摘要
流动性是证券市场重要的特征之一,流动性高的证券市场应能够吸收大额交易。本文利用沪深交易所2005年9月至2006年9月的大额交易的高频数据,研究了大额交易前后的流动性变化特征。结果发现,大额买单与大额卖单具有明显不对称的价格冲击效应和市场深度冲击效应,同时大额交易之前存在显著的价格异常变化,而大额交易之后则存在显著的价格反转。本文研究有助于评价中国证券市场流动性特征与交易制度优化设计。
Liquidity is one of the most important characteristics of stock markets. A perfectly liquid market could easily absorb a number of block trades. Using the high-frequency data of the block trades in China＇ s stock market during the period of September 2005 through September 2006, this paper investigates the changes of liquidity surrounding the block trades. The result shows that, there is a significant difference in the price response between the block buyer/seller-initiated trades and significant pre-trade price movement exists before the block trades and significant price reverse exists after the block trades. The empirical results derived from this paper can help understand the liquidity of China stock markets and the optimization of trading mechanism.
出处
《证券市场导报》
CSSCI
北大核心
2008年第11期17-24,共8页
Securities Market Herald
基金
国家社科基金项目(编号:07AJL003)
对外经济贸易大学校级科研课题研究成果(编号:07QD010)]
