The Influence Of Trading Information On Liquidity And Volatility Of Chinese Stock Markets In Markets Microstructure

Information is an important basis for investors to make trading strategy.The sale of a single flow contains information about the amount of information,earnings expectations,trade preferences and other information,is the investor's value judgement of the asset to determine the concentration of a direct impact on the financial market asset price discovery process.Thus,the trader can be divided into two part:Informed Trader and Uninformed Trader.Therefore,it is of great significance to analyze the mechanism of price transaction in the analysis of the effect of micro transaction information on price behavior.Based on the theory of market microstructure and the theory of information detection,we use Easley,Kiefer,O'Hara and Paperman to establish EKOP model in 1996,calculate the information transaction probability(PIN).It is used as a direct measure of informed trading.The probability of informed transaction is estimated by many scholars and applied to a large number of empirical studies.The probability of information transaction(PIN)reflects the use of private information on the various transactions,the lower the PIN value,the lower the probability of information transactions,the higher the degree of information symmetry.This paper studies the probability of information transaction(PIN)of the stock from the following aspects.Calculate the need to use the daily trading of the offer price of high-frequency data to estimate,the establishment of likelihood function with the likelihood estimate to obtain the final probability of information transaction(PIN)value.In this paper,the use of the function of the transformation,to solve the calculation will appear in the data overflow problem,greatly improving the efficiency of the operation.And the direction of trading transactions were judged in order to obtain the number of orders and orders for each trading day.Research on the Effect of Information Trading on Market Efficiency.Respectively,the impact of informed trading on market liquidity and volatility.In the Chinese stock market,the probability of information transaction(PIN)and the turnover rate was correlated with volatility was negatively correlated.The higher the probability of information transaction,the lower the stock exchange rate,the higher the volatility,PIN can effectively from the market liquidity and volatility to detect the company's private information content level.