高级搜索
ISSN 1008-2204
CN 11-3979/C

交易强度、逆向选择成本与知情交易

刘善存, 金华

刘善存, 金华. 交易强度、逆向选择成本与知情交易[J]. 北京航空航天大学学报社会科学版, 2013, 26(5): 70-76.
引用本文: 刘善存, 金华. 交易强度、逆向选择成本与知情交易[J]. 北京航空航天大学学报社会科学版, 2013, 26(5): 70-76.
shu
Liu Shancun, Jin Hua. Trading Intensity, Adverse Selection Cost and Informed Trading[J]. Journal of Beijing University of Aeronautics and Astronautics Social Sciences Edition, 2013, 26(5): 70-76.
Citation: Liu Shancun, Jin Hua. Trading Intensity, Adverse Selection Cost and Informed Trading[J]. Journal of Beijing University of Aeronautics and Astronautics Social Sciences Edition, 2013, 26(5): 70-76.
shu

交易强度、逆向选择成本与知情交易

  • 北京航空航天大学 经济管理学院, 北京 100191

基金项目: 国家自然科学基金资助项目(71071010)
详细信息
    作者简介:

    刘善存(1964—),男,河北枣强人,教授,博士,研究方向为金融市场微观结构.

  • 中图分类号: F830

Trading Intensity, Adverse Selection Cost and Informed Trading

  • School of Economics and Management, Beijing University of Aeronautics and Astronautics, Beijing 100191, China

