Order Aggressiveness in Shanghai Stock Market of China |
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基金项目: | This project is supported by National Natural Science Foundation of China (70401008) and Shanghai Planning 0ffice of Philosophy and Social Science |
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摘 要: | This paper analyzes order aggressiveness in Shanghai stock market of China which is a pure order driven market. We provide empirical evidence that the mean order aggressiveness is negative (low) and most traders are liquidity providers. Our results also show that high order aggressiveness accompanied with high market volatility and large trade volume. The intraday order aggressiveness pattern is from low to high. Four factors: spread, volatility, order imbalance and size affect order aggressiveness, but they affect the buy and sell side differently.
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关 键 词: | 上海 证券市场 操纵模式 微观结构 |
收稿时间: | 2004-12-21 |
Order Aggressiveness in Shanghai Stock Market of China |
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Authors: | Deng Pen Donghui Shi Linyun Zhou |
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Abstract: | |
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Keywords: | limit order order aggressiveness microstructure |
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