EHOH模型创业板市场信息交易对股票超额收益的影响
关键词 创业板 知情交易概率（PIN） 股票超额收益 换手率 三因子模型
毕业论文外文摘要
Title GEM Information Trading Impact on The Stock Excess Returns
Abstract
GEM opened board on October 23, 2009. Relevant laws and policies are not yet ripe. There is a high information risk during investor trading because Information is not fully disclosed. What is worse is that there may be insider trading, market manipulation on GEM. In that case, it will damage fairness and efficiency of the entire stock market. As a result, we need to further examine that whether the information risk as well as the measure of it is the significant impact of stock excess returns. This article used EHOH model measure information risk on the GEM stock market. First, We examined the relationship between information risk and turnover on the GEM stock market. Second, we did empirical test on the information risk and stock excess returns to illustrate the information risk effect on the stock excess returns. Last, we concluded that there is no significant correlation between turnover and Information Risk. Besides, the GEM stock excess returns have a positive correlation to PIN and turnover.
Keywords GEM PIN Stock Excess Returns Turnover Three-factor Model
目次
1 绪论 1
1.1 选题背景 1
1.2 研究意义 1
1.3 研究内容与结构安排 2
2 文献综述 3
2.1 信息风险度量 3
2.2 信息风险与股票超额收益 4
2.3 流动性与股票超额收益 5
2.4 国内外文献综述总结 5
3 研究思路设计 7
3.1 研究设计 7
3.2 研究假设 7
3.3 变量的选择及定义 7
3.4 样本选取及数据处理 12
3.5 研究方法 12
3.6 模型建立 13
4 信息交易对股票超额收益影响的实证分析 14
4.1 描述性统计分析 14
4.2 模型回归统计 17
4.3 回归结果分析 19
4.4 小结 19
5 全文总结及研究展望 22
5.1 全文总结 22
5.2 研究展望 22
致谢 24
参考文献 25
1 绪论
1.1 选题背景
近年来，金融领域里关于证券市场微观结构对资产定价的影响的研究越来越多。由于投资者的行为在很大程度上影响着证券的价格，而投资者是根据自己所掌握的信息进行证券交易的，所以信息的差别将在很大程度上影响证券的价格形成。信息风险是衡量信息不对称的一种指标，指的是由于投资者所掌握信息的不同而可能给自己带来一定的损失。