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。     

订单驱动市场下的交易成本、交易订单与买卖价差

订单驱动市场上的交易成本、交易订单与买卖价差之间是彼此相关的。对投资者交易订单策略的研究发现交易成本造成市场买卖价差的存在是资本市场的均衡性质。在交易成本存在的情况下,随着限价订单报价无限接近市价订单的价格,限价订单的执行概率不收敛于1。限价订单报价和对应的市价订单价格之间总是无限地接近彼此。证券的交易越活跃,二者之间的跳跃越小,这意味着均衡价差与交易活跃程度成反比。     

金融资产买卖价差的组成部分实证检验

金融资产的买卖价差是金融市场微观结构研究的热点,由于做市商报价的买卖价差与实际买卖价差不同,理论界用不同的研究方法来估计买卖价差.本文的主要目的是利用纳斯达克数据,估计金融资产买卖价差的组成部分.估计方法来自Stoll(1989)模型,结果显示做市商报价的买卖价差主要来自三部分:指令处理成本、存货成本和信息不对称成本.另外,通过对样本数据进行分组,本文还分析了交易频率对买卖价差的影响.     

中国股票市场买卖价差的决定因素

买卖价差作为证券市场流动性的一个重要度量．一直以来都是市场微观结构领域研究的焦点。本文利用上证180成分股票的高频交易数据和股票特征数据,采用面板数据回归模型实证研究了买卖价差的决定因素。和传统的截面回归研究一样,我们发现中国股票市场的买卖价差与股票价格负相关,与收益标准差正相关,与交易额负相关,与公司市值负相关。但是,公司市值对买卖价差的影响程度相对较弱。此外。截面不变的因素对买卖价差的影响要强于时间不变因素的影响,如市场或行业的共同特征。     

上证50ETF流动性效应分析

本文首先使用沪市高频分笔数据对上证50指数成份股在上证50ETF上市前后的买卖价差、市场深度等流动性指标进行比较；其次，利用Glosten and Harris（1988）买卖价差分解模型对上证50ETF上市前后上证50指数成份股的成交买卖价差与逆向选择成本进行比较，得出的结论是：1、ETF具有显著提高标的股票与市场的流动性以及降低其逆向选择风险作用；2．股票价格水平与单位逆向选择成反方向变化。     

订单流不平衡、流动性与国债收益率

采用日内数据,以上交所固定收益平台国债市场订单流不平衡的总和为交易活动代理变量,买卖价差作为度量市场流动性的指标,实证检验订单流不平衡对买卖价差以及国债收益率的影响,分析固定收益平台做市商的做市行为对市场流动性及国债价格形成的影响.结果表明:我国固定收益平台订单流不平衡导致存货成本并影响做市商的报价行为;做市商调整报价的存货管理方式会影响市场流动性与价格有效性.为此,需要进一步完善做市商机制,以提升固定收益平台国债市场价格的有效性.     

证券市场交易机制的国际发展趋势研究

证券市场的两种主要交易机制是竞价方式和做市商制度.文章在综合分析国际上有代表性的相关研究文献后,发现在交易机制与股票买卖价差的关系方面,采用竞价方式的股票其买卖价差较小,采用做市商机制的股票其买卖价差较大;在股票交易成本方面,采用竞价交易机制的股票交易成本较低,而做市商机制的股票交易成本较高.从国际上证券交易机制的发展趋势看,以一种方式为主,多种方式为辅的"混合交易"机制是最有优势的机制,是证券交易机制的未来发展模式.     

郑州棉花期货市场流动性成本研究

本文基于郑州棉花期货市场交易高频数据,运用买卖价差理论将郑州棉花期货市场流动性成本分为信息不对称成分、指令处理成分及指令持续成分。在实证基础上分析了上述现象成因并给出了政策建议。     

国内二手房贷款买卖的相关问题探讨

目前大城市当中,二手房交易数量已经超过一手房交易数量,对于初次置业者或工薪一族,购买二手房比购买一手房实际,在多种交易模式共存的情况下,商业贷款模式最受买卖双方喜爱,本文介绍二手房商业贷款模式买卖的整个流程及买卖双方必须注意的一些问题.     

