交易信息、订单簿透明度与投资者订单提交策略

Trading information,order book transparency and investors' order submission strategies

本文采用2003年11-12月深成指成份股相关数据,实证分析交易信息与订单簿透明度如何影响中国股票市场投资者的订单提交策略。研究发现:(1)股票价格波动越大时,投资者为了获得更优的成交价格来弥补逆向选择风险,倾向于提交保守的买单,而为了规避股票无法卖出风险而提交更积极的卖单。(2)订单簿和行情信息等交易信息影响投资者订单提交策略,包括买卖价差、买卖深度、成交量和股票涨(跌)。(3)订单提交呈现日内的"U"型模式。(4)订单属性影响订单的积极性:大型订单的积极性高于小型订单;机构投资者倾向于比个人投资者提交更积极的订单。

After analyzing the data of Shenzhen Component Index constituent stocks from Nov.2003 to Dec.2003,this paper empirically examines how investors＇ order submission strategies in Chinese stock market are affected by trading information and order book transparency.We find that（1） When there is high price volatility,investors are inclined to submit the conservative buy order in order to offset the cost of adverse selection,and to submit the aggressive sell order in order to avoid the loss being not able to sell.（2） Trading information,such as the order book and market information,affects investors＇ order choice： spread investors＇ order submission strategy but has no definitive direction;depth and trade volume positively correlated to aggressiveness of order;the rise（drop） of stock price leads to more aggressive buy（sell） order.（3） Investors＇ order submission show intraday ＂U＂ pattern.（4） The property of order affects order enthusiasm： big orders are more motivated than the smaller ones;institute investors submit more aggressive order than individual investors.Our results have implications for traders and regulators.