上海证券交易所A股市场隐藏性交易实证研究  

An Empirical Study on the Stealth Trading in Shanghai A Stock Market

作　　者：刘善存[1] 林德琼 宋玉涛 

机构地区：[1]北京航空航天大学经济管理学院,北京100191 [2]北京英大长安风险管理咨询有限公司,北京100052

出　　处：《北京航空航天大学学报（社会科学版）》2014年第1期68-75,共8页Journal of Beijing University of Aeronautics and Astronautics：Social Sciences edition Edition

基　　金：国家自然科学基金资助项目(71071010);国家自然科学基金资助项目(71371023)

摘　　要：以上海证券交易所A股市场所有股票的高频交易数据为样本,验证了中国股票市场中的隐藏性交易行为,证实了纯指令驱动市场中也存在隐藏性交易现象。但与纽约证券市场的知情交易者将交易指令集中于中等规模的交易以隐藏自己的知情者身份有所不同,中国股票市场中的知情交易者在市场上升时期将交易指令分解成较小规模的交易进行成交,而在市场下降时期则倾向于选择较大规模的交易指令,这表明不同的市场交易机制和外部市场环境对知情交易者提交策略具有不同的影响。Taking the high frequency trading data of Shanghai Stock Exchange A stock market as samples,this paper confirms that there also exists a phenomenon of stealth trading in pure order-driven market,and verifies the stealth trading behavior of investors＇ in Chinese stock market. Different from the New York Stock Exchange where informed traders usually concentrate on medium-sized trading in order to hide their insider status,informed traders in Chinese stock market are more likely to submit small-sized orders on a bullish market,and large-sized orders on a bearish market,which shows that different structures of trading mechanism and external market environment have different influence on the order submission strategy of informed traders.

关 键 词：隐藏性交易 知情交易者 高频交易数据 指令驱动市场 

分 类 号：F830.91[经济管理—金融学]