中国证券市场成交指令积极性及成交持续期的影响因素研究

对成交指令按成交价和成交量进行分类作为指令提交积极性的指示变量,本文依据上海证券市场的分笔高频交易数据,采用有序probit模型研究市场分笔行情如何影响投资者提交指令的积极性,采取LOG-ACD模型研究分笔行情如何影响成交持续期,并分析分笔行情中影响二者的关键信息因素.实证研究表明,短期报价波动增加、价差减小、与成交发起方相同方向的最优报价深度增加、与成交发起方相反方向的最优报价深度减小,都会降低成交指令属于积极性低类型的概率,提高成交指令属于积极性高类型的概率,即指令提交整体积极性提高,反之则相反;最优报价信息集合为影响指令提交积极性的关键信息因素.短期报价波动增加、价差减小、前三个报价买卖深度的增加均使成交持续期变短,反之则相反;同时,最优报价信息集合和最优报价外信息集合都不是影响成交持续期的关键信息因素.

Research on Determinants of Trade Order Aggressiveness and Trade Duration in Chinese Security Market

Categorizing the trade order set based on their trading price and trading value as a proxy of order submitting aggressiveness,this paper makes an empirical research on Shanghai security market using tick by tick high-frequency data.Applying ordered probit model and LOG-ACD model respectively,it studies how the information from tick by tick market data affects the trade order aggressiveness and the trade duration,and analyses the key information factors which determine the aggressiveness and the duration of trade.The empirical evidences show that as the temporary quote volatility increases,or the spread decreases,or the depth of the best quotes on the same side of the market increases,or the depth of the best quotes on the opposite side of the market decreases,the probability of less aggressive trade order categories decreases,while the probability of more aggressive trade order categories increases,i.e.,the trade order aggressiveness in fact increases.On the contrary,if the conditions are opposite,then the opposite results are obtained.Furthermore,the information set of the best quotes is the key factor in determining the trade order aggressiveness.It also concludes that as the temporary quote volatility increases,or the spread decreases,or the depth of three quotes on both sides of market increases,the trade duration is shortened.On the contrary,the opposite results are obtained if the conditions are opposite.Furthermore,neither the information set of the best quotes nor the information set beyond the best quotes is key factor in explaining the trade duration.