中美股市微观结构中的非对称效应分析

Analysis on Asymmetric Effect in Mcrostructure of Stock Market in USA and China

日收益数据的采用和研究必然会损失部分日内信息.本文尝试使用中美股市日内分笔超高频数据,通过非对称ACD模型对交易间隔等日内信息建模,结果显示收益率的上升会导致交易持续时间延长,这也是当前市场上"追涨杀跌"心理的一种表现.从三地系数值大小可以看出,这种现象在中国股票市场尤为显著.非对称模型一定程度上解释了公众心理导致了非对称效应的存在这一现象.

Intra-day information will be missed in day-return data study. This paper tried to use ultra-frequency stock data of USA and China, and constructed an asymmetric ACD model to discribe intra-day information. The result showes that the rise of return will prolong the transaction duration, which can be explained by psychology of investors. From the value of coefficient of three models,we can find this psychology is more serious in China.