沪市封闭式基金流动性、买卖价差与市场深度分析——一个基于高频数据的经验研究

本文采用Brockman and Chung（1999）使用的买卖价差分解技术，将价差分解成逆向选择成本、指令处理成本和指令持续性成本三部分，并运用在上海证券交易所上市的25只封闭式基金2005年9月9日至2006年9月28日期间的高频交易数据进行回归分析。实证结果表明，价差中逆向选择成本仅占27．36％，明显低于沪市股票市场（37．05％，见杨朝军等（2002）），沪市封闭式基金市场的信息不对称程度较沪市股票市场轻。进一步实证分析表明，沪市封闭式基金的买卖价差对收益率波动率较为敏感，而以报价深度度量的市场深度则对价格的变动较为敏感。

Analysis of Liquidity,Bid-Ask Spread and Market Depth of Closed-end Funds Listed on Shanghai Stock Exchange:An Empirical Study Based on High-frequency Data

This paper takes the approach put forward by Brockman and Chung(1999) to decompose the bid-ask spread into three components: adverse selection component,order processing component and order persistence component,and then makes estimations using high-frequency data of 25 closed-end funds listed on Shanghai Stock Exchange(SSE) from September 9th,2005 to September 28th,2006.The results indicate that adverse selection component accounts for 27.36%,significantly lower than that of stocks listed on SSE,of the tot...