论文部分内容阅读
本文首次运用基于指令驱动市场的DNR买卖价差结构模型,实证分解上证股市买卖价差的逆向选择和指令处理成本结构,探讨价差结构与交易指令规模的关系。通过综合考察交易行为、交易成本和逆向选择成本的日内模式,探讨流动性外部性的存在性及其原因。研究表明:逆向选择和指令处理成本日内分别呈“L”和“U”型模式,逆向选择成本决定了交易成本的日内模式,流动性外部性源于信息不对称。开市时交易者较少,逆向选择成本进而交易成本高,缺乏流动性外部性;收市时交易者多,逆向选择成本进而交易成本低,存在显著的流动性外部性。
For the first time, this paper uses the structural model of DNR bid-ask spread based on the order-driven market to analyze the adverse selection and order processing cost structure of the bid-ask spread on the stock market, and to explore the relationship between spread structure and order size. By comprehensively examining the intraday patterns of transaction behavior, transaction cost and adverse selection cost, this paper discusses the existence of liquidity externality and its causes. The results show that the cost of reverse selection and order processing are “L ” and “U ” models respectively. The cost of adverse selection determines the intraday model of transaction costs. The externalities of liquidity originate from information asymmetry. There are few traders at the time of market opening, high cost of reverse selection, high transaction cost and lack of liquidity externalities. When traded at the close of the market, there are many traders, adverse selection costs and thus transaction costs are low, and there is a significant liquidity externality.