上海股市买卖价差成分分析

An Analyses of the Components of the Bid-ask Spreads in Shanghai Stock Market

价差分解是金融市场微观结构理论研究的重要问题。本文通过对上证180指数成分股的研究,得到了上海股市——一个典型的订单驱动市场的买卖价差组成成分日内变化的特征,并分析了买卖价差形成的原因。研究结论表明,上海股市的逆向选择成本在买卖价差中占62%,高于其它市场;日内逆向选择成本曲线呈现略微斜置的“L”形,订单处理成本基本保持不变,这是买卖价差曲线日内呈略微斜置的“L”形的原因;此外,高价股买卖价差中的逆向选择成本所占比例高于低价股价差中的逆向选择成本比例。

The decomposition of bid-ask spread is an important problem in financial microstructure theory. By decomposing the spreads of the component stocks that the Shanghai 180 index is composed of, this paper studies the intra-day pattern of the components of spreads and the forming reason of spread curve. Contrasting with other markets, the adverse selection cost is the major part of bid-ask spread in Shanghai stock market, and the proportion of adverse selection cost in bid-ask spread accounts for 62 percent, a higher level than that in other markets. Both the spread curve and adverse selection curve are sideling ＂L＂ shaped, whereas order processing cost keeps relatively steady. Our results indicate further that the ternary result is the major reason for the forming of sideling ＂L＂ shape of bid-ask spread. Finally, the proportion of adverse selec- tion cost in bid-ask spreads of the stocks with high price level is higher than that of the stocks with lower price level.