行情公告牌信息对交易者行为的影响——基于自回归交易持续期模型(ACD)的分析

Abstract

本文研究的内容是分析证券市场行情公告牌上提供的信息(存量信息)含量和委托指令流提供的信息(流量信息)含量,并采用ACD模型来检验研究这些信息如何影响我国投资者的行为。从本文研究的结论来看,我国在证券交易所信息披露的建设方面应有所侧重,在保持目前存量信息披露的程度下,笔者认为应进一步加强对流量信息的披露,如指令流动的来源和市场参与者的身分等相关信息。

In this study,we have analyzed the storage information content provided on the quotation board of the securities market and the flow information content provided by the flow of clients' orders,and have used the ACD model to examine and study how these pieces of information impact on the behavior of China's investors.From the conclusion of this paper,it is inferred that some emphasis should be laid by China in the aspect of the construction of information disclosure carried out by securities exchanges:while maintaining the present degree of disclosure of the storage information,China should,in our opinion,further the revelation of such flow information as the sources of order flow and the status of market participants.