证券市场指令流与收益的非线性依赖性研究:混合连接函数(Mixed Copula)在流动性及流动性黑洞问题上的应用  

Nonlinear Dependence of Order Flow and Return on Stock Market:Applying Mixed Copula in the problem of Liquidity and Liquidity black hole

作　　者：龚玉婷[1] 徐信喆[1] 杨朝军[1] 

机构地区：[1]上海交通大学安泰经济与管理学院金融系,上海200052

出　　处：《管理工程学报》2016年第3期151-160,共10页Journal of Industrial Engineering and Engineering Management

基　　金：国家自然科学基金资助项目(71273170)

摘　　要：高频环境下,研究流动性黑洞问题的关键在于理清净指令流与价格变化在极端情况下的动态关系。混合Copula能够帮助我们理解它们之间的非线性依赖关系。本文利用混合Copula模型,分别研究在一般状态下及发生持续的流动性冲击状态下,净指令流对收益的尾部依赖性(Tail Dependence)。研究表明,无论是沪深300指数,还是沪深300股指期货,净指令流与收益均存在明显的非线性依赖性,并且在极端情况下(发生流动性黑洞时)它们之间的非线性依赖性会发生很大的变化,并研究了股指期货推出前后,这种非线性依赖性的变化。研究表明,当沪深300股指期货推出后,沪深300指数净指令流与价格变化的尾部依赖性出现明显的非对称性,这很有可能是由于现货市场存在有限做空机制所引起的。文章进一步证实了指令簿信息对净指令流与收益的非线性依赖性具有一定的解释能力。我们建议在政策上,继续鼓励各单位落实融资融券及转融通业务,进一步加大其业务的推广范围,逐渐消除沪深300现货市场的净指令流与收益的尾部非对称依赖性,从而改善市场流动性。The relationship between net order flow and price change is the key to studying the problem of liquidity black hole. Mixed copula methods can help us understand the nonlinear dependence between them. In this paper, we use the BVC method proposed by Easley et al. to classify the buy and sell orders and verify its effectiveness. Based on the BVC method, net order flows and price change exhibit significantly positive dependence, and the order imbalance measure is stable under different sampling frequencies. First, in section 3.1, we apply the mixed copula model for the first time in studying the tail dependence between the net order flow and return. Studies have shown that in both CSI300 Index spot and futures markets, net order flow and return have a significant non-linear relationship. Their tail dependence is much smaller than their Gaussian dependence, which means that the net order flow in extreme cases will break the balance of liquidity supply level. The underlying market shows asymmetry in tail dependence after the launch of the CSI 300 Index Futures. This may attribute to the involvement of high frequency traders, and the lack of short-mechanism on underlying market. Second, in section 3.2, we further study the tail dependence between net order flow and return both in usual time and in ＇liquidity black hole＇ environment. In CSI300 Index market, when liquidity black hole happens, which means the market is suffered from persistent negative order flow shocks, the lower-tail dependence between net order flow and price is much smaller than the upper-tail dependence. However, it is not the case when liquidity black hole does not happen. This shows that occasional order flow shocks would not break the balance of liquidity supply level. However, persistent order flow shocks would break their balance. Third, in section 3.3, we continue to investigate whether the order book information can explain the nonlinear relationship between net order flow and return. Results have shown the inverse limit order book slop

关 键 词：流动性 流动性黑洞 连接函数 

分 类 号：F273[经济管理—企业管理]