中国股票市场买卖报价对价格发现的贡献差异研究

›› 2018, Vol. 30 ›› Issue (6): 3-12.

• 经济与金融管理 • 下一篇

中国股票市场买卖报价对价格发现的贡献差异研究

王春峰^1,2, 马丹^1,2, 房振明², 黄凝^1,2

1. 天津大学管理与经济学部, 天津 300072;
2. 天津大学金融工程研究中心, 天津 300072

收稿日期:2016-03-04 出版日期:2018-06-28 发布日期:2018-06-25
作者简介:王春峰,天津大学管理与经济学部教授,博士生导师,博士;马丹,天津大学管理与经济学部博士研究生;房振明,天津大学金融工程研究中心副教授,博士;黄凝,天津大学管理与经济学部博士研究生。
基金资助:
国家自然科学基金项目（71671122；71271146）。

Research on the Relative Contribution of Ask and Bid Quotes to Price Discovery in Chinese Stock Market

Wang Chunfeng^1,2, Ma Dan^1,2, Fang Zhenming², Huang Ning^1,2

1. College of Management and Economics, Tianjin University, Tianjin 300072;
2. Financial Engineering Research Centre, Tianjin University, Tianjin 300072

Received:2016-03-04 Online:2018-06-28 Published:2018-06-25

摘要/Abstract

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。

关键词: 买卖报价, 价格发现, 订单流不平衡, 弹性

Abstract:

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.

Key words: ask and bid quotes, price discovery, order imbalance, elasticity

王春峰, 马丹, 房振明, 黄凝. 中国股票市场买卖报价对价格发现的贡献差异研究[J]. , 2018, 30(6): 3-12.

Wang Chunfeng, Ma Dan, Fang Zhenming, Huang Ning. Research on the Relative Contribution of Ask and Bid Quotes to Price Discovery in Chinese Stock Market[J]. , 2018, 30(6): 3-12.

参考文献

[1] Hasbrouck J.One Security, Many Markets:Determining the Contributions to Price Discovery[J].Journal of Finance, 1995,50(4):1175-1199
[2] Stoll H.R.Friction[J].Journal of Finance, 2000,55(4):1479-1514
[3] Biais B., Hillion P., Spatt C.An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse[J].Journal of Finance, 1995,50(5):1655-1689
[4] Engle R.F., Patton A.J.Impacts of Trades in an Error-Correction Model of Quote Prices[J].Journal of Financial Markets, 2004, 7(1):1-25
[5] O'hara M.Market Microstructure Theory[M].Oxford:Blackwell, 1995
[6] Kavajecz K.A., Odders-White E.R.An Examination of Changes in Specialists' Posted Price Schedules[J].Review of Financial Studies, 2001,14(3):681-704
[7] Escribano A., Pascual R.Asymmetries in Bid and Ask Responses to Innovations in the Trading Process[J].Empirical Economics, 2006,30(4):913-946
[8] Conrad J., Wahal S., Xiang J.High-Frequency Quoting, Trading, and the Efficiency of Prices[J].Journal of Financial Economics, 2015,116(2):271-291
[9] Benos E., Sagade S.Price Discovery and the Cross-Section of High-Frequency Trading[J].Journal of Financial Markets, 2016,30(3):54-77
[10] Agarwalla S.K., Jacob J., Pandey A.Impact of the Introduction of Call Auction on Price Discovery:Evidence from the Indian Stock Market Using High-Frequency Data[J].International Review of Financial Analysis, 2015,39(2):167-178
[11] Paddrik M., Hayes R., Scherer W., et al.Effects of Limit Order Book Information Level on Market Stability Metrics[J].Journal of Economic Interaction and Coordination,2017,12(2):221-247
[12] Pascual R., Pascual-Fuster B.The Relative Contribution of Ask and Bid Quotes to Price Discovery[J].Journal of Financial Markets,2014,20(C):129-150
[13] Chen Y.L., Gau Y.F.Asymmetric Responses of Ask and Bid Quotes to Information in the Foreign Exchange Market[J].Journal of Banking & Finance,2014,38(C):194-204
[14] Hautsch N., Huang R.The Market Impact of a Limit Order[J].Journal of Economic Dynamics and Control, 2012,36(4):501-522
[15] Menkveld A.J.High Frequency Trading and the New Market Makers[J].Journal of Financial Markets, 2013,16(4):712-740
[16] O'Hara M.High Frequency Market Microstructure[J].Journal of Financial Economics, 2015,116(2):257-270
[17] Rosu I.Fast and Slow Informed Trading[R].SSRN, 2015
[18] Havran D., Váradi K.Price Impact and the Recovery of the Limit Order Book:Why Should We Care About Informed Liquidity Providers?[R].IEHAS Discussion Papers, 2015
[19] Korolev V.Y., Chertok A.V., Korchagin A.Y., et al.Modeling High-Frequency Order Flow Imbalance by Functional Limit Theorems for Two-Sided Risk Processes[J].Applied Mathematics and Computation, 2015,253(C):224-241
[20] 刘向丽,张雨萌.基于向量误差修正模型的股指期货价格发现功能研究[J].管理评论, 2012,24(2):71-77
[21] 张肖飞,李焰.股票市场透明度、信息份额与价格发现效率[J].中国管理科学, 2012,20(3):10-19
[22] 刘红忠,叶军.限价指令簿的价格发现功能[J].复旦学报(社会科学版), 2012,54(2):35-42
[23] 蒋天虹.交易冲击下买卖报价的非对称调整模式研究[J].财经问题研究, 2010,110(2):74-79
[24] 黄晓薇,余湄,皮道羿.基于O-U过程的配对交易与市场效率研究[J].管理评论, 2015,27(1):3-11
[25] Hasbrouck J.Measuring the Information Content of Stock Trades[J].Journal of Finance, 1991,46(1):179-207
[26] Glosten L.R., Milgrom P.R.Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders[J].Journal of Financial Economics, 1985,14(1):71-100
[27] Easley D., O'hara M.Price, Trade Size, and Information in Securities Markets[J].Journal of Financial Economics, 1987,19(1):69-90
[28] Chan Y.C.Price Movement Effects on the State of the Electronic Limit-Order Book[J].The Financial Review, 2005,40(2):195-221
[29] Kaniel R., Liu S., Saar G., et al.Individual Investor Trading and Return Patterns around Earnings Announcements[J].Journal of Finance, 2012,67(2):639-680
[30] Brogaard J.High Frequency Trading and Its Impact on Market Quality[R].Northwestern University Kellogg School of Management Working Paper, 2010
[31] Gonzalo J., Granger C.Estimation of Common Long-Memory Components in Cointegrated Systems[J].Journal of Business & Economic Statistics, 1995,13(1):27-35
[32] Putnin'š T.J.What Do Price Discovery Metrics Really Measure?[J].Journal of Empirical Finance, 2013,23(3):68-83
[33] 郭彦峰,黄登仕,魏宇.我国指数期货与现货之间的价格发现和波动性外溢[J].管理评论, 2009,21(8):13-22
[34] Baillie R.T, Booth G.G, Tse Y., et al.Price Discovery and Common Factor Models[J].Journal of Financial Markets, 2002,5(3):309-321
[35] Chordia T., Subrahmanyam A.Order Imbalance and Individual Stock Returns:Theory and Evidence[J].Journal of Financial Economics, 2004,72(3):485-518
[36] 金春雨,张浩博.货币政策对股票市场流动性影响时变性的计量检验——基于TVP-VAR模型的实证分析[J].管理评论, 2016,28(3):20-32
[37] Chen Y.L., Gau Y.F.Foreign Exchange Market Intervention and Price Discovery[J].Journal of the Japanese and International Economies, 2015,38(12):214-227
[38] Frijns B., Indriawan I., Tourani-Rad A.Macroeconomic News Announcements and Price Discovery:Evidence from Canadian-U.S.Cross-Listed Firms[J].Journal of Empirical Finance, 2015,32(2):35-48

