期刊文献+

深市买卖价差逆向选择成分的估算与分析 被引量:10

The Adverse Selection Component of the Bid-ask Spread in Shenzhen Market:Estimation and Analyses
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摘要 本文以深市150家上市公司为样本,估算买卖价差逆向选择成分,研究逆向选择成分与公司特征之间的关系,并探讨其日内变化模式。研究发现信息不对称对深市买卖价差的贡献度为39%。公司规模越大,其股票的逆向选择成分越小;逆向选择成分随着交易量水平的上升而降低;高价股的逆向选择成分比低价股低。总体而言,逆向选择成分在早市呈现“倒U”型, 在午市呈现“L”型。逆向选择成分与公司特征之间的关系及逆向选择成分的日内变动模式的实证分析结果,符合信息不对称与公司特征之间的逻辑关系及信息不对称的日内变动模式。 This paper measures the adverse selection component of bid-ask spread by examining 150 samples of Shenzhen-listed companies, studies how it relates to corporate characters and analyzes its intra-day mode. Adverse selection component is found to accounts for 39% of bid-ask spread, the adverse selection component decreases uniformly with corporate size, trade size and stock price, and the adverse selection component exhibits downward U-shape patterns in the morning and L-shape patterns in the afternoon. The empirical results are consistent with the logical relationship between asymmetric information and characters of company and its intra-day mode.
出处 《证券市场导报》 CSSCI 北大核心 2006年第3期65-70,共6页 Securities Market Herald
基金 基金项目:教育部人文社会科学研究博士点基金资助项目:"信息对我国证券市场价格生成过程影响研究" 项目批准号:03JB630017 国家自然科学基金资助项目 项目批准号:70472048
关键词 买卖价差 逆向选择 信息不对称 指令驱动市场 bid-ask spread adverse selection component information asymmetry order-driven market
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参考文献12

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