交易所大宗交易流动性折价研究——来自沪深交易所的经验证据

随着证券市场规模的扩大及机构投资者规模的壮大，机构投资者对市场流动性的需求日益剧增，大宗交易制度是满足投资者流动性需求的制度性创新。由于大宗交易的数量较大，其交易价格有别于正常交易规模的价格。本文利用沪深交易所的大宗交易数据实证探讨大宗交易价格及其影响因素。研究结果表明，大部分大宗交易价格低于当日收盘价格，呈现流动性折价现象，折价率达到1．27％：研究还发现，折价水平还受交易数量、正常交易时间段股票流动性水平、市场流动性水平及股价波幅等因素影响。

Liquidity Discount of Block Trading in China

With the development of market scale and institutional investors in China, liquidity is more of an issue of interest for institutional investors. Block trading is a systematic creation to meet the liquidity demand. For its huge volume, block trading is usually at discount. This paper is an empirical study of prices of block trading in China stock markets and the reasons behind. The study reveals that block trades are usually lower than closing prices of the day, with a liquidity discount at 1.27%. Discount rate is also affected by trading volume, liquidity in continuous trading period and stock price volatility.