中国股市谁在提供流动性?--基于订单簿下单行为的博弈分析  

Who provides liquidity in the Chinese Stock Market?A game-theoreticanalysison the trading behaviors in the limit order book

作　　者：李佳熠 陈石 孔傲 张金清[1] LI Jia-yi;CHEN Shi;KONG Ao;ZHANG Jin-qing(Schol of Economics,Fudan University,Shanghai 200433,China;School of Management and Engineering,Nanjing University,Nanjing 210093,China;School of Finance,Nanjing University of Finance and Economics,Nanjing 210023,China)

机构地区：[1]复旦大学经济学院,上海200433 [2]南京大学工程管理学院,南京210093 [3]南京财经大学金融学院,南京210023

出　　处：《管理科学学报》2024年第12期103-115,共13页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(72301126,72371078)。

摘　　要：流动性供给者和消耗者的博弈决定了市场流动性.本文构建了一个理性预期均衡模型,从订单簿上的下单行为出发研究中国股市投资者结构对流动性“供给者-消耗者”结构和股市流动性形成机制的影响.该模型的投资者结构包含知情交易者、非知情交易者和噪音交易者.模型不仅考虑了知情交易者和非知情交易者的博弈,还考虑了非知情交易者内部的博弈.模型结论表明,非知情交易者和知情交易者均会选择限价订单提供流动性,即存在“知情-噪音”、“非知情-知情/噪音”的流动性“供给者-消耗者”结构影响股市流动性.非知情交易者比知情交易者更积极地提供流动性,即在更优惠的价格上提交限价订单,但其订单在订单簿上积累得越多,市场流动性越差;而知情交易者的限价订单可以控制非知情交易者的订单数量,从而改善市场流动性.在此基础上,模型发现非知情交易者相对于噪音交易者的占比通过影响流动性“供给者-消耗者”结构反向影响市场流动性,且股价波动性越高,这一影响越弱,流动性“供给者-消耗者”结构越稳定(以“知情-噪音”为主导).Market liquidity is determined by the interplay between liquidity providers and liquidity consumers.Employing a rational expectations equilibrium framework,this article delves into the effects of investor composition on the liquidity‘provider-consumer’structure and the formation mechanism of liquidity in the Chinese Stock Market,focusing on the order behaviors of various investor types in the limit order book.The model incorporates three distinct categories of traders:Informed,uninformed,and noise traders,and explores the strategic interactions not only between informed traders and uninformed traders but also within uninformed traders.Our findings reveal that both informed and uninformed traders predominantly utilize limit orders to supply liquidity,thereby influencing the market’s liquidity formation.The model highlights that uninformed traders are more active liquidity providers compared to informed traders;However,an increase in outstanding unexecuted limit orders among uninformed traders deteriorates overall market liquidity.Interestingly,limit orders placed by informed traders can regulate the competition of uninformed traders,thus enhancing liquidity.The study further identifies that the relative proportion of uninformed to noise traders significantly impacts the liquidity‘provider-consumer’structure.Moreover,it is observed that higher stock price volatility diminishes the influence of this‘provider-consumer’dynamic,leading to a more stabilized liquidity structure predominantly governed by‘informed-noise’interactions.

关 键 词：流动性 限价订单簿 理性预期均衡 知情交易者 非知情交易者 噪音交易者 

分 类 号：F830.9[经济管理—金融学]