搜索
8(273)20068ResearchonFinancialandEconomicIssuesNumber8(GeneralSerialNo1273)August,20063H1,1,2(11,510275;21,):H,,Easley(1996),H(PIN),,,,;,:;;;H:F830191:A:10002176X(2006)0820050210,,,,,,,[1],,,,?Kyle,[2],,30,[3][4],:3:2006204225:(70471018):(1976-),,,,,,(informedtrader),;,(uninformedtrader),(liquiditytrader)[5],,CopelandGalai[6],GlostenMilgrom[7],EasleyO’Hara[8],,,,,,,,,,,,,,[9],,,,,,AdmatiPfleiderer,,,[10]BrennanSubrahmanyam[11]?Easley,Kiefer,O’HaraPaperman(EKOP)[12],(probabilityofinformedtrade,PIN),,Easley90,,,,,,,,,EKOP,(quote-drivenmarket),(order-drivenmarket),,,EKOP,Easley,Easley[13]EasleyPIN,,Easley,KieferO’Hara,Easley,O’HaraSaar,Easley,HvidkjaerO’Hara,Chung,LiMcInish,,EKOPH,H,H,,H,H15HEKOP[12],,i(i=1,2,111,I),,t[0,T](),,,(),,EKOP,,,,(),1-,Vi(i=1,111,I),i,Vi3;,Vig;,Vib:VibVi3Vig,,,,,,,,()(Poisson),,(),;,,11,(,),1(),,2520068273,+,;,+,;,,(),P(t)=[Pn(t),Pb(t),Pg(t)]t0P(0)=[1-,,(1-()]t,,Stt,Btt,P(t|St)=[Pn(t|St),Pb(t|St),Pg(t|St)]t,:Pn(t|St)=Pn(t)+Pb(t),Pb(t|St)=Pb(t)(+)+Pb(t),Pn(t|St)=Pg(t)+Pb(t)(1)it,Stb(t):b(t)=Pn(t)V3i+Pb(t)(+)Vbi+Pg(t)Vig+Pb(t)(2)ta(t):a(t)=Pn(t)V3i+Pb(t)(+)Vbi+Pg(t)(+)Vig+Pg(t)(3)tt:E(Vt|t)=Pn(t)V3i+Pb(t)Vbi+Pg(t)Vig(4)(4)(2)(3),:(t)=a(t)-b(t)=Pg(t)+Pg(t)[Vig-E(Vi|t)]+Pb(t)+Pb(t)[E(Vi|t)-Vib](5),tt,PI(t)=[Pg(t)+Pb(t)][Pg(t)+Pb(t)]+2=[1-Pn(t)][1-Pn(t)]+2(6)(Pn(t)=1),(=0),PI(t)=0,(=0),PI(t)=1,(Vig-Vib),,:PIN=PI(0)=+2(7),=1-(5),:(0)=+2[Vib-Vig](8)(,,,),,EKOP[12]=(,,,),(B)(S):35HL((B,S)|)=(1-)e-T(T)BB!e-T(T)BB!+e-T(T)BB!e-(+)T((+)T)SS!+(1-)e-(+)T((+)T)BB!e-T(T)SS!(9),T,PINHPIN,,,,,,PIN,,(8)PIN(9),LeeReady:,;,,ticktest,,,,,,,,,,20011231H,49,:,(24);,(25),,,,;,,();,()20021120021231(247),1,()(A),(BC),;,,,4520068273,,,,1()A:(49)()11681141110301565187()654411963343110889511131791789495611741()10148514314167011876198()010276010145010373010050012128(%)11410199019601605164010249010218010160010102010886(%)116811301102016661191581431141431471594187690134B:(24)()11421129016101563115()17021071125813771850113679178978801518()21101183117201184196()010375010207010505010050012128(%)11951149111401815164010289010288010170101101089(%)212911851117110161195019143118401364187134179C:(25)()11941159112801645187()1119216378266138510536115813801790495611741()18154111818171013514376198()010180010119010120010100010533(%)01890188011901601154010210010138010150102001068(%)1110111101220166116026116424017813911087123690134:,1168,,0156,5187654,10148,0102761141%NYSE,,,1168%158()1142,()1194,Wilcoxon(Mann-Whitney)5%(-1151,p010655),616,818()(),,Wilcoxon11974199,p010244010001