Study on Informational Transaction and Its Effect on China's Stock Index Futures Market-Reference-Cited by-同舟云学术

Study on Informational Transaction and Its Effect on China's Stock Index Futures Market

Published:2014 Issue: Volume:2014 Page:1-10
ISSN:1024-123X
Container-title:Mathematical Problems in Engineering
language:en
Short-container-title:Mathematical Problems in Engineering

Author:

Che Hongli¹,Xiong Xiong¹²,Han Jiatong¹,Zhang Wei¹²,Zhang Yongjie¹²

Affiliation:

1. College of Management and Economics, Tianjin University, Tianjin 300072, China

2. China Center for Social Computing and Analytics, Tianjin University, Tianjin 300072, China

Abstract

Information is one of the important factors that influence the behavior of investors and then have an effect on the price of the risky assets in the market. Firstly, the new procedure developed by Easley et al. (2011) is used to estimate the Volume-Synchronized Probability of Informed Trading (VPIN) of the Chinese stock index futures market. Then VPIN for special scenarios is depicted. As a result, we find that the future contracts generally have a larger number of information transactions. We also find that, for particular scenarios, the probability of informed trading in the market has obvious exceptions. The larger proportion of informed trader is, the higher the volatility of the price is.

Funder

National Natural Science Foundation of China

Publisher

Hindawi Limited

Subject

General Engineering,General Mathematics

Link

http://downloads.hindawi.com/journals/mpe/2014/272403.pdf

Reference26 articles.

1. Liquidity, Information, and Infrequently Traded Stocks

2. Time and the Process of Security Price Adjustment

3. The information content of the trading process

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5. Knowing me, knowing you: