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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。
Using simple linear, logarithmic and semiparametric autoregressive conditional duration models, the paper analyzes the liquidity risk in China’s stock market in a comprehensive way based on the daily intra-segment high-frequency trading data of market microstructure variables such as excess volume duration Influencing factors. The results show that: 1) the bid-ask assumption, the yield hypothesis and the deep assumptions are proved, indicating that the market bid-ask spread, the market rate of return and the market depth will affect the liquidity risk in the Chinese stock market; 2) the absolute trading price hypothesis and the volatility assumption It is supported that the volatility of absolute market price spread and market rate of return has no effect on the liquidity risk in the Chinese stock market. 3) The transaction price assumption is supported only in the estimation results of semiparametric single-index autoregressive conditional duration model , Indicating that the bad news has a far greater non-linear effect on the market price and volatility than the good news has on the market.