DocumentCode
2903644
Title
Non-parametric Method to Estimate PIN (Probability of Informed Trading) in China Stock Market
Author
Liu, Yang ; Liu, Liu
Author_Institution
Dept. of Manage. & Econ., Tianjin Univ., Tianjin, China
fYear
2011
fDate
17-18 Oct. 2011
Firstpage
185
Lastpage
189
Abstract
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.
Keywords
parameter estimation; pricing; probability; risk management; stock markets; China stock market; PIN estimation; PIN pricing ability; information risk; negative effect; nonparametric model; parameter estimation; probability-of-informed trading; Investments; Mathematical model; Maximum likelihood estimation; Pricing; Stock markets; Non-parametric Estimation Model; PIN; Pricing Factor;
fLanguage
English
Publisher
ieee
Conference_Titel
Business Intelligence and Financial Engineering (BIFE), 2011 Fourth International Conference on
Conference_Location
Wuhan
Print_ISBN
978-1-4577-1541-9
Type
conf
DOI
10.1109/BIFE.2011.85
Filename
6121117
Link To Document