行情公告牌信息对交易者行为的影响——基于自回归交易持续期模型(ACD)的分析

被引：5

作者：

屈文洲

机构：

[1] 厦门大学管理学院

来源：

管理世界 | 2006年 / 09期

关键词：

交易持续期; 交易者行为; ACD模型;

D O I：

10.19744/j.cnki.11-1235/f.2006.09.006

中图分类号：

F224 [经济数学方法];

学科分类号：

0701 ; 070104 ;

摘要：

本文研究的内容是分析证券市场行情公告牌上提供的信息(存量信息)含量和委托指令流提供的信息(流量信息)含量,并采用ACD模型来检验研究这些信息如何影响我国投资者的行为。从本文研究的结论来看,我国在证券交易所信息披露的建设方面应有所侧重,在保持目前存量信息披露的程度下,笔者认为应进一步加强对流量信息的披露,如指令流动的来源和市场参与者的身份等相关信息。

引用

页码：38 / 45

页数：8

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