中国股市买卖价差成分分析——基于指令驱动市场的实证研究

    An Analysis of the Components of Bid-Ask Spread in Chinese Stock Market——A Case Study of the Order-Driven Market

    • 摘要: 本文以金融市场微观结构理论为基础,运用高频数据对我国上海股票市场中买卖报价价差成分进行了实证研究,结果发现上海股市买卖报价价差可以分解为三种成分:信息不对称成分、指令处理成分和指令持续成分,其中指令处理成分所占比例最大,信息不对称成分和指令持续成分次之,并在此基础上研究了各买卖报价价差成分与流动性和交易活跃程度的关系,从而揭示了我国股票市场微观结构特征,为完善股票市场运行机制提供了参考。

       

      Abstract: Based on the financial market microstructure theory,The paper analyzes the components of bid-ask spread in the Shanghai Stock Exchange,and investigates the relation between the components and liquidity trade size.The paper also examines intra-day patterns of the components.These researches reflect some characteristics of the Chinese stock market microstructure.It is very important for the supervision of market and re-adjusting trading policies.

       

    /

    返回文章
    返回
    Baidu
    map