价格持续期、信息传递与市场微观结构——基于非对称ACD模型的实证分析

发布时间：2018-06-19 14:43

本文选题：价格持续期 + 非对称对数ACD模型　；参考：《管理评论》2012年02期

【摘要】：本文建立两状态价格持续期的非对称对数自回归条件持续期模型,引入买卖价差、交易量、交易规模、指令流等信息交易间接度量变量,在刻画条件期望价格持续期对价格上升和下降两种状态的不对称依赖关系的同时,探讨价格持续期的信息传递机制并检验微观结构相关假说。实证分析表明,在选取样本中,滞后买卖价差与滞后交易量与条件期望价格持续期显著负相关;滞后买一(卖一)指令申报数量与条件期望价格持续期具有显著相关性,其符号由当期价格状态决定;大规模交易比中等规模交易对条件期望价格持续期有着更加显著的影响。即实证结果支持信息交易增加导致交易持续期减小的观点,不支持隐藏交易假说。
[Abstract]:In this paper, the asymmetric logarithmic autoregressive conditional duration model of two-state price duration is established. The indirect measure variables of information transaction, such as buying and selling price difference, trading volume, transaction scale, instruction flow and so on, are introduced. While characterizing the asymmetric dependence of conditional expected price duration on price rise and fall, the information transmission mechanism of price duration is discussed and the hypothesis of microstructure is tested. The empirical analysis shows that, in the selected sample, the lag price spread is negatively correlated with the delay transaction volume and the conditional expected price duration, and the quantity of the order declaration is significantly correlated with the conditional expected price duration. The symbol is determined by the price state of the current period, and large-scale trading has a more significant impact on the conditional expected price duration than the medium-scale transaction. That is, the empirical results support the view that the increase of information transactions leads to the decrease of transaction duration, but not the hidden trading hypothesis.
【作者单位】：南宁市社会科学院;华中科技大学经济学院;
【基金】：国家自然科学基金项目(70971051)
【分类号】：F224;F830

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