基于订单持续期的投资者订单提交策略研究

Study of investors' order placement strategy based on duration

运用ACD模型,采用2003年12月深成指43只成份股共计1 825 415条的逐笔委托记录,通过对订单持续期的实证检验分析了中国证券市场投资者的订单提交策略,研究发现:1)价差假说、深度假说、波动性假说、交易强度假说、信息透明度假说和订单积极性假说被证实,说明市场微观特性、市场状况、信息和订单提交者成交愿望等都影响投资者的订单提交策略;2)涨跌假说得到支持,说明股票价格涨跌影响该股票的订单持续期;撤单是机构投资者制定订单提交策略的重要手段.

This paper examines order duration in Chinese Stock Market by the sample of 1,825,415 orders of 43 stocks of Shenzhen Stock Exchange in December, 2003. Using ACD model , We find ： （ 1 ） The evidence suppors spread hypothesis, depth hypothesis, volatility hypothesis, size hypothesis and the trade intensity hypothesis, and this result shows that microstructure characteristic, market condition, information and the desir- ability to trade affect investors＇ order submission strategy. （2） Rise-fall hypothesis is supported, and the institution investors use submitting cancel order as a means of order placement strategy.