深圳股票市场的日内流动性研究  

AN ANALYSIS OF INTRADAY PATTERNS IN BID-ASK SPREADS:EVIDENCE FROM THE SHENZHEN STOCK EXCHANGE

作　　者：张涤新[1] 眭以宁 

机构地区：[1]南京大学商学院中国特色社会主义经济建设协同创新中心,南京210000 [2]南京大学商学院,南京210000

出　　处：《系统科学与数学》2015年第12期1487-1500,共14页Journal of Systems Science and Mathematical Sciences

基　　金：国家自然科学基金(71271108)资助课题

摘　　要：流动性为证券市场注入了活力,使得投资者转让和买卖证券的交易得以顺利完成.因此如何衡量流动性的问题关乎到市场能否更有效地发挥作用.自Demsetz(1968)的《交易成本》一文发表后,买卖价差成为了反映证券市场流动性的重要指标,不同的价差分解模型相继出现并不断完善.在总结现有研究的基础上,文章运用两种类型的高频数据从买卖价差角度对中国深圳股票市场的日内流动性进行了研究.利用大单交易明细数据进行实证分析时,文章以MRR模型作为基本框架,将交易的持续期和订单规模作为新的变量加入其中,得到了扩展的MRR模型,并分别对MRR模型和扩展的MRR模型进行了广义矩估计(GMM);利用1分钟分时数据进行实证分析时,文章借鉴了Corwin和Schultz(2012)提出的高低比估计量的思路,估计了市场各时段的相对买卖价差.综合上述模型实证结果,文章发现:交易持续期和订单规模对买卖价差产生了显著的影响,买卖价差中的逆向信息成本与订单规模呈正相关,与交易持续期呈负相关;订单处理成本与订单规模呈负相关.交易持续期和订单规模的日内特征是导致深圳股市的逆向信息成本和隐含价差在日内呈"L"形且订单处理成本基本保持不变的直接原因.和其他股票市场相比,深圳股市的整体流动性宽度较好,但是信息不对称状况更为严重.此外,最小价格变动单位影响了低价股的流动性,一定程度上人为增加了低价股的买卖价差.Market liquidity instills vitality in secondary markets.Since Demsetz＇s seminal paper,bid-ask spread has been treated as one of the most important proxies for market liquidity.In this article,we develop a model of intraday price formation featuring influences of order size and trading duration on components of bid-ask spread based on the framework raised by Madhavan,Richardson and Roomans.Through F-test,our model is statistically superior to the original MRR model in explaining price changes.In addition,we measure the relative magnitudes of bid-ask spread with the high-low estimator raised by Corwin and Schultz.By adopting general momentum moments regression approach,we find that the adverse selection costs increase with trade size and decreases with increases in trading duration.Conversely,order processing costs decrease with increases in trade size.The adverse selection costs and implied bid-ask spread are highest at the beginning of the day and lowest at the end of the day,although order processing costs remain stable through the day.Stocks of Shenzhen＇s 40-stock index contain a smaller relative magnitudes of bid-ask spread,a smaller order processing component but a larger adverse selection component than stocks in NYSE,TSE,LSE etc.

关 键 词：买卖价差 交易持续期 日内流动性 

分 类 号：F832.51[经济管理—金融学]