订单簿透明度对市场质量影响的实证研究

Empirical Study of the Impact of Order Book Transparence on Market Quality and Investors' Order Submission

本文主要以行情揭示"三档"变"五档"的透明度变化事件来实证订单簿信息透明度对市场质量和订单行为的影响。结果发现,信息透明度提高之后,市场质量得到改善:一是市场流动性显著提高,二是市场波动性显著降低。其机理是透明度提高吸引了投机性投资者及流动性需求者提交订单,市场流动性得以提高,并降低了市场波动性,但是价格发现效率受到轻微影响。此外,研究还发现:(1)机构投资者下单数量和撤单数量减少,但是订单规模变大,表明其合并了小订单代之以大订单。(2)买单和卖单占比、订单久期、订单不平衡程度没有显著变化,但机构投资者撤单比例降低。

This paper studies the impact of improvement of order book transparence on market quality and the investors＇ order submission. The results show that after the improvement of order book transparence the market quality is improved： Market quality is improved greatly and market volatility is significantly reduced. It is because that improved transparency attracts speculative investors and liquidity-need investors＇ order. But the price discovery is also slightly affected. We also find that institutional investors reduce the numbers of order and cancellation, but the orders are getting bigger, indicating they integrate small orders into bigger ones. Ratio of buy and sell, order duration and order imbalance change litter, but proportion of cancellation of institutional investors is reduced..