论文部分内容阅读
Purpose-With the launch of CSI 300 Index Futures trading on April 16,2010,China’s stock market presents a more diversified trend,such as arbitrage,trends strategy entering the market rapidly.Therefore,the liquidity demand also presents a higher frequency,and the change is more complex than the original situation.In recent years,many literatures are engaged in high-frequency trading (HFT) related research,and an important conc is the impact of HFT on market volatility and liquidity.Is it playing the role of stabilizing the market,or bringing more noise and turmoil? Based on this,the purpose of this study is trying to study what kind of impact the HFT have on market liquidity before and after the launch of the CSI 300 Index Futures.Design/methodology/approach-The paper uses the simultaneous equations model of price and net order flow proposed by Deuskar and Johnson and for the first time introduces an asymmetric identification through heteroskedasticity (ITH) method.The paper applies the method to the high-frequency data of CSI 300 Index and the Futures and classifies the buying and selling orders through volume clock.The price risks are decomposed into a component driven by the impact of liquidity demand shocks (flow-driven risks (FDRs)) and a component driven by extal information (information-driven risks (IDRs)).Findings-The empirical results show that the flow-driven risk of CSI 300 Index Futures is about 20 percent.In addition,before the introduction of the Index Futures,there is no asymmetric effect between liquidity demand shocks and price shocks existing in either CSI 300 Index or CSI 300 Index Futures.While after the introduction of stock Index Futures,the asymmetric effect in the both two markets emerges.The impact of the buying net order flows on the price is less than the impact of the selling net order flows on CSI300 Index,whereas the impact of the buying net order flows on the price is larger than the impact of the selling net order flows on CSI 300 Index Futures.The paper further analyzes the relationship between liquidity and FDR and gets the conclusion that the reasons for the deterioration of the liquidity level are caused by the impact of the extal information shocks,rather than the liquidity demand shocks.And entries of HFTs like arbitrage traders and hedge traders play a positive role in improving the liquidity level in the market.Originality/value-The paper introduces an asymmetric ITH method for the first time and finds asymmetric effect of the net order flow on the ret in both CSI 300 Index market and the corresponding Index Futures market.