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利用扩展后的EKOP模型,从金融市场微观结构的视角,以沪市A股2005至2009年年报与次年一季度报在同一天发布的402只股票为样本,分别计算了公告前后样本股票的信息性交易概率(AdjPIN)以及信息性和流动性交易者的交易强度,发现相对于公告前,信息性交易者和流动性交易者在公告后的交易强度都有提高,样本股票的信息性交易概率也有升高;通过对样本股票公告前后日均交易量变化的回归分析发现,相对于信息性交易者,流动性交易者公告前后的交易强度变化较大,是样本股票交易量变化的主要影响因素.
Using the extended EKOP model, from the perspective of the microstructure of financial markets, taking 402 stocks of the Shanghai Stock Exchange A-share 2005-2009 annual report and the first quarter of the following year as the samples, we calculate the sample stocks before and after the announcement respectively AdjPIN, as well as information and liquidity traders’ trading intensity, found that the information traders and liquidity traders had stronger trading intensity after the announcement than before the announcement, the informational trading of the sample stock The regression analysis of the daily average trading volume before and after the announcement of the sample stock shows that the trading intensity of the liquidity trader before and after the announcement is larger than that of the information trader, which is the major influence on the trading volume change of the sample stock factor.