交易持续期、交易信息与投资者行为——基于PCD模型的研究

使用PCD模型，通过引入买卖价差、交易量、交易规模、委托指令流等交易信息变量探讨交易信息对投资者行为的影响。实证研究表明，买卖价差与期望交易持续期显著正相关，不支持Easley和O’Hara（1992）的观点。同时大规模的交易能够显著地延长交易持续期，而中等规模的交易能够减小交易持续期，证实了知情交易者的隐藏交易假说。指令流信息中的买卖申报数量也对交易持续期有显著的影响，上期买卖申报数量与本期交易持续期正相关。

Duration, Trading Information and Investor Behavior--A Study Based on PCD Model

This paper studies the impact of trading information such as bid-ask spread, trading volume, transaction size, and order flow information on investor behavior. Empirical result of the PCD model shows that the bid-ask spread was significantly correlated with the expected duration, which is not consistent with Easley and O''Hara(1992). While large-scale trading is significantly correlated with longer duration, but medium-size transactions is often with shorter durations. It confirms the Stealth Trading Hypothesis of the informed traders. Order flow information such as the amount of trading quotes is positively correlated with duration.