【作者】 厉斌；

【导师】 王春峰；

【作者基本信息】 天津大学 ， 管理科学与工程， 2005， 博士

【摘要】 我国证券市场是新兴的证券市场,在市场结构和运行机制上有其自身的特殊性。我国股票市场的这些特殊现象意味着在市场中必然存在着严重的信息不对称,信息不对称必然将导致流动性投资者和私有信息拥有者的逆向选择问题,因此,对我国股市的各方面的研究都应该建立在信息不对称这一重要前提下。本文立足于证券市场信息不对称这一事实,从理论和实证两个方面研究了我国证券市场在非对称信息条件下的价格行为特征,以及交易量和价格行为之间的相互关系。1、本文对我国股市的价格波动行为的整体特征进行详细的研究,并与国际上新兴和成熟市场的波动性进行了比较。实证检验结果表明我国股市存在着显著的波动性集群效应,波动的持续性非常高,并且波动性存在独特的负的非对称特征。通过与新兴和成熟市场波动性的对比研究,表明在新兴证券市场中存在着更大的市场风险,而且当前影响波动性各种信息在新兴市场中并不能更好的用来对资产未来的回报进行预测。2、本文采用上海股市5分钟高频数据实证研究了我国证券市场价格波动行为的日内变化特征。结果表明我国股市价格波动行为呈现出显著的“U”型日内模式,这种“U”型的模式是隔夜信息向市场传导过程中市场消化和理解过程具体外在的表现。3、本文引入了在非对称信息条件下进行证券日内价格发现的结构模型,利用日内分笔交易高频数据进行研究。研究结论表明公开信息、非对称信息和流动性成本所单独引起的价格波动在整个交易日中都呈现出“U”或者“L”型的变化模式,在小盘股中由于非对称信息所导致的价格波动几乎是大盘股的5倍左右。另外,无论是大盘股还是小盘股,影响它们价格波动性比例最大的因素仍然是公开信息,而并不是非对称信息。4、本文在简化的假设条件下研究了非对称信息交易量模型。模型得出,资产价格波动性和交易量正相关,交易量将影响价格变化方差,条件方差的演化类似于传统GARCH模型。实证研究表明交易量是信息的很好的代理变量,交易量确实影响回报的方差,这从实证的角度证明了本文的非对称信息条件下的量价关系理论模型的正确性。更多还原

【Abstract】 There are special particularities in the stock’s structure and mechanism in the stock market of China, which is an emerging market. These particular phenomena imply that there is very serious asymmetry information in our stock market, which must lead to inverse selection of liquidity traders and informational traders. So the researches on different field of Chinese stock market should be set up the presupposition of asymmetry information. On the basis of the fact of asymmetry information in the stock market, this dissertation researches the characteristics of price behavior and the relationship between volume and price volatility from theoretical and empirical evidence.1. General characteristics of price volatility behavior in Chinese stock market are researched in detail and volatility between emerging markets and mature markets are compared. Empirical results show that there are obvious volatility clustering and persistence effects in our stock market; at the same time the characteristic of negative asymmetry volatility is distinct. Through the contrastive researches on the research between the emerging and mature markets, it is implied that the market risk in emerging stock market is larger and the information affecting the volatility at present cannot be utilized to forecast the future asset return.2. Intraday volatility characteristics of price behavior in Chinese stock market are empirical researched on the basis of high frequency data at five minutes interval of Shanghai Stock Exchange. The paper concludes that the U model intraday price behavior is obvious in our stock market, and it is the result of the process that last-night information delivers to stock market and is absorbed by all the traders.3. The structure mode, which researches intraday price discovery under the asymmetry information condition, is introduced and the intraday high frequency transaction data are utilized. The concludes indicate that public information, asymmetry information and liquidity cost all show U or L model price volatility behavior during the transaction day, and price volatility in small scale stocks inducted by asymmetry information is nearly five times than large scale stocks. In addition, to all the stocks in our market, it is public information but asymmetry information that is the most important factor with the largest proportional in all which affects price volatility.4. Asymmetry information transaction volume mode is studied under simplifiedhypothesis in the paper. The mode implied that it is positive correlation between asset price volatility and transaction volume, which affects price variance, conditional variance evolves just like traditional GARCH mode. Empirical results explain that transaction volume is a good representative information variable and undoubtedly affects the variance of return. From empirical view, the conclude proofs that the theatrical mode of relationship between transaction volume and price behavior under asymmetry information in the paper is correct.更多还原