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- W2364456212 abstract "Based on the use of the EKOP model to measure the PIN, intraday informed trading probability is calculated by modeling the time-varying arrival rates of informed and uninformed trades. Combining the PIN measure and the research for events, the state of PIN changes are compared among stocks of different-sized companies. Empirical results show that the information disclosure exists in Chinese stock market, especially the PIN increases in small size stocks the day before announcements. The former informed trade is negative to present uninformed trade, but positive to present informed trade, which explains the clustering phenomenon. Information is described more accurately by intraday PIN, although PIN increases after the announcements. It shows that there exists some information learners in the market, so more analysis on explanations of PIN increasing is needed." @default.
- W2364456212 created "2016-06-24" @default.
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- W2364456212 date "2013-01-01" @default.
- W2364456212 modified "2023-09-23" @default.
- W2364456212 title "Research of intraday informed trading probability Measure and Affect to events" @default.
- W2364456212 hasPublicationYear "2013" @default.
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