中国股市暴涨暴跌前有迹象吗？
Are there any clues before large price changes in Chinese stock markets?
Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review
Author(s)
Related Research Unit(s)
Detail(s)
| Original language | Chinese (Simplified) |
|---|---|
| Pages (from-to) | 643-656 |
| Journal / Publication | 系统工程学报 |
| Volume | 31 |
| Issue number | 5 |
| Publication status | Published - Oct 2016 |
Link(s)
| DOI | DOI |
|---|---|
| Permanent Link | https://scholars.cityu.edu.hk/en/publications/publication(9cd57547-af6b-44ae-a4b4-0f57bd48de5d).html |
Abstract
基于深证300价格指数中数据最全的220支股票的分笔交易数据,分析股票暴涨暴跌之前1天的股价和流动性状况,以探讨大幅价格变动与之前交易过程的关系.对暴涨暴跌之前1天的日内分析表明,暴涨暴跌前1天的收益和流动性与未发生暴涨暴跌时显著不同,这意味着中国市场存在提前的信息泄露和内幕交易行为.回归结果表明因信息泄漏而发生异常变动的价格和流动性指针与次日股价暴涨暴跌的概率有显著的关联性.
With tick data of 220 stocks selected from SZ300P index components by the optimal sample length, this paper analyzes the price variations and liquidity conditions before large price changes, and studies the relation between large price changes and the previous trading process. The event study on the intraday data implies that the return and liquidity variations in intraday time intervals are quite different from ordinary cases, which shows that there are early information leakage and informed trading behaviors. The regression results show the daily return and liquidity variables with abnormal changes induced by leaked information are significantly correlated with the probability of large price changes in the next trading day.
Research Area(s)
- 信息交易, 大幅价格变化, 高频交易数据
