沪市封闭式基金流动性、买卖价差与市场深度分析——一个基于高频数据的经验研究

Analysis of Liquidity,Bid-Ask Spread and Market Depth of Closed-end Funds Listed on Shanghai Stock Exchange:An Empirical Study Based on High-frequency Data

本文采用Brockman and Chung(1999)使用的买卖价差分解技术,将价差分解成逆向选择成本、指令处理成本和指令持续性成本三部分,并运用在上海证券交易所上市的25只封闭式基金2005年9月9日至2006年9月28日期间的高频交易数据进行回归分析。实证结果表明,价差中逆向选择成本仅占27.36%,明显低于沪市股票市场(37.05%,见杨朝军等(2002)),沪市封闭式基金市场的信息不对称程度较沪市股票市场轻。进一步实证分析表明,沪市封闭式基金的买卖价差对收益率波动率较为敏感,而以报价深度度量的市场深度则对价格的变动较为敏感。

This paper takes the approach put forward by Brockman and Chung（1999） to decompose the bid-ask spread into three components： adverse selection component, order processing component and order persistence component, and then makes estimations using high-frequency data of 25 closed-end funds listed on Shanghai Stock Exchange（SSE） from September 9th, 2005 to September 28th, 2006. The results indicate that adverse selection component accounts for 27.36%, significantly lower than that of stocks listed on SSE, of the total spread and that information asymmetry in transactions of the sample funds appears slighter than in transactions of the stocks listed on SSE. Further empirical study suggests that, among the factors listed by market microstructure theory which influence market liquidity, the spread and quote depth of the sample funds are particularly sensitive to yield volatility and price respectively.