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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.
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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.
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    • 参考文献(33)
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出版历程
  • 收稿日期:  2012-09-23
  • 发布日期:  2013-09-24

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