中国股市的买卖价差成分

本文基于市场微观结构理论,采用HS模型分解了上证50指数成分股票的买卖价差成分。通过对每分钟的分笔交易数据的实证分析,我们发现上海股市的交易价差约为0.065%,在不考虑交易相关时,买卖价差的指令处理成本和逆选择成本分别为29%和71%,而在考虑交易相关之后,买卖价差分解为指令处理成本、逆选择成本和指令持续成本,它们对买卖价差的贡献度分别为11%,40%和49%,而且交易反转概率低于0.5。此外,我们还发现上海股市中高价股或高交易量股票的逆选择成本最小。

The Component of Bid-ask Spread in China Stock Market

Based on market microstructure theory,this paper analyzes the component of bid-ask spread of the component stocks that compose the Shanghai 50 index.By empirical analysis to every trade data in one minute,we find in Shanghai stock market,the traded spread is about 0.065%.Without considering the correlation in trade,the proportion of adverse selection cost order process cost in spread is 29% and 71%,respectively.But when we consider the correlation in trade,the spread is decomposed into order process cost,adverse selection cost and order persistence cost,and account for 11%,40% and 49% of the spread respectively,and the probability that the trade is reversed is less than 0.5.Further more,we also find adverse selection cost is smallest for stock with high price or high volume.