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How Investor Structure Influences the Yield, Information Dissemination Efficiency, and Liquidity
Joint Authors
Zhang, Wei
Che, Hongli
Yang, Juntian
Zhang, Yongjie
Xiong, Xiong
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-8, 8 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-05-25
Country of Publication
Egypt
No. of Pages
8
Main Subjects
Abstract EN
This essay focuses on the investor structure of the stock index futures market and uses agent-based computational finance method to discuss how the volume-synchronized probability of informed trading (VPIN) affects market absolute yield, information dissemination efficiency, and liquidity with different ratios of informed traders in the market.
The result shows that the higher the proportion of informed traders is, the more the volatility of the market is.
Furthermore, the result indicates that when the proportion of informed traders in the stock index futures market accounts for 1/3-1/2, the transparency and liquidity of the market will be better.
American Psychological Association (APA)
Che, Hongli& Xiong, Xiong& Yang, Juntian& Zhang, Wei& Zhang, Yongjie. 2014. How Investor Structure Influences the Yield, Information Dissemination Efficiency, and Liquidity. Discrete Dynamics in Nature and Society،Vol. 2014, no. 2014, pp.1-8.
https://search.emarefa.net/detail/BIM-495124
Modern Language Association (MLA)
Che, Hongli…[et al.]. How Investor Structure Influences the Yield, Information Dissemination Efficiency, and Liquidity. Discrete Dynamics in Nature and Society No. 2014 (2014), pp.1-8.
https://search.emarefa.net/detail/BIM-495124
American Medical Association (AMA)
Che, Hongli& Xiong, Xiong& Yang, Juntian& Zhang, Wei& Zhang, Yongjie. How Investor Structure Influences the Yield, Information Dissemination Efficiency, and Liquidity. Discrete Dynamics in Nature and Society. 2014. Vol. 2014, no. 2014, pp.1-8.
https://search.emarefa.net/detail/BIM-495124
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-495124