基于CVaR分解的市场信息结构研究

从证券投资风险发生的信息角度,利用风险分解方法研究了证券市场里的信息结构问题。使用了条件风险价值作为风险计量方法,并将风险发生的信息机制分解为公共信息效应和私有信息效应,利用信息分布函数来标识不同信息的分布状况。通过计算公共信息指数和私有信息指数,利用中国股票市场的实际数据,对中国的证券市场的信息结构问题进行了研究。

Risk Decomposition and Information Structure in Security Market

Risk decomposition method is proposed when considering information structure problem in security market.Coherent risk CVaR is used to measure risk and information shock to risk effect is decomposed into public information effect and private information effect.The model is tested by Chinese stock markets data though calculating public information index and private information index.The information structure of Chinese stock markets is also studied.