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