Study on Informational Transaction and Its Effect on China's Stock Index Futures Market

摘要

Information is one of the important factors that influence the behavior of investors and then have an effect on the price of the risky assets in the market. Firstly, the new procedure developed by Easley et al. (2011) is used to estimate the Volume-Synchronized Probability of Informed Trading (VPIN) of the Chinese stock index futures market. Then VPIN for special scenarios is depicted. As a result, we find that the future contracts generally have a larger number of information transactions. We also find that, for particular scenarios, the probability of informed trading in the market has obvious exceptions. The larger proportion of informed trader is, the higher the volatility of the price is.