上海股市价格聚集现象及影响因素研究

Price Clustering Effect and Its Influence Factors on Shanghai Stock Exchange

选取上证50指数成份股半年的高频分笔数据,实证研究了上海股市的价格聚集现象。结果显示,上海股市存在显著的价格聚集现象,且开盘阶段价格聚集程度显著高于其余时间的日内效应。同时对价格聚集的影响因素进行了回归分析,发现股价大小、股价波动性和每笔交易额对价格聚集有显著的正影响,而股票的流通市值和每天交易笔数的影响显著为负。最后,对限价指令薄的价格聚集现象进行研究,并做了进一步的分析。

Using half-year period tick-by-tick transaction data of Shanghai Stock Exchange （SSE） 50 index stocks, we empirically study price clustering on the SSE. The results indicate that price clustering is significant and exhibits the greatest effect at market opening period as for intraday pattern. Analyzing the regression of influence factors on price clustering, we find that stock price, volatility and each trading size have significant positive effects, and on the con- trary, market liquidity value and daily number of trades exhibit significant negative effects. Finally, we also examine the clustering pattern of quote prices on the limit order book and make some detailed analysis.