published:2008-02-28

PDF (PC)

2544

被引次数

133

摘要： 本文以EKOP模型为基础,研究了沪市股票知情交易概率的特征,并检验了知情交易概率的风险定价能力。结果显示,在我国股票市场上,知情交易概率作为定价因子是有解释力的,但是知情交易概率对收益产生的却是负效应。这一结果不仅与理论上信息不对称需要风险补偿相反,而且与美国市场上的实证结果也相反。本文结合案例分析,提出该实证结果出现的原因在于我国股市所特有的庄家与散户博弈的赢利模式。此外,本文的实证结果也不同于之前对我国市场的研究,产生差异的原因在于模型估计方法、回归方法和样本区间的不同。

关键词: 知情交易, 风险定价, 微观结构

Abstract: Based on the model of EKOP,this paper estimates the probability of informed trading(PIN) in Shanghai stock market,describes the feature of PIN,and tests the risk pricing capability of PIN. The result shows,PIN is capable to be a risk factor in Chinese stock market,but its influence on return is negative. This result is contrary to the theory and the research on American market. With a case study,this paper proposes that the reason of the contrary result is due to the unique profit mode of the game between large and small investors in Chinese stock market.Besides,this result is also different from the previous research on Chinese market,and the reason for that is the differences in model estimation methods,regression methods and sample selection.

Key words: informed trading, risk pricing, market microstructure

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