摘要
本文从理论上分析了市场冲击与股票价格变动之间的关系,研究了市场冲击对股票价格变动的影响;借助我国证券市场的历史高频交易数据,估计市场冲击的大小,并从市场流动性的角度,分析流通市值、换手率以及订单规模等因素对市场冲击的影响。研究发现:对于证券市场而言,市场冲击既存在其有利的一面,也有不利的情形;换手率、订单规模是市场冲击的一个显著影响因素,而受投资者关注较多的流通市值对市场冲击并没有显著影响。以上结论表明,在证券市场出现剧烈变化时,相关机构必须加强对于流动性监管,特别是那些流动性较差的大盘股股票。
This paper analyzes the relationship of market impact and stock price change, and studies the influence of market impact on stock price change. Meanwhile, this paper uses the data of China Securities Market to estimate the price impact of the investors, and analyzes the factors influencing the price impact, including circulation market value, turnover rate, and order size. The results show that market impact has the bad and the good side, and turnover rate and order size are significantly rela- tive with the price impact, while circulation market value is insignificantly relative with the price impact. The direct implication of this study is that the relevant institutions should pay much attention to the stock liquidity, especially those large-cap stocks with bad liquidity.
出处
《投资研究》
2016年第1期19-30,共12页
Review of Investment Studies
基金
国家自然科学基金青年基金项目(71501018
71301019)
四川省教育厅重点课题(13ZA0140)的资助
关键词
市场冲击
换手率
流动性
算法交易
Market impact
Tumover rate
Liquidity
Algorithmic trading
