快速删单有利于流动性吗

发布时间：2017-12-26 21:08

本文关键词：快速删单有利于流动性吗　出处：《当代财经》2016年01期 　论文类型：期刊论文

【摘要】：台湾股市为集合竞价、散户为主的市场,异于欧美股市为连续竞价、机构法人为主的市场。通过采用60秒内之删单和改单作为快速删单,实证结果发现:全市场、散户、外资和其他本土法人的快速删单比例增加时,价差缩小,市场流动性增加;自营商的快速删单对价差无显著的影响,这可能源于其快速删单的定价积极度;其中,小型股票的流动性对快速删单更加敏感。进一步的实证发现,价差缩小源于各类型投资者观察到买(卖)单快速删单后,虽然投资者提交的同向买(卖)单变得消极,但反向的卖(买)单积极度增加更多,使得价差缩小,市场流动性增加。
[Abstract]:The Taiwan stock market is a market which is a competitive and retail market, which is different from the European and American stock market as a continuous bidding and institutional legal person. By using 60 seconds of single and single as fast delete delete single, the empirical results show that: the whole market, retail, foreign and other local corporate rapid deletion of a single percentage increase, narrowing the spread, the market liquidity increased rapidly; delete dealer alone has no significant effect on the spread, this can be attributed to its pricing rapid deletion of a single positive degree; the liquidity of small single stock is more sensitive to rapid growth. Further, it is found that the narrowing of the price gap is caused by all kinds of investors who observe the quick deletion of the purchase (sale) list. Although the investors' selling to the same market is negative, the reverse selling (buying) single product increases substantially, making the price differentials narrow and the market liquidity increasing.
【作者单位】：台湾淡江大学两岸金融研究中心;厦门大学金融系;台湾淡江大学财务金融系;
【基金】：国家自然科学基金青年项目“投资者风险偏好:度量与应用”(71101121);国家自然科学基金项目“波动率微笑:隐含信息与动态建模”(71471155);国家自然科学基金项目“资产价格中隐含通货膨胀信息的提取、分析与应用”(71371161);国家自然科学基金青年项目“限价指令簿的信息内涵研究:基于市场微观结构的视角”(71301137)
【分类号】：F832.51
【正文快照】： 一、引言部分股市投资者发现委托价格偏离市价等新情况时经常快速删单或改单。以台湾股票市场为例,2011-2012年间限价委托单约35%的删单和改单发生的时间距离下单不足60秒。Skjeltorp等(2015)认为快速删单有助于改善流动性。[1]但是,它也增加了市场的噪音。本文使用相对价差作

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