指令激励效应对中国股票市场的影响-基于标值Hawkes模型的实证分析  

Impact of Order Excitement Effects on China's Stock Market:An Empirical Analysis Based on Marked Hawkes Model

作　　者：刘志东[1] 杨濯 何晓奇 LIU Zhidong;YANG Zhuo;HE Xiaoqi(School of Management Science and Engineering,Central University of Finance and Economics,Beijing 100081,China)

机构地区：[1]中央财经大学管理科学与工程学院,北京100081

出　　处：《管理科学》2023年第5期142-162,共21页Journal of Management Science

基　　金：国家自然科学基金(71971226,72331010)。

摘　　要：近年来,中国股票市场中委托指令的提交表现出非平稳性和集聚性特征,交易者非理性的指令提交行为引起了研究者的关注。挖掘指令流数据,剖析交易者对市场整体信息的反馈具有重要意义。从交易者行为的微观视角,探讨指令提交事件的相互影响,剖析交易者行为的相互作用。以深圳证券交易所股票为样本,利用逐笔指令数据还原了实时动态演化的限价指令簿,基于标值Hawkes过程拟合指令流数据,量化分析指令之间自激励和互激励效应,并实证研究指令激励与股票日度波动的相互影响。研究结果表明,指令激励效应是造成指令强度差异的主要因素,且自激励效应占95%以上,其中除了最优限价指令外,其他自激励效应均表现出明显的U形日内模式。与股票日度波动相结合的研究发现,指令激励效应对于股票的影响均表现出买卖方非对称性,买方的市价指令以及卖方的限价和撤单指令对于股票日度特征的影响更加显著。此外,限价指令激励效应的解释力与深度也有关联,具体表现为最优档位卖方指令对收益率影响较大,而更深档位指令可以更好地反映股票波动率。激励效应主要受盘中信息和短期波动的影响,流动性和盘前信息没有过多参考价值。研究结果从交易者行为的微观角度揭示了指令集聚现象的本质,对交易者行为特征问题的研究进行完善和补充,为股票波动提供了新的研究视角,具有创新性和一定的实践意义,为监管者提供了风险预警工具,且有助于交易者优化交易策略。In recent years,the submission of orders in China's stock market has demonstrated non-stationarity and clustering characteristics,and the irrational submission behavior of traders has attracted the attention of researchers.It is of great significance to mine order flow data and analyze traders'feedback on overall market information.From a micro perspective of trader behavior,this study explores the mutual influence of order submission events and analyzes the interaction of trader behavior.Taking Shenzhen Stock Exchange stocks as the study sample,this study rebuilds limit order book with tick-by-tick order data,fits marked Hawkes model to the order flow data,and analyzes the self-excitement and cross-excitement effects quantitatively.Furthermore,this study researches the mutual influence between order excitement and stock intradayvolatility empirically.The results indicate that order excitement effects are the primary factors causing differences in order intensity,and self-ex-citement accounts for more than 95% of this effect.Except for the optimal limit order,all other order types exhibit a significant"u"-shaped intraday pattern in their self-excitement effects.The empirical study combined with stock intraday volatility has found that the impact of order excitement effects on stocks exhibit asymmetry between bid and ask sides,with market orders from the ask side and limit and cancel orders from the bid side having a more significant effect on daily stock characteristics.Moreover,there is a correlation between the explanatory power of excitement effects of limit orders and depth.Specifically,the optimal bid orders have a greater impact on stock returns,while limit orders at deeper levels are more related to stock volatility.Finally,the study suggests that order excitement effects are mainly influenced by intraday information and short-term volatility,with less relevance to liquidity and pre-market information.The study results reveal the essence of order clustering from the micro perspective of trader behavior,pro

关 键 词：限价指令簿 标值Hawkes过程 Hawkes图 激励效应 交易者行为 

分 类 号：F830.91[经济管理—金融学]