Adverse selection costs: A study on the Chinese stock market

Employing a bid-ask spread model applicable for order-driven market, this paper decomposes the bid-ask spread of Shanghai Stock Exchange (SSE) into adverse selection and order processing cost components to investigate the relationship between the components of bid-ask spread and order size. It examines the impacts of firm size, price, trading activeness, and volatility on adverse selection cost, and explores the intraday pattern of adverse selection costs and informative trading. Results show that adverse selection costs increase with trade scale. However, order processing costs do not exhibit the economies of scale. Stocks of large firms, which are high-priced and actively traded, have relatively low adverse selection costs; stocks with large volatility have relatively high adverse selection costs. Moreover, this paper finds that the adverse selection component of bid-ask spread in the Chinese stock market exhibits an L-shaped intraday pattern, which implies that heavy trading around market opening is dominated by informative trading, while heavy trading near market closing is dominated by liquidity trading.     

A generalized theoretical modelling approach for the assessment of economic-capital under asset market liquidity risk constraints

This paper proposes a concrete theoretical foundation and a new modelling framework that attempts to tackle the issue of market/liquidity risk and economic-capital estimation at a portfolio level by combining two mutual asset market/liquidity risk models. In essence, this study extends research literature related to the assessment of the asset market/liquidity risk by providing a generalized theoretical modelling underpinning that handle, from the same perspective, market and liquidity risks jointly and integrate both risks into a portfolio setting without a commensurate increase of statistical postulations. As such, we argue that market and liquidity risk components are correlated in most cases and can be integrated into one single market/liquidity framework that consists of two interrelated sub-components. The first component is attributed to the impact of adverse price movements and is modelled based on the concept of liquidity-adjusted value-at-risk framework, while the second component focuses on the risk of variation in transactions costs due to the bid-ask spreads and it attempts to measure the likelihood that it will cost more than expected to liquidate the asset position. As such, the model comprises a new approach to contemplating the impact of time-varying volatility of the bid-ask spread and its upshot on the overall asset market/liquidity risk. The modelling framework can be constructive for financial service industries in emerging-economies and particularly in reinforcing rational economic-capital allocation in light of the aftermaths of the sub-prime financial crisis.     

Flight-to-liquidity: Evidence from China's stock market

In an order-driven and strictly regulated stock market, illiquidity risks' effects on asset pricing should be highlighted, particularly in such extreme market conditions as those in China. This paper utilizes panel data from China's stock market in an attempt to answer whether the illiquidity risk in various dimensions—including price impacts, the transaction speed, trading volume, transaction costs, and asymmetric information—can explain stock returns. We find that almost all dimensions of stock illiquidity are positively associated with excess stock returns. More importantly, smaller, less-liquid stocks suffer more liquidity costs, providing a strong evidence for “flight-to-liquidity.” Additionally, the transaction costs and asymmetric information, denoted by bid-ask spreads, robustly account for these illiquidity effects on stock pricing and differ from the findings in the U.S. market. We also find that the “flight-to-liquidity” can partially explain the idiosyncratic volatility puzzle, investors' gambling, and herding psychologies. This study provides substantial policy implications in regulation and portfolio management for emerging markets.     

The Business Ethics of Short Selling and Naked Short Selling

The controversy over short selling has continued unabated from the introduction of modern equity trading in Amsterdam in 1610 to the present day. Nevertheless, the business ethics literature has not really addressed short selling. Short sellers not only profit from the misery of others, they also create it through their selling activities. However, they also provide a socially useful service by making prices better reflect true values, protecting other investors from purchasing overpriced securities. Short sellers can also help to provide liquidity in the markets. Recently, there has been a hue and cry against so called “naked” short selling, which involves not delivering the shares that have been sold. This gives manipulators a tool for depressing stock prices and deprives purchasers of voting rights and potential stock lending revenue. Naked short selling creates ethical issues for short sellers, buyers, brokers, market makers, and regulators. Is it ethical to exploit a legal loophole that permits sellers to sell stock and delay delivering shares indefinitely?     

