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ID:36573521
大小:3.69 MB
页数:106页
时间:2019-05-12
《股票信息风险测度研究》由会员上传分享,免费在线阅读,更多相关内容在学术论文-天天文库。
1、厦门大学博士学位论文股票信息风险测度研究姓名:杨伟申请学位级别:博士专业:金融工程指导教师:郑振龙20090401AbstractMeasuringinformationriskofstocksaccuratelyhasimportantsignificanceonassetpricing,riskmanagementandmeasuringthemarketperformance.Ifinformationriskofstocksishigher,ortheextentofinformationasymmetryismoreseriousi
2、nonecountry,thenthejusticeandefficiencyofmarketinthecountrywillbedamaged.Everycountry’Ssupervisorsofstockmarkettrytoreduceinformationriskortheextentofinformationasymmetryinstockmarketinordertomaintainthejusticeandeffficiencyofmarket.HoweveLthereiSstiUdifferentextentofinform
3、ationriskorinformationasymmetryineverycounty’Sstockmarket.Then,isinformationriskofstocksasystematicrisk?Ifitis,investorswhoholdstockswithhigherinformationriskshouldrequireobtaininghigherriskpremium.Whenwewanttotestwhetherinformationriskisasystematicriskempirically,wefirstly
4、needtomeasureinformationriskaccurately.Easley,Kiefer,O’HaraandPaperman(1996)firstputforwardthePINmodelusedtodirectlymeasureinformationriskofstocks,hereafterthismodelbecameoneofthemostpopularmodelsusedtomeaureinformationrisk.However,thenegativecorrelationbetweenbuyandsellord
5、ersimpliedinthePINmodelisnotaccordantwiththepositivecorrelationbetweenbuyandsellordersinrealdata.Furthermore,thevarianceofbuyandsellordersimpliedinthePINmodelcan’tmatchthelargervarianceofbuyandsellordersinrealdataeither.ThispaperputforwardacorrectedPINmodelbyaddingtradingmo
6、tivebasedontheclassicalPINmodelputforwardbyEasley,Kiefer,O’HaraandPaperman(1996).BasedonthetradingdatatickbytickofChinesestocks,thispaperappliedthecorrectedPINmodeltomeasureinformationriskofstocksempirically,andfoundthatthecorrelationbetweenbuyandsellordersandthevarianceofb
7、uyandsellordersimpliedinthecorrectedPINmodelcanbeaermatchtherealdata.ThispaperempiricallymeasuredinformationriskofstockswithdifferenttradingactivityusingtheclassicalPINmodelandthecorrectedPINmodelrespectively,andfoundthatinformationriskofstocksisnegativewithtradingactivity.
8、TheclassicalPINmodeltendedtooverestimateinformationriskofstocksduetoignoringthetra
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