论文部分内容阅读
证券价格中的信息含量分析一直是现代金融研究的核心内容,其发展变革呈现出五种重要趋势:理论基础从有效市场假说发展到市场微观结构分析;经验分析思路由传统的价格形态和价量分析深化到委托流分析;研究手段上由简单的事件研究升级到复杂的VAR系统;研究对象上兼顾做市商市场和限价委托簿市场;而分析视角上则从主流的基本面信息角度转向非基本面信息的全新尝试。本文回顾了证券价格信息含量的基本理论及测量方法的相关研究,以便于加深对我国证券市场信息不对称状况的理解,规范信息含量的定量分析。
The analysis of the information content in the securities price has been the core content of the modern financial research. The development and change presents five important trends: the theoretical basis is from the development of the effective market hypothesis to the analysis of the market microstructure; the empirical analysis method consists of the traditional price form and price Analysis and deepening to the commission flow analysis; means of research from a simple event to upgrade to a complex VAR system; research objects both market makers and limit orders book market; and from the perspective of the analysis of the perspective of the mainstream of the fundamentals of information A new attempt to non-fundamentals of information. This article reviews the basic theory and measurement methods of securities price information content in order to deepen the understanding of asymmetric information in China’s securities market and regulate the quantitative analysis of information content.