摘要

    摘要
  • 摘要: 以上证18支来自不同行业的股票2004年的数据作为样本,将交易强度以交易持续期形式引入MRR结构模型,实证分析交易强度的变化对逆向选择风险的影响。结果表明,随着交易强度增加,逆向选择成本增加,交易对价格的冲击增大,但对流动成本影响不显著。进一步分析交易强度对逆向选择成本影响的成因,利用WACD(1,1)模型,验证持续期残差项对逆向选择成本及流动成本的影响。结果发现,持续期残差项对逆向选择成本有显著影响,但对流动成本不产生影响,这表明,知情交易强度的增大是引起逆向选择成本增加的主要原因,且知情交易对流动成本影响不显著。
    Abstract: We investigated the role of trading duration in measuring the price impact of trades based on MRR structure model. Using the data of 18 actively traded stocks over three months in 2004, we found that when trading duration decreases, the adverse selection cost increases, thus the price impact of trades increase, but no evidences show that there is effect of trading duration on liquidity cost. Further, we investigated their effects of the duration residue of WACD(1,1) model on adverse selection cost and liquidity cost respectively. Our results show that the effect of the residue on adverse selection cost is significant, while the duration residue does not affect liquidity cost. These suggest that when the intensity of informed trading increases, the adverse selection cost increases but the liquid cost does not.
    • HTML全文
    • 参考文献(33)
  • [1] Garman M B.Market microstructure[J]. Journal of Financial Economics, 1976(3):257—275.
    [2] Amihud Yako,Haim Mendelson. Dealership market: market making with inventory[J].Journal of Financial Economics, 1980(8):31—53.
    [3] Stoll Hans R. The supply of dealer services in securities markets[J]. Journal of Finance, 1978,33:1133—1151.
    [4] O'Hara M,George Oldfield. The microeconomics of market making[J]. Journal of Financial and Quantitative Analysis, 1986,21:361—376.
    [5] Cohen K,Maier S, Schwartz R,et al. Transaction costs, order placement strategy, and existence of the bid-ask spread[J]. Journal of Political Economy, 1981,89:287—305.
    [6] Bagehot W. The only game in town[J]. Financial Analysis Journal, 1971, 27:12—14.
    [7] Copeland T,Galai D. Information effects on the bid-ask spreads[J]. Journal of Finance, 1983,38:1457—1469.
    [8] Glosten L, Milgrom P. Bid, ask, and transaction prices in a specialist market with heterogeneously informed traders[J]. Journal of Financial Economics, 1985(13):71—100.
    [9] Kyle Albert S. Continuous auctions and insider trading[J]. Econometrica, 1985, 53: 1315—1335.
    [10] Easley D,O'Hara M. Price, trade size and information in security price adjustment[J]. Journal of Financial Economics, 1987(19):69—90.
    [11] Admati Anat R, Paul Pfleiderer. A theory of intraday patterns: volume and price variability[J]. Review of Financial Studies, 1988(1):3—40.
    [12] Seppi Duane. Block trading and information revelation around quarterly earnings announcements[J]. Review of Financial Studies, 1992,5(2):281—305.
    [13] Hasbrouck J. Measuring the information content of stock trades[J]. Journal of Finance, 1991, 46: 179—207.
    [14] Madhavan A,Richardson M, Roomans M. Why do security prices change? A transaction-level analysis of NYSE stocks[J]. Review of Financial Studies,1997,10(4): 1035—1064.
    [15] Dufour A, Engle R. Time and the price impact of a trade[J]. Journal of Finance,2000,55(6):2467—2498.
    [16] Diamond D,Verrecchia R E.Constraints on short-selling and asset price adjustments to private information[J]. Journal of Financial Economics, 1987(18):277—311.
    [17] Easley D, O-Hara M. Time and the process of security price adjustments[J]. Journal of Finance,1992,47:577—605.
    [18] Furfine C. When is inter-transaction time informative?[J].Journal of Empirical Finance,2007(14):310—332.
    [19] Spierdijk L. An empirical analysis of the role of the trading intensity in information dissemination on the NYSE[J]. Journal of Empirical Finance,2004(11):163—184.
    [20] Grammig J, Theissen G, Wunsche O. Time and price impact of a trade: an structural approach[EB/OL].[2012-09-15].
    [21] Beltran Lopez H,Grammig J, Menkveld A. Limit order books and trade informativeness[J]. European Journal of Finance, 2012,18(9): 737—759.
    [22] Parlour C. Price dynamics in limit order markets[J]. Review of Financial Studies, 1998(11):789—816.
    [23] Rosu I. Liquidity and information in order driven markets[EB/OL].[2012-09-15].
    [24] Sita B B,Westerholm P J. The role of trading intensity estimating the implicit bid-ask spread and determining transitory effects[J].[JP3]International Review of Financial Analysis, 2011,20(5):306—310.
    [25] Engle R F,Russell J R. Autoregressive conditional duration: a new model for irregularly spaced transaction data[J]. Econometrica, 1998,66: 1127—1162.
    [26] Engle R F. The econometrics of ultra-high-frequency data[J], Econometrica, 2000,68:1—22.
    [27] Lee G,Ready M J. Inferring trading direction from intraday data[J]. Journal of Finance,1991,46:733—746.
    [28] Bauwens L,Giot P. The logarithmic ACD model: application to the bid-ask quote process of three NYSE stocks[J]. Annales d'Economie et de Statistique, 2000, 60: 117—149.
    [29] Hautsch N. Assessing the risk of liquidity suppliers on the basis of excess demand intensities[J]. Journal of Financial Econometrics, 2003(1): 189—215.
    [30] Bauwens L,Veredas D. The stochastic conditional duration model: a latent variable model for the analysis of financial durations[J]. Journal of Econometrics,2004,119 (2):381—412.
    [31] Zhang M, Russell J, Tsay R.A nonlinear autoregressive conditional duration model with application to financial transaction data[J]. Journal of Econometrics,2001,104:179—207.
    [32] Meitz M, Teravirta T. Evaluating models of autoregressive conditional duration[J]. Journal of Business and Economic Statistics, 2006,24:104—124.
    [33] Fernandes M, Grammig J. A family of autoregressive conditional duration models[J]. Journal of Econometrics,2006,130:1—23.
    • 相关文章
    • 施引文献
    • 资源附件(0)
计量
  • 文章访问数:  831
  • HTML全文浏览量:  1
  • PDF下载量:  500
  • 被引次数: 0
出版历程
  • 收稿日期:  2012-09-23
  • 发布日期:  2013-09-24

目录

摘要
HTML全文
    参考文献(33)
    相关文章
    施引文献
    资源附件(0)

    /

    返回文章
    返回
    版权所有 © 《北京航空航天大学学报（社会科学版）》编辑部
    电话: 010-82338013E-mail: bhskxb@buaa.edu.cn邮编：100083

    本系统由 北京仁和汇智信息技术有限公司 开发  百度统计