【摘要】 本文运用基于指令驱动市场的买卖价差结构模型实证分解上证股市买卖价差的逆向选择和指令处理成本,探测价差结构和交易指令规模之间的关系,全面考察公司规模、股价、交易活跃性、波动性对逆向选择成本的影响,探测逆向选择成本的日内模式及其成因。研究表明:逆向选择成本随着交易指令规模增大而增大,指令处理普遍不具有规模经济特征;大公司股、高价股、交易量大、市场关注度高的股票逆向选择成本低,波动性大的股票逆向选择成本高;逆向选择成本的日内模式呈"L"形,刚开盘时交易活跃的主要原因是信息性交易,临近收盘时交易活跃的主要原因则是流动性交易。更多还原

【Abstract】 For the first time,employing a model of components of bid-ask spread for order-driven market,this paper decomposes the bid-ask spread of Shanghai Stock Exchange into adverse selection and order processing cost components,investigates the relationship between the components of bid-ask spread and order size,extensively examines the impacts of firm size,price,trading activity,and volatility on adverse selection cost,explores the intraday pattern of adverse selection cost and information-based trading.Results obtained show that the adverse selection cost increases with trade size,the order processing is generally not characterized with scales of economics.With stocks of large firms,high-priced,large trading volume,and wide coverage,their adverse selection costs are relatively low.The adverse selection cost increases with a stock’s price volatility.Moreover,we find that the adverse selection component of the bid-ask spread exhibits a L-shaped intra-day pattern,which implies that the relatively heavy trading just after open is dominated by information-based trading,whereas the heavy trading just before close dominated by liquidity trading.These findings suggest important policy implications for the development of stock market.更多还原