中国股票市场买卖报价对价格发现的贡献差异研究

Research on the Relative Contribution of Ask and Bid Quotes to Price Discovery in Chinese Stock Market

PDF (PC)

可视化

摘要/Abstract

引用本文

使用本文

参考文献

相关文章 15

编辑推荐

Metrics

本文评价

[1]	骆晓强, 鲍勤, 汪寿阳. 经济结构变化对我国税收收入的影响:一个基于国民收入循环的分析框架[J]. 管理评论, 2023, 35(7): 28-42.
[2]	张俊光, 李婧. 基于活动时间特性的项目缓冲确定方法研究[J]. 管理评论, 2021, 33(9): 274-283.
[3]	方雯, 冯耕中, 陆凤彬, 李志俊, 汪寿阳. 中国钢材交易市场价格发现：谁是主角？[J]. 管理评论, 2021, 33(2): 31-43.
[4]	潘林, 马士华, 冷凯君, 初叶萍. 考虑需求交叉弹性的多对一型供应链中制造商联盟定价决策问题[J]. 管理评论, 2021, 33(10): 313-324.
[5]	吴蕾, 部慧. 卖空机制效率评价：基于金融系统工程视角的状态空间方法[J]. 管理评论, 2020, 32(7): 326-336.
[6]	程士国, 朱冬青. 物流系统功能要素间效益协同机理研究：以鲜切花为例[J]. , 2020, 32(3): 289-299.
[7]	林祥友, 王瑶, 何帅, 代宏霞. 沪深300股指期现货市场的交易竞争与价格发现的关系研究[J]. , 2019, 31(2): 3-16.
[8]	王宇奇, 高岩, 滕春贤. 扰动下的供应链弹性研究回顾与拓展[J]. , 2017, 29(12): 204-216.
[9]	陈文玲, 原珂. 基于社区应急救援视角下的共同体意识重塑与弹性社区培育——以F市C社区为例[J]. , 2016, 28(8): 215-224.
[10]	汪金祥, 吴育辉, 吴世农. 我国上市公司零负债行为研究:融资约束还是财务弹性?[J]. , 2016, 28(6): 32-41.
[11]	查冬兰, 司建松, 周德群, 薛晨. 中国工业部门能源与非能源替代弹性研究——基于多弹性测度方法[J]. , 2016, 28(6): 180-191.
[12]	林雪莹, 王永丽, 郝雨洁, 李慧晶. 领导-成员交换对工作-家庭平衡的影响机制研究:工作弹性能力的中介作用及工作弹性意愿的调节作用[J]. , 2016, 28(2): 138-148.
[13]	杨柳, 黄婷. 我国汇率制度弹性、货币政策有效性与货币政策独立性研究——基于SFAVAR模型的实证分析[J]. , 2015, 27(7): 43-57.
[14]	马胡杰, 石岿然, 范金. 供应链买方信任的源起及其对合约弹性的影响[J]. , 2015, 27(11): 192-206.
[15]	肖挺. 服务业分行业生产率变化、产权结构与工资收入变化研究[J]. , 2015, 27(10): 44-53.