基于VWAP的价格冲击成本估计及其影响因素研究

Estimation of Price Impact Cost Based on VWAP and it's Factors

以交易量加权平均价格(VWAP)为基准估计了证券市场的价格冲击成本,并借鉴Kyle的思想给出了VWAP作为基准价格的理论依据。利用深圳证券市场创业板的高频交易数据,分析了订单规模、价差、成交价格、订单不平衡量等市场微观结构指标对价格冲击的影响。研究发现,对于中盘股和小盘股而言,订单规模与价格冲击具有显著的正相关关系,而大盘股股票订单规模对价格冲击的这种影响并不显著;无论是大盘股、中盘股还是小盘股,价差和订单不平衡量对价格冲击都具有显著的正影响,而成交价格与价格冲击存在负相关关系。据此,本文认为,为了减少价格冲击成本,投资者所制定的交易策略应将大额订单拆分为多个中小规模的子订单,并选择市场流动性较好的时期(开盘后较短时间内)逐次提交。

The investor＇s order can be executed in the financial market with perfect liquidity based on traditional investment theory. Investors are mainly concerned with the inability of their investment portfolio to achieve a target return. However, the execution process is very important in the competitive securities market. If investors expect to reach a target return, they must have a suitable portfolio and low transaction cost. If the cost is larger than return, the return of investment will not reach the target, even if an optimal portfolio exists. Transaction costs refer to costs incurred atter making an investment decision. The transaction cost components consist of taxes, commissions, price appreciation, price impact, timing risk, and opportunity cost. Price impact accounts for the largest percentage of total transaction cost. Hence, it is very important to understand what key factors influence the price impact for the investors. This paper estimates the price impact cost based on the volume weight average price （VWAP）, and finds a theoretical foundation of VWAP from the model proposed by Kyle （1985）. Furthermore, this paper uses the data of growth enterprises market in China to estimate the price impact of investors, and analyzes the factors influencing price impact cost, including order size, spread, stock price and order imbalance. Meanwhile, this paper also describes the difference of those factors in different periods. The results show that the price impact of the small-cap share order is higher than the large-cap share for investors, even if the orders have the same size. Order size is positively associated with the price impact for middle-cap and small-cap shares, but not large-cap share. With the decreasing order size, the price impact of the orders is gradually decreasing. The order size is insignificantly positively associated with the price impact influenced by the large market value and trading volume in large-cap stocks. In addition, order imbalance and spread are significantly positively related to the price impact for large-cap, middle-cap, and small-cap shares, while the stock price is significantly negatively related to the price impact. The direct implication of this study is that the investor should break a block order into small orders and submit the small orders to the market in the period of higher market liquidity. Meanwhile, this study also provides an important basis for choosing the optimal trading strategy.