基于超额成交量持续时间的流动性风险研究

Study on Liquidity Risk Based on Excessive Volume Duration

运用简单线性、对数和半参数单指数自回归条件持续时间模型,基于超额成交量持续时间等市场微观结构特征变量的日内分笔高频交易数据全面考察了中国股票市场的流动性风险及其影响因素。研究发现:1)买卖价差假设、收益率假设和深度假设被证实,说明市场买卖价差、市场收益率和市场深度会影响中国股票市场的流动性风险;2)绝对成交价格假设和波动率假设没有得到支持,说明市场绝对成交价格价差和市场收益率的波动性对中国股票市场的流动性风险没有影响;3)成交价格假设仅在半参数单指数自回归条件持续时间模型的估计结果中得到支持,说明坏消息对市场的价格和波动的非线性影响比好消息对市场的影响要大得多。

The liquidity risk and its influence factors are explored by using the simple linear ACD model, the Log-ACD model and the semi-parametric single index ACD model with the intraday high frequency trading data of the characteristic variable of market microstructure, such as excessive volume duration in China stock market. Evidence from the empirical analysis confirms：（1） The bid-ask spread, the rate of return and the depth hypotheses are supported, which shows that the bid-ask spread, the rate of return and the market depth can affect the liquidity risk in China stock market.（2） The absolute spread and the volatility hypotheses are not supported, which shows that the absolute spread and the volatility of market return have no effect on the liquidity risk in China stock market.（3） The price spread hypothesis is only supported by the semi-parametric single index ACD model, which shows that the nonlinear effect of the bad news on the market is larger than the good news.