【摘要】 介绍并利用信息交易概率(PIN)作为衡量中国市场信息非对称程度的指标,建立了关于信息交易概率、流动性和波动性之间关系的回归模型,并采用三阶段最小二乘法(3-SLS)对其进行参数估计。实证结果表明在中国股票市场中信息交易概率与市场流动性正相关,而与波动性负相关,进一步揭示了中国股市的价格行为。更多还原

【Abstract】 The probability of information trading(PIN), as a measurement of the asymmetrical information content, is (introduced) and the regression model to investigates the correlation between PIN, liquidity and volatility is set up in this (paper.) The coefficients are estimated by the mean of three stage least squares. The results show that higher PIN leads to (lower) (liquidity) and higher volatility and vice versa. At the same time these concludes disclose the behavior of the price (further) in China stock market.更多还原