市场因素对交易强度的长、短期影响

利用生存分析理论建立一个高频交易强度模型,将市场因素对交易强度的影响分为临时性影响和持续影响,从而分析几个主要市场因素(市场深度、交易量及价差)对交易强度的长期、短期影响。以2006年上证50成份股前三季度高频数据作为样本,对影响交易强度的因素进行检验,结果发现市场深度对交易强度的短期影响显著为正,价差与交易量对交易强度的短期影响显著为负。而交易量对交易强度长期影响显著为正,市场深度对交易强度的长期影响显著为负,其中市场深度和价差对交易强度长期影响与知情交易策略密切相关。收益波动率对交易强度长期影响显著为正,而对短期影响显著为负。

The Transitory and Permanent Effects of Market Elements on Trading Intensity

In this paper,we divide the effects of market characteristics on the trading intensity into a transitory and a permanent component based on the survival analysis theory.We test the transitory and permanent effects of market depth,trading volumes and price spreads on the trading intensity using the high frequency data of the 50 stocks of SSE 50 index.These data cover from January,2006 to September,2006.We find that the transitory effects of market depth on the intensity are positive and significant,that the transitory effects of price spread and trading volume on the intensity are negative and significant,ant that the permanent effects of trading volume and market depth on the intensity are positive and negative respectively.Moreover,when the volatility of returns increases,the permanent effects on the trade intensity increase and the transitory effects on the trade intensity decrease.