基于买卖委托单不平衡的上海A股市场股票收益率与流动性研究

Research on Stock Return and Liquidity Based on Order Imbalance in Shanghai A-Share Market

基于上海证券市场的交易数据讨论了交易者买卖委托单不平衡的衡量方法及其适用范围,并在此基础上考察买卖委托单不平衡与股票的当期、滞后期收益率及流动性之间关系,实证结果显示滞后一期的股票收益率与当期收益率存在着显著的正相关,当期及滞后一期的买卖委托单不均衡均显著的影响了当前的股票收益率;在正负委托单不平衡交易日的股票平均收益率存在显著差异,正委托单不平衡交易日的股票平均收益率显著小于负委托单不平衡交易日内收益率,交易者在样本考察交易日期间更偏好委托卖单,股票流动性与投资者买卖委托单不平衡正相关。

In this paper, we bring forward the method to measure investors＇ buy and sell order imbalance and discuss the scope of application, and then investigate the relationship between order imbalance and stock return and liquidity based on trading data in Shanghai A-share market. The empirical result shows that there exists significant positive relationship between lagged and contemporaneous return, and the contemporaneous and lagged order imbalances have significant effect on current return. There are obviously return difference between positive and negative imbalance trading days. The returns on positive order imbalance trading days are less than negative ones. Investors prefer sell orders, and the stock liquidity is positively related to order imbalance.