Non-parametric Method to estimate PIN (probability of informed trading) in China Stock Market

摘要：

This article discusses the validity of EKOP’s non-parametric model to estimate PIN as the measurement of information risk in China Stock Market. The results show that non-parametric model can improve the optimizing efficiency in parameters estimation and achieve more precise results by relaxing the assumption of independence among event days. Moreover we test the pricing ability of PIN based on non-parametric model. It turns out that PIN has significant explanatory power to excess returns in China Stock Market, though negative effect. Furthermore, we analyze the causes of the empirical results.

关键词： Non-parametric Estimation Model PIN Pricing Factor

作者: Yang Liu Liu Liu

作者单位: Department of Management and EconomicsTianjin UniversityTianjin, 300072, China School of Instrumentation Science and Opto-electronics Engineering Beihang University Beijing, 10019

会议类型: 国际会议

会议名称: 2011 Fourth International Conference on Business Intelligence and Financial Engineering(第四届商务智能与金融工程国际会议 BIFE2011)

会议地点: 武汉

会议语种:英文

页码: 185-189

在线出版日期: 2011-10-17（万方平台首次上网日期，不代表论文的发表时间）