异质交易行为对市场价格发现能力的动态影响  

Dynamic Impact of Heterogeneous Trading Behavior on Market Price Discovery Capacity

作　　者：张一 刘志东[2] 张永超 李喆 ZHANG Yi;LIU Zhidong;ZHANG Yongchao;LI Zhe(School of Economics,Northeastern University at Qinhuangdao,Qinhuangdao 066004,China;School of Management Science and Engineering,Central University of Finance and Economics,Beijing 100081,China;School of Mathematics and Statistics,Northeastern University at Qinhuangdao,Qinhuangdao 066004,China)

机构地区：[1]东北大学秦皇岛分校经济学院,河北秦皇岛066004 [2]中央财经大学管理科学与工程学院,北京100081 [3]东北大学秦皇岛分校数学与统计学院,河北秦皇岛066004

出　　处：《管理科学》2021年第3期148-162,共15页Journal of Management Science

基　　金：国家自然科学基金(71503035);中国博士后科学基金(2017M621042);中央高校基本科研业务费专项资金(N2123021);教育部人文社会科学研究项目(20YJC630220)。

摘　　要：近年来,很多中国公司在多个证券交易所发行和交易其股票,形成了交叉上市公司这一特殊的公司群体。交叉上市公司股票因同股不同价等现象引起研究者的关注,对不同市场价格发现能力的研究更是其中的热点。从交易者具有异质性的微观视角,考虑统计套利和动量交易两种策略对交叉上市股票的价格影响过程。假设交易者以追求收益最大化为目的在两种策略之间自由转换,并构建具有选择转换机制的异质交易者动态定价模型,进而结合永久-暂时模型直观计算因子份额贡献度,并动态观测不同市场的价格发现能力。以中国A股与H股交叉上市公司股票为样本,选择1分钟高频时间序列数据进行实证研究。研究结果表明,统计套利交易者和动量交易者在两地市场广泛存在,且其交易行为可以在很大程度上解释股票价格的形成机理,A股市场的交易者多是依据市场历史表现的动量交易者,H股市场中基于股价价差的统计套利交易者更为普遍;引入选择转换机制后,异质交易者定价模型的解释能力加强,市场运行的动力学特征得到更好的刻画,A股市场交易者具有更强的转换强度;对于大多数交叉上市的股票,A股市场比H股市场具有更强的价格发现能力;价格发现具有明显的日内效应,A股市场在每个交易日的结束阶段价格发现能力明显上升。已有研究中,异质交易者定价模型较多地应用于资产定价以及对金融时间序列数据统计特征的解释,对市场价格发现的研究也一直缺乏从交易者行为的微观层面进行分析。因此,研究结果一方面拓展了异质交易定价模型的应用范围,另一方面为动态刻画市场演化过程、揭示市场的价格发现能力提供了新的研究视角和方法。In recent years, a large number of Chinese companies are actively expanding overseas financing channels. Many of them are listed overseas, and have formed a special group of cross-listed companies. The phenomenon that the stocks of cross-listed companies have the same underlying assets, but different prices of the same shares has aroused a lot of researchers′ attention, especially for the comparing of price discovery of different markets. From the microscopic perspective of heterogeneity of traders, this study considers the influence of statistical arbitrage traders and momentum traders on the price of cross-listed stocks. Furthermore, it is assumed that the trader is free to switch between the two strategies for the purpose of maximizing returns, and a dynamic pricing model of heterogeneous traders with selective switching mechanism is constructed. Furthermore, the contribution rate of component share that can be directly calculated by combining the permanent-temporary model and the price discovery capability of different markets can be dynamically observed.Taking the A-share and H-share cross-listed companies in China as samples, we choose 1-minute high-frequency time series data for empirical study. The results show that statistical arbitrage traders and momentum traders exist widely in the two markets and their trading behavior can explain the formation mechanism of stock prices to a great extent. Among them, the transaction in A-share market are mainly momentum traders based on the historical performance of the market, while the statistical arbitrage traders based on the price discrepancy are more common in the H-share market;the explanatory power of the heterogeneous trader pricing model is further strengthened after introducing the switching mechanism, the dynamic characteristics of the market operation are better described, and the traders in the A-share market have the same characteristics. For most cross-listed stocks, A-share market has a stronger price discovery ability than H-share market. Price di

关 键 词：异质交易行为 价格发现能力 转换机制 统计套利 高频交易 

分 类 号：F830.91[经济管理—金融学]