中国股市限价指令簿的流动性提供研究

The Liquidity Provision of the Limit Order Book on China′s Stock Markets

限价指令簿的流动性提供能力是描述其信息效率的主要指标。以上证180指数成分股的高频交易数据为样本,采用离散度和交易成本两个指标描述限价指令簿的流动性提供能力,并分别在市场和个股水平上分析其影响因素。研究结果表明,当预期市场波动增加时,限价指令簿的离散度上升,深度下降,供给的流动性减少,导致未来更高的真实波动。也就是说,流动性可以充当传递波动信息的管道,使投资者对未来波动率的预期成为现实,并主导实际市场波动。过去的市场走向是影响流动性供给的另一个重要因素,特别是当市场下滑时,限价指令簿的流动性供给将显著减少。在个股水平上,波动率和收益主要影响流动性的系统部分。

The liquidity provision of limit order book is an important indicator to describe the information efficiency of it. This paper applies the high-frequency trading data of SSE 180 index components, proposes to use dispersion and cost-to-trade to measure the liquidity provision of the limit order book, and analyzes their determinants both at the aggregate market level and the individual stock level. We find that when expected market volatility increases, the book becomes more dispersed and its depth and liquidity provision decreases. This in turn leads to high realized volatility in the future, i. e. , liquidity may act as a channel of intorma- tion of volatility, which finally realizes investor expectation of volatility for the future and leads the actual market fluctuation. Past market movements is another key factor that determines the liquidity. Especially when market declines, the liquidity provided by limit order book will significantly decrease. At the individual stock level, we further find that volatility and returns mainly aftect the systematic component of the liquidity provided by individual stock＇s limit order book.