Informed Trading In China's Stock Market

Despite the regulatory rigor,informed trading is still the main type of case in the current capital market.Combined with empirical research results of existing literature,the use of 6 January 2016 to June 9,2017 in Shanghai and shenzhen a-share market in China during the normal transaction of 3090 shares of 1 minute data and daily data,this article from the reverse of behavioral finance transactions,shady deals,trend chasing and disposal effect on the basis of four theories,constructing the knowledge used to measure China's a-share stock market trading of PC-based model,and with the analysis of the current our country stock market trading,on the basis of further empirical research on the knowledge of the stock market in our country deal with the relationship between the adverse selection,and the stock of different liquidity situation between the difference of the probability of informed trading,in this paper,empirical research results show that,first of all,the PC-based model depicting the change trend of the stock stability of the whole sample period show that PC-based model can well capture the a-share market in China close to the deal;Secondly,there is a positive correlation between the informed trading in China's stock market and the cost of adverse selection,but there is no correlation between the price impact of adverse selection.Again,using the"volume" to measure the stock liquidity,according to the different volume,all the stock in the a-share market in our country has carried on the grouping study,the results show that the different stock liquidity of informed trading in China stock market does not exist significant differences.The innovation points of this paper are mainly reflected in the research on the basis of existing research and try to introduce the pc-based model into the situation of the informed trading of China's stock market.On the other hand,unlike most literatures that focus on a few representative stocks,this paper focuses on the stocks of all normal trades during the sample period.