除息日买卖价差研究——基于高频数据的实证  

A Study of Bid-ask Spread on Ex-Dividend Day——Empirical Study Based on High Frequency Data

作　　者：章顺[1] 

机构地区：[1]山西大学,山西太原030006

出　　处：《山西财政税务专科学校学报》2013年第1期14-18,共5页Journal of Shanxi Finance & Taxation College

摘　　要：流动性和交易成本在短期交易策略中是需要考虑的关键因素,限价指令簿的理论模型表明除息日的流动性可能受到影响,本文基于中国股票市场研究除息日相对于附息日的相对有效买卖价差的变化,揭示我国股票市场除息日短期交易的流动性和交易成本特征,结果表明除息日相对于附息日买卖价差显著增大。liquidity and trading cost are key factors in short - term trading, Models of the Limit Order Book imply that liquidity may change on Ex - Dividend day, This paper studies the change of bid - ask spread between Ex - Dividend day and Cum - Dividend day to reveal the characteristics of liquidity and trading cost in short - term trading on Ex - Dividend day, empirical results indicate that bid ask spread become bigger significantly on Ex - Dividend day.

关 键 词：买卖价差 除息日 交易成本 流动性 

分 类 号：F830.91[经济管理—金融学]