股票价格聚集现象及其横截面决定因素研究——基于上证180指数成分股的经验分析  

Stock Price Clustering and the Cross-Sectional Determinants——Empirical Evidence from Shanghai Stock Exchange 180 Index Components

作　　者：欧阳红兵[1] 金飞[2] 

机构地区：[1]华中科技大学经济学院 [2]美国俄亥俄州立大学经济系

出　　处：《管理学报》2009年第6期823-827,852,共6页Chinese Journal of Management

基　　金：国家自然科学基金资助项目(70573034);国家985计划资助项目

摘　　要：利用上证180指数成份股的高频数据,对我国股票的价格聚集现象进行了较深入的研究。研究发现上证180指数成份股的交易价格和报价的尾数显著聚集于数字0、5和8,而聚集的程度可以用交易价格、收益率的波动率、市值、股票的流动性等因素解释。排除这些因素的影响,离最佳报价越远的报价队列,价格聚集程度越高,这意味着离最佳报价越远的报价队列可能包含的信息越少。Using the high-frequency data of Shanghai Stock Exchange 180 index components, this paper provides insightful studies on the price clustering phenomena of Chinese stock markets. The last decimal points of transaction prices and quoting prices of the sample stocks are found to significantly cluster on digits 0, 5 and 8. The clustering frequency can be explained partly by some trading variables such as transaction price, return standard deviation, market capitalization and liquidity of the stocks. After controlling for variations of these variables, quotes farther away from the best queues display stronger clustering patterns and may carry less information.

关 键 词：股票价格 价格聚集 限价指令表 上证180指数 

分 类 号：C93[经济管理—管理学]