| 成交风险、交易成本、逆向选择风险与投资者订单选择 |
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| 引用本文： | 马丹.成交风险、交易成本、逆向选择风险与投资者订单选择[J].财经科学,2009(6). |
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| 作者姓名： | 马丹 |
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| 作者单位： | 西南财经大学统计学院,成都,610074 |
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| 基金项目： | 年教育部人文社会科学研究青年基金 |
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| 摘 要： | 本文利用多元对教条件自田归计数模型讨论了交易概率、交易成本以及选择成本等市场微观结构因素对中国证券市场投资者订单选择的影响.实证研究发现:(1)交易成本的增加会削弱投贵者递交指令的积极性,当成交风险较大时,投资者更偏好市价订单;(2)由于中国证券市场订单类型较为单一,逆向选择风险对投资者订单选择行为并无显著性的影响;(3)在同质信息的驱动下不同类型订单之间具有显著的持续和交叉相关性.
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| 关 键 词： | 订单选择 成交风险 逆向选择风险 |
Execution risk,trading cost,adverse selection risk and traders' order submission strategy |
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| Ma Dan.Execution risk,trading cost,adverse selection risk and traders' order submission strategy[J].Finance and Economics,2009(6). |
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| Authors: | Ma Dan |
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| Abstract: | Using a 4-dimensional LAOP model,this article studies the impact of the factors of the market's micro structure,such as transaction probability,trading cost and selection cost etc.,on the traders' order submission strategy in China's stock market.Evidence form the empirical analysis confirms:(1) increase in trading cost has significantly negative influence on trading activity and traders will prefer market order with more execution risk;(2) adverse selection risk has no significant influence on traders' ord... |
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| Keywords: | Order choice Execution risk Adverse selection risk |
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