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本文采用Hasbrouck模型从信息传播模式角度探讨沪深A股市场惯性与反转效应异象的形成机理,通过检验目标股票价格中的信息不对称含量,发现沪深A股市场中知情交易者掌握的私有信息分别是导致两市股票价格惯性和反转效应异象的重要因素。
This paper uses the Hasbrouck model to explore the formation mechanism of the inertia and reversal effect in the stock market of Shanghai and Shenzhen from the perspective of information dissemination mode. By testing the asymmetric content of the information in the target stock price, we find that the informed traders in the Shanghai and Shenzhen stock market have mastered Private information, respectively, is an important factor in the visions of inertia and reversal effects of stock prices in the two cities.