摘要
本文采用上海证券交易所分笔交易数据,基于信息份额模型,度量在信息融入价格的短期交易过程中买卖报价的变化对价格发现的贡献。研究发现买卖报价双方对于价格发现的贡献在短期内是存在差异的,且小市值股票的差异性更大。股票收益、订单流不平衡和报价双方弹性大小都与买卖报价对价格发现贡献的差异之间有显著正相关关系。本文的研究结论对于深入理解高频交易下订单驱动交易机制,完善价格发现理论,帮助投资者制定合理的投资决策具有重要意义。
Based on the IS model,we measure the information content of ask and bid quotes in the short-run,using the high frequency trading data in Shanghai Stock Exchange,in order to research their contribution to price discovery. The result shows that the contribution of ask and bid quotes to price discovery is different in the short trading period and the magnitude of this difference is bigger among stocks with small market value. Further,we establish a long panel data regress model to explore the influencing factors of the relative contribution of ask and bid quotes,which shows that the relative contribution has positive relations with stock return,order imbalance and the difference between elasticity of quotes. This research is a significant supplement to price discovery theory in the market microstructure and also provides necessary references for high frequency trading investors.
作者
王春峰
马丹
房振明
黄凝
Wang Chunfeng;Ma Dan;Fang Zhenming;Huang Ning(College of Management and Economics, Tianjin University, Tianjin 300072;Financial Engineering Research Centre, Tianjin University, Tianjin 300072)
出处
《管理评论》
CSSCI
北大核心
2018年第6期3-12,共10页
Management Review
基金
国家自然科学基金项目(71671122
71271146)
关键词
买卖报价
价格发现
订单流不平衡
弹性
ask and bid quotes
price discovery
order imbalance
elasticity
