This study examines the probability of informed trading (PIN) for state-owned enterprises (SOEs) and how the market information asymmetry is affected during the COVID-19 crisis. The research challenges the assumption that state ownership is associated with poor governance structures and information transparency by investigating empirical evidence of information asymmetry in SOEs. The study uses the probability of informed trading model to analyse the asymmetry and a dataset of Warsaw Stock Exchange’s tick data for the period from September 2013 to February 2021. The study also compares the pre-COVID and COVID-19 periods to examine the change in PIN for state-owned companies during the crisis. Additionally, the study examines the impact of PIN on stock returns and challenges the literature indicating that the PIN is priced and has no impact on returns. The results of the study provide valuable insight into the market dynamics of SOEs and investor behaviour during crisis situations.

中文翻译：

---

国家所有权、知情交易概率和盈利潜力：来自华沙证券交易所的证据


本研究探讨了国有企业 (SOE) 知情交易 (PIN) 的概率以及在 COVID-19 危机期间市场信息不对称受到的影响。该研究通过调查国有企业信息不对称的经验证据，挑战了国家所有权与不良治理结构和信息透明度相关的假设。该研究使用知情交易概率模型来分析华沙证券交易所 2013 年 9 月至 2021 年 2 月期间数据的不对称性和数据集。该研究还比较了新冠肺炎 (COVID-19) 之前和新冠肺炎 (COVID-19) 时期的变化，以检验危机期间国有企业的 PIN。此外，该研究还探讨了 PIN 对股票回报的影响，并对表明 PIN 已定价且对回报没有影响的文献提出了质疑。研究结果为了解危机情况下国有企业的市场动态和投资者行为提供了宝贵的见解。