Competition and the cost of liquidity to investors

The Congressional mandate to develop competitive securities markets in the United States has focused attention on the cost of liquidity to investors. Prior studies have emphasized the impact of external competition in the form of competing markets and/ or competing dealers on the bid-ask spread of the dealer. However, the spread of the specialist (dealer) on the NYSE may or may not be observable because of the interaction between public limit orders and the specialist's quotes. Our study develops a model of this interaction, and empirically verifies that internal competition in the form of limit orders has an important impact on the cost of liquidity to investors.     

Informed trading in the index option market: The case of KOSPI 200 options

This study examines if informed trading is present in the index option market by analyzing the KOSPI 200 options, the most actively traded derivative product in the world. The spread decomposition model developed by Madhavan, Richardson, and Roomans (1997) is utilized and the adverse‐selection cost component of the spread estimated by the model is then used as a proxy for the degree of informed trading. We find that adverse‐selection costs constitute a nontrivial portion of the transaction costs in index options trading. Approximately one‐third of the spread can be accounted for by information asymmetry costs. A further analysis indicates that adverse‐selection costs are positively related with option delta. Our regression analysis shows that option‐related variables are significantly associated with estimated information asymmetry costs, even when controlling for proxies for informed trading in the index futures market. Finally, we find the evidence that foreign investors are better informed compared to domestic investors and that domestic institutions have an edge in terms of information over domestic individuals. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:1118–1146, 2008     

Reputation-based pricing and price improvements

Dealers often offer price improvements, relative to posted quotes, to their clients. In this paper, we propose an explanation to this practice. We also analyze its effects on market liquidity and traders’ welfare. Enduring relationships allow dealers to avoid informed trades by offering price improvements to clients who do not trade with the dealer when they are informed. A dealer never observes whether a specific client is informed or not but he can avoid informed orders by conditioning his offers on past trading profits. Cream-skimming of uninformed order-flow increases the risk of informed trading for dealers without a relationship. Thus, authorizing price improvements increases bid-ask spreads and impairs the welfare of investors without a relationship. It may even decrease the welfare of investors who develop a relationship as they sometimes need to trade at posted quotes. The model predicts a positive relationship between (a) the price improvements granted to a specific investor and past trading profits with this investor or (b) the frequency of price improvements and bid-ask spreads.     

How does FX liquidity affect the relationship between foreign ownership and stock liquidity?

This study investigates the roles foreign investors play in a representative emerging market, focusing on the relationship between foreign ownership and stock market liquidity as well as this relationship's response to foreign exchange (FX) liquidity. Our analyses yield three main results. First, the bid–ask spread and price impact of stock trades decrease along with foreign ownership, supporting the view that foreign investors tend to improve stock liquidity. Second, foreign ownership decreases along with a decline in FX liquidity, suggesting that foreign investors care about FX liquidity when determining their stock holdings. Third, stock liquidity increases continuously along with foreign ownership as FX liquidity decreases. Overall, this study's evidence indicates that foreign investors, as liquidity providers, can play a positive role in an emerging economy even when FX liquidity declines.     

The Intraday Pattern of Information Asymmetry,Spread, and Depth: Evidence from the NYSE

Studies suggest that investment flows, liquidity imbalances, and institutional trading may create intraday trading patterns and opportunities for investors to time their trades to reduce transaction costs. Motivated by these studies, we divide each trading day into 13 half‐hour trading intervals and measure information asymmetry from price changes, trade sizes, and trade directions. We find that information asymmetry starts high in the morning, drops continuously until it reaches a midday low during Interval 7, rises to a midday high during Interval 10, and drops continuously after. In contrast, neither the spread nor the depth exhibit similar midday extreme values. Essentially, we identify a 90‐min window in the afternoon when net valuable information arrives to the market in high frequency while liquidity is stable, and that may be an opportunity for some investors to time their trades. In addition, we show that market makers employ dynamic strategies that change the spread, the depth, or both to manage information asymmetry. This is particularly evident during the last three trading intervals, where the significant drop in information asymmetry is countered primarily by a significant increase in the depth while the spread is almost constant.