买卖价差与限价指令簿信息:基于时变MRR模型的实证研究

Bid-ask Spread and Limit Order Book:An Empirical Study of the Time-varying MRR Model

本文的主要目的是研究限价指令簿信息与买卖价差之间的关系。本文引入限价指令簿信息指标作为模型参数的状态变量,提出了时变MRR模型,并基于此模型对中国A股市场买卖价差进行了实证研究。本文实证表明,限价指令簿中所体现出的净卖出(买入)压力对原MRR模型中的流动性成本参数具有显著影响,且这种影响在买单与卖单中是非对称的;限价指令簿中的订单总量,则可以反映出交易流数据中无法反映的信息不对称程度,对原MRR模型中的信息不对称成本参数具有显著影响。另外,通过时变MRR模型估计出的隐含价差的日内走势与真实绝对价差及真实相对价差走势吻合,这说明模型可以较好地反映我国A股市场买卖价差的性质。

The purpose of this paper is to investigate the relationship between those information and the bid-ask spread in Chinese stock market.The authors modified the MRR model which is widely adopted in analyzing the components of bid-ask spread by introducing limit order book information proxies as state variables and turn the original model into a more flexible time-varying model to analyze how order book information would affect the components of the bid-ask spread.The empirical study implies two main conclusions:(1) the selling pressure will significantly affect the liquidity cost parameter of the original MRR model and that this effect is asymmetric between buyer and seller initiated orders;(2) the order quantity of the whole order book can reveal additional information beyond the transaction flows and have significant impact on the information cost parameter of the original model.Moreover,the empirical results indicate that the intraday pattern of the implied spread which is derived from the time varying model is highly consistent with that of the real bid-ask spread.All the facts above imply that the formation mechanism and intraday pattern of bid-ask spread in Chinese stock market can be well explained by the modified time-varying MRR model.