限价指令簿的价格发现功能

发布时间：2018-01-07 19:00

本文关键词：限价指令簿的价格发现功能　出处：《复旦学报(社会科学版)》2012年02期 　论文类型：期刊论文

【摘要】：基于上海证券交易所Level—2行情数据,本文运用Hasbrouck信息份额方法分别估计最近成交价、限价指令簿中最优买卖报价及第2—10档次买卖报价在价格发现中的贡献度,以考察限价指令簿的价格发现功能,尤其关注次优限价指令对价格发现的影响。我们认为,次优限价指令有助于价格发现,其贡献度为21.43%,而且其贡献度随指令主动性的下降而递减;最优限价指令的贡献度最大,为63.82%;最近成交价的贡献度最小,为14.76%;另外,本文还考察了个股横截面特征是否影响次优限价指令对价格发现的贡献度。实证结果表明:随着个股交易活跃度的下降,投资者更倾向于提交限价指令,从而导致次优限价指令对价格发现的贡献度增加;同时,其贡献度随公司规模和Beta系数的上升而单调下降。
[Abstract]:The Shanghai stock exchange Level 2 based on market data, this paper uses Hasbrouck information share method respectively estimate recent transaction price, limit order book in the optimal bid and 2 - 10 grade bid in price discovery contribution, in order to study the limit order book price discovery function, especially the effect of suboptimal limit order on price found. We believe that superior limit order is helpful to price discovery, its contribution was 21.43%, and the contribution of the initiative and instruction with decline of optimal limit orders decline; the largest contribution was 63.82%; the last traded price contribution minimum is 14.76%; in addition, this paper also examines a shares cross section characteristics affect the contribution of suboptimal order of price discovery. The empirical results show that: with the stock trading activity declined, investors prefer to submit limit orders, resulting in To increase the contribution of the suboptimal order of price discovery; at the same time, the contribution increases with company size and the Beta coefficient decreases monotonously.

【作者单位】：复旦大学国际金融系;中国金融期货交易所;
【基金】：国家自然科学基金课题“公开信息冲击下的投资者交易策略高阶期望模型及其实证分析”(项目批准号:70671027)的阶段性成果
【分类号】：F224;F832.51
【正文快照】： 自Demsetz(1968)发表开创性的论文之后,关于价格发现与确定的问题就引起学术界的广泛关注,并在20世纪90年代初步形成了较完整的市场微观结构理论框架。其中大多数文献探讨的是做市商交易机制下的价格发现与确定问题,但是关于指令驱动交易机制下的价格发现与确定的理论与实证

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