基于PIN值的信息不对称对沪市流动性影响研究的中期报告.docxVIP

基于PIN值的信息不对称对沪市流动性影响研究的中期报告 摘要： 本研究旨在探讨基于PIN值的信息不对称对沪市流动性的影响。研究采用了2010年1月至2016年12月的沪市A股作为研究样本，利用Easley, Hvidkjaer和OHara（Forthcoming）提出的PIN指标估算信息不对称程度，并通过流动性指标、市场波动率指标和交易成本指标对PIN与市场流动性之间关系进行了实证研究。结果表明：（1）随着PIN值的升高，市场流动性显著下降，交易成本显著上升，市场波动率上升。（2）PIN值的影响对市场流动性的作用在货币政策过程中可能具有重要的启示作用。（3）除了PIN值以外，还有其他一些因素，如市场情绪和宏观经济环境等，也会对市场流动性产生影响，需要进一步研究。 关键词：PIN值；信息不对称；流动性；市场波动率；交易成本 Abstract: This paper aims to explore the impact of information asymmetry based on PIN values on the liquidity of the Shanghai Stock Market. Using the A shares in the Shanghai Stock Market from January 2010 to December 2016 as a research sample, we estimated the level of information asymmetry by using the PIN index proposed by Easley, Hvidkjaer, and OHara (Forthcoming). Empirical research was conducted on the relationship between PIN and market liquidity by using liquidity indicators, market volatility indicators, and transaction cost indicators. The results showed that: (1) as the PIN value increases, market liquidity significantly decreases, transaction costs significantly increase, and market volatility increases. (2) The impact of PIN values on market liquidity may have important implications for the monetary policy process. (3) In addition to PIN values, there are other factors, such as market sentiment and macroeconomic environment, that may also affect market liquidity and require further research. Keywords: PIN value, information asymmetry, liquidity, market volatility, transaction cost.