Non-parametric Method to Estimate PIN (Probability of Informed Trading) in China Stock Market

摘要

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.