| Securities lending transaction,also known as margin trading or securities credit transactions,is an integral part of the securities market.Securities lending transaction not only help improve the bilateral trading mechanism in the stock market,but also provide investors with opportunities for leverage trading,which effectively promoting the return of the company's stock price to its intrinsic value.The high-yielding and risky features of margin trading attract traders with informational advantages.As China's margin trading mechanism is not yet mature,there are stringent short sell constraints for the current short sell margin trading,while existing models of the probability of informed trading set no short sell constraints,and traders can short under any condition by default.This assumption,however,is violated in China's stock market due to the short-sell constraints.Therefore,the prediction of classical model may not hold in China's stock market.Considering the status quo of the stock market in china,we develop a SC-TPIN model by incorporating two short-sell constraint variables into the classical model,and test our model using security lending stocks with bad news.Based on this SC-TPIN model,we construct an informed trading identification system suitable forChina's stock market,and give different trading strategies for different types of traders.By summarizing the existing literature both at home and abroad,combining the relationship between the short sale mechanism and the informed transaction,starting with the disclosure of bad events in China's stock market,we take an empirical study on the status of informed trading in the bad events using univariate analysis and multiple factor model.By analyzing the change of abnormal volume,the relationship among pre-announcement abnormal short-selling and share price variables before and after bad news were disclosed,and the external characteristics of listed company which is prone to be informed shorted,We conformed that informed traders had learned the content of bad news and shorted based on the content before bad news were disclosed,especially for stocks which have a big drop in share price after bad news disclosed.We also group sample stocks according to their external characteristics,to summarize external characteristics of listed company which is prone to be informed shorted.In order to illustrate applicability of studing informed trading from the perspective of margin trading,we use the volume as a comparative dependent variable to measure the status of informed transactions when bad news arrives,and find that margin trading indicators are more suitable for judging informed transactions.Considering the status quo of short-sell constraints in China's stock market,we build the SC-TPIN model through adding two short-sell constraint parameters to the TPIN model,deduce the model equation by using the decision tree and derive he parameter estimation formula by means of likelihood estimation.Then we illustrate step by step that our SC-TPIN model is suitable for current China's stock market by order information flow derivation,estimation results analyzing,explanatory power and predictive power verification to the information asymmetry proxy indicator.We prove that our SC-TPIN model is more effective in estimating stocks' informed trading probability in China's stock market compared with TPIN model,which provide a reference for measuring informed trading probability of stocks caused by bad events in China's stock market.Ordinary investors are not easy to obtain the high frequency data.We select low-frequency daily trading indicators associated with informed trading according to research literature,add related short selling variables by the need of studying informed trading caused by bad news,and select appropriate indicators through strict inspections,in order to construct our informed trading identification indicator group.Then,according to our informed trading identification indicator group,we choose the support vector machine algorithm(SVM),KNN algorithm and Logit model which are commonly applied in data mining,and establish our informed trading identification system,to identify the informed trading type of sample stocks,which achieves satisfactory result.Adding the short selling variable to the informed trading identification indicator group is rare in the study of China's stock market.Due to the different degree of the information content held by investors,trading strategies of investors' also have great differences.We divide informed traders into two categories based on their different degree of information content,formulate optimal execution strategies for every types of informed traders based on the hidden transaction costs faced by each type of informed traders during trading execution processes,and derive the optimal solution for each execution strategy based on Kuhn-Tucker conditions.For uninformed traders,in addition to using the traditional VWAP strategy to conduct their transaction,we also discuss the ways evading stocks with bad events happening for uninformed tradersThe SC-TPIN model proposed by us is suitable for measuring the informed trading probability of bad events in the China's stock market.Informed trading identification system based on the low-frequency data constructed by us is better at identification stocks with high probability of informed trading.We also designed different executing trading strategies for different types of informed and uninformed traders.Our study expands the research content of the informed trading probability,which can provide reference for securities regulators to detect insider trading in informed trading in time,and provide trading strategies reference for informed traders and uninformed traders. |
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