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中国市场条件下大单交易价格行为的不对称性研究 被引量：2

Asymmetric Price Behavior Surrounding Block Trades in China's Stock Market
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摘要 在中国证券市场选取大盘环境不同的时段,利用配对技术消除样本系统误差,对大单买卖价格冲击不对称性及该不对称与市场环境之间的关系进行了实证分析。研究表明:中国证券市场的大单买卖价格冲击存在显著不对称性,且该不对称性与市场环境相关。当大盘上涨时,买入订单的价格冲击均比卖出订单大,当大盘下跌时,卖出订单的价格冲击多数比买入订单要大。 Empirical analysis is carried out aiming at elimination of errors in sample system with matching technology, asymmetry in price impact and the relationship between this asymmetry and market condition under different situations in China＇s securities market. The results indicate that： Asymmetries in Price impact of block trade are significant, which is associated with market condition. In bull market, block purchase has a bigger price impact than block sale, while in bear markets, vice versa.
作者 王春峰 林碧波 房振明 于婧晗
机构地区 天津大学管理学院
出处 《北京理工大学学报（社会科学版）》 2007年第3期105-109,共5页 Journal of Beijing Institute of Technology：Social Sciences Edition
基金 国家杰出青年科学基金项目(70225002)
关键词 大单交易 价格冲击 不对称性 市场环境 block trade： nrice imnact： asvmmetrv., market condition
分类号 F830.9 [经济管理—金融学]
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参考文献12

  • 1A.Frino,Mollica Walter,Asymmetric price behavlour surrounding block trades:A market micmstmcture explanation,working paper,2003.University of sydney.
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同被引文献23

  • 1Bikker, J. A., L. Spierdijk and P. J. Van Der Sluis, 2007, "Market impact costs of institutional equity trades," Journal of International Money and Finance, 26(6), pp.974-1000.
  • 2Cont, R., A. Kukanov and S. Stoikov, 2011, "The price impact of order book events," SSRN paper.
  • 3Dufour, A. and R. F. Engle, 2000, "Time and the Price Impact of a Trade," The Journal of Finance, 55(6), pp.2467-2498.
  • 4Eisler, Z., J.-P. Bouchaud and J. Kocke1koren, 2011, "The price impact of order book events: market orders, limit orders and cancellations," Quantitative Finance, pp.1-25.
  • 5Engle, R. F. and A. J. Patton, 2004, "Impacts of trades in an error-correction model of quote prices," Journal of Financial Markets, 7(1), pp.1-25.
  • 6Hasbrouck, J., 1991, "Measuring the Information Content of Stock Trades," The Journal of Finance, 46(1), pp.179-207.
  • 7Hautsch, N. and R. Huang, 2012, "The market impact of a limit order," Journal of Economic Dynamics and Control, 36 (4), pp.501-522.
  • 8Hu, G., 2009, "Measures of implicit trading costs and buy - sell asymmetry," Journal of Financial Markets, 12(3), pp.418-437.
  • 9Madhavan, A., M. Richardson and M. Roomans, 1997, "Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks," The Review of Financial Studies, 10(4), pp.1035-1064.
  • 10Mclnish, T. H. and R. A. Wood, 1992, "An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks," The Jour?nal of Finance, 47(2), pp.753-764.

引证文献2

二级引证文献5

北京理工大学学报（社会科学版）
2007年 第3期

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