北京航空航天大学学报(社会科学版) ›› 2007, Vol. 20 ›› Issue (2): 6-9.

• 经济管理与社会发展研究 • 上一篇    下一篇

中国股票市场价格集聚现象的实证研究

田 华1, 何建敏1, 李 义2   

  1. 1. 东南大学 经济管理学院, 江苏 南京 210096;
    2. 南京审计学院 管理学院, 江苏 南京 210029
  • 收稿日期:2006-03-09 出版日期:2007-06-25 发布日期:2010-10-15
  • 作者简介:田华(1974-),男,四川宜宾人,讲师,博士研究生,研究 方向为金融工程与风险管理.

An Empirical Study of Price Clusterings in China's Stock Market

TIAN Hua1, HE Jian-min1, LI Yi2   

  1. 1. School of Economics and Management, Southeast University, Nanjing 210096, China;;
    2. School of Management, Nanjing Audit University, Nanjing 210029, China
  • Received:2006-03-09 Online:2007-06-25 Published:2010-10-15

摘要:

以中国股票市场部分股票的日内逐笔报价与成交价作为资料来源,验证价格集聚现象是否存 在于中国股票市场。实证结果发现,约有28%的报价和成交价的尾数集聚在0和5,显著拒绝 等概率分布假设;且价格集聚程度还具有显著的日内效应,即开盘时段的价格集聚程度明显 高于其它时段;价格集聚程度与价格波动性、买卖价差、成交笔数、价格水平都呈正向相关 关系。

关键词: 价格集聚, 市场结构, 日内效应, 最小报价单位

Abstract:

This article provides the evidence of price clustering in China's stock market b y using intraday quoted and traded prices. The results show that last digits of prices are significantly different from the uniform distribution and about 28% t rades or quotes cluster on 0 or 5. The intraday pattern of price clustering is a lso found. An extremely high percentage of price clustering appears at the openi ng. Estimation results document that the degree of price clustering increases wi th high volatility, bid-ask spreads, transaction frequency, and price level.

Key words: price clustering, market microstructure, intraday effect, tick size

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