股票信息风险测度研究

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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