【摘要】 基于MRR(Madhavan,Richardson,Roomans)模型,把买卖价差分解为非对称信息成本和指令处理成本,并采用深圳证券交易所股票的实时交易历史数据对其进行实证分析。结果表明:深圳证券交易所股票的非对称信息成本、指令处理成本呈"L形"曲线,非对称信息成本和指令处理成本随着股票价格的降低而降低,随着换手率的降低而增加。更多还原

【Abstract】 Using transactions data for a sample of stock in the ShenZhen Stock Exchange (SSE), we decompose the bid-ask spread into order-processing and asymmetric information components using the techniques of Mashavan, Richardson, and Roomans(1997). Our results show that order-processing cost and asymmetric information cost exhibit an L-shaped pattern over the trading day. The adverse selection cost and bid-ask spread increases with turnover while decreases with the stock price. In order to increase the liquidity and decrease the cost of traders.更多还原