555H,,(2004)0120%0134%,,1,(1195%)(0189%),2119,,:(18)5164%()(76198)0165%,0160%:1.PIN,,,(9)=(,,,),,,Wilcoxon,(7)PIN,PIN,22(:49)A:(49)PIN012452013668013929015520012213011631012755012792015000012110012423013177012730011756010774010092010440011130013010010784111370111271019998019000014443B:(24)PIN010719011524013495016045012305010652010790012358015551012283010536011808012467011703010800010092010440011130013256010832011917017749019984019000014061C:(25)PIN014116015726014345015016012124013885015642013005014606012095012362012837012950011687010753011179011408011994013010010784111370111271019998019000014443D:Wilcoxon-5175-5105-116121530197p010001010001010537010056011660013929,65200682731,015520,012452,013668PIN0122132B,C,D()(),10%(Wilcoxon2153)015,;016045,,010719,014116,Wilcoxon-5175,,,011524,015726:,,(1),,,,,(PIN)2,PIN012305,PIN,PINPIN,,,(PIN),PIN,:PIN012532,PIN011104:,,2.PINPIN(25),PIN(24),3PIN011648,PIN012801,Wilcoxon,,-2107,p010192,PIN,PIN3PINA:PIN(25)PIN011648011811010404010784012110()010169010140010086010050010355(%)11080199013101651196010203010176010091010102010418(%)1137112501470166218975HB:PIN(24)PIN012801012599010611012123014443()010387010198010507010106012128(%)11751115112601625165010296010262010200010111010886(%)210111381131017361193.,(8),,(8),PIN,PIN,EKOP[12],(Vb-Vg)P,PPIN,,,,,,:i=0+1(PiPINi)+2Deali+i(10),ii;Pii;PINiiPIN;Dealii;;0;12,1,2OLS,44(:):S=0+1PPIN+2Deal+1=02=0intercept010153(4157)010301(9131)010101(3128)P3PIN010399(6134)010400(5189)Deal-3128E-05(-2196)-3132E-05(-2121)Adj1R2014953010750014121F-value24155418934165:,,t(10)4PIN,,PIN,,,,,R249153%,F24155PIN,1=02=0,41=0,,,,715%2=0,PIN,,,PIN41121%,:H,,:EKOP[12],8520068273,,,(PIN),,,,PIN,,PIN,,PIN:,,,,PIN,,:,,,,,,,,,:,,,,,,,,,,,,,,,:,();,,,:[1]Amihud,Y1andH1Mendelson1Assetpricingandthebid-askspread[J]1JournalofFinancialEconomics,1986,(17):223-2491[2]Kyle,A1S1Continuousauctionsandinsidertrading[J]1Econometrica,1985,(53):1315-13351[3],1[J]1,2002,(4)1[4],1[J]1,2002,(1)1[5]Black,F1Noise[J]1JournalofFinance,1986,(41):529-5431[6]Copeland,T1andD1Galai1Informationeffectsonthebid-askspread[J]1JournalofFinance,1983,(38):1457-14691[7]Glosten,L1andP1Milgrom1Bid,ask,andtransactionpricesinaspecialistmarketwithheterogeneouslyinformedagents[J]1JournalofFinancialEconomics,1985,(14):71-1001[8]Easley,D1andM1O’Hara1Price,tradesizeandinformationinsecuritiesmarkets[J]1JournalofFinancialEconomics,1987,(19):69-901[9],,1[J]1,2002,(11)1[10]Admati,A1R1andP1Pfleiderer1Atheoryofintradaypatterns:Volumeandpricevariability[J]1Reviewof