上海证券市场日内价格变化的影响因素研究

采用次序probit回归方法研究指令驱动市场中日内交易价格变化的影响因素.将我国上海证券市场日内交易价格的变化量分解为信息成本、存货成本、流动性成本和累计买卖压力四个部分,并利用上证50指数样本股的高频交易数据进行了实证,结果表明在上海证券市场上这四个部分在解释日内交易价格的变化方面均显著,但这四个部分在个股上的表现强弱不同;同时发现不同于纽约证券交易市场(NYSE)和香港证券交易市场(SEHK),上海证券交易市场(SSE)的信息成本与存货成本之间没有统一的大小关系,信息成本不总是比存货成本大,反之亦然,这说明在我国股票市场上,信息成本与存货成本均是股票日内价格变化的不可忽视的解释因子.

Research on Determinants of Intraday Price Movement in Shanghai Security Market

This paper investigates determinants of intraday price movement in order-driven market using ordered probit regression method.We decompose the intraday price movement in Shanghai security market into four parts such as information cost,inventory cost,liquidity cost and accumulative pressure of buy or sell.Accordingly,this paper empirically analyzes high-frequency data of Shanghai Stock Exchange(SSE)50 index stock.The empirical results show that the above four factors have significant effect on intraday price movement,but differs in magnitude of them in individual stocks.It also finds that in SSE,different from NYSE and SEHK,neither the information cost nor inventory cost is the dominant determinant in intraday price movement across individual stock,i.e.information cost are not consistently larger than inventory cost and vice versa.This indicates that,in Chinese stock market,the two costs can not be ignored in explaining intraday price movement.