正反馈交易、市场效率与流动性黑洞——基于日内分笔交易数据的实证研究  

Positive Feedback Trading,Market Efficiency and Liquidity Black Hole: An Empirical Study Based on Day Sub-transactions Data

作　　者：王灵芝[1] 吴忠[1] 

机构地区：[1]上海工程技术大学管理学院,上海201620

出　　处：《证券市场导报》2013年第2期48-53,共6页Securities Market Herald

基　　金：国家社会科学基金(项目编号:12BGL088);上海高校优秀青年教师科研专项基金(shgcjs008);上海工程技术大学校基金(A-0501-11-016)的资助

摘　　要：金融危机爆发以来,全球资本市场流动性出现紧缩;中国市场波动幅度增加,多只股票出现流动性黑洞,市场效率显著降低。本文通过向量自回归(VAR)分析,发现投资者在不同程度上采用了正反馈交易策略。进一步地,对存在正反馈交易和不存在正反馈交易的数据分别进行多方面的比较分析,文章发现正反馈交易者显著地降低了市场的效率;通过对收益率序列和委比序列进行向量自回归分析,发现正反馈交易降低了市场的多样性,更容易产生流动性黑洞。Abstract： Since the financial crisis break out, the capital markets＇ liquidity diminished. Chinese stock markets fall a lot, liquidity black hole emerged on many stocks, market＇s efficiency was weakened. This paper made a vector auto-regression to tick data, and find that the investors used positive feedback trading in a degree. To demonstrate the positive feedback trading is the root of liquidity black hole and low efficiency. We separate the data to two groups according whether there is positive feedback trading or not; then compared on many factors. We find that： the presence of positive feedback trading reduced the market efficiency, And the VAR analysis based on the return and the commission ratio sequence showed that： the existence of positive trading reduced the market＇s diversity, which is much easier to form a liquidity black hole.

关 键 词：正反馈交易 委比 流动性黑洞 交易策略 市场效率. 

分 类 号：F830.91[经济管理—金融学]