本文利用多元对数条件自回归计数模型讨论了交易概率、交易成本以及选择成本等市场微观结构因素对中国证券市场投资者订单选择的影响。实证研究发现:(1)交易成本的增加会削弱投资者递交指令的积极性,当成交风险较大时,投资者更偏好市价订单;(2)由于中国证券市场订单类型较为单一,逆向选择风险对投资者订单选择行为并无显著性的影响;(3)在同质信息的驱动下不同类型订单之间具有显著的持续和交叉相关性。 In this paper, the use of multivariate logarithm conditional autoregressive (CGRP) model to discuss the influence of market microstructure factors, such as transaction probability, transaction cost and option cost, on the choice of investors in Chinese securities market. The empirical study shows that: (1) The increase of transaction costs will weaken the enthusiasm of investors to submit orders. When the transaction risk is high, investors prefer market orders. (2) Due to the relatively simple order types in China’s securities market, There was no significant effect on the order selection behavior of investors. (3) There was a significant persistence and cross-correlation between different types of orders driven by homogeneous information.