中国股票市场价格集聚现象的实证研究

详细信息

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

1.
School of Economics and Management, Southeast University, Nanjing 210096, China

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。
- 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.
- price clustering /
- market microstructure /
- intraday effect /
- tick size

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