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买卖价差作为证券市场流动性的一个重要度量,一直以来都是市场微观结构领域研究的焦点。本文利用上证180成分股票的高频交易数据和股票特征数据,采用面板数据回归模型实证研究了买卖价差的决定因素。和传统的截面回归研究一样,我们发现中国股票市场的买卖价差与股票价格负相关,与收益标准差正相关,与交易额负相关,与公司市值负相关。但是,公司市值对买卖价差的影响程度相对较弱。此外,截面不变的因素对买卖价差的影响要强于时间不变因素的影响,如市场或行业的共同特征。
Bid-ask spread, as an important measure of liquidity in the securities market, has always been the focus of research in the field of market microstructure. Based on the high frequency trading data and stock characteristic data of the 180 constituent stocks of Shanghai Stock Exchange, this paper uses the panel data regression model to empirically study the determinants of bid-ask spread. As with traditional cross-sectional regression studies, we find that the bid-ask spread in the Chinese stock market is negatively correlated with the stock price, positively correlated with the standard deviation of returns, negatively correlated with the transaction volume and negatively correlated with the company’s market capitalization. However, the impact of the company’s market capitalization on bid-ask spreads is relatively weak. In addition, the effect of constant cross-section on the bid-ask spread is stronger than the effect of time-invariant factors such as market or industry common characteristics.