买卖价差构成理论研究综述

买卖价差构成是市场微观结构理论的重要组成部分。本文根据文献发表时间和文献之间的逻辑关系，对买卖价差构成理论的相关文献进行全面、系统的回顾和评述。作者将买卖价差构成的相关文献分为理论研究和实证研究两部分：在理论研究部分，系统回顾了买卖价差的存货模型和信息模型；在实证研究部分，根据市场交易机制的不同，分别介绍、评述报价驱动市场和指令驱动市场的买卖价差成分分解模型。     

上海银行间同业拆借市场买卖价差研究

本文考察了上海银行间同业拆借市场做市商买卖价差的特征,并研究了该价差的影响因素。实证结果表明,上海银行间同业拆借市场做市商的买卖价差具有显著的聚集效应,不同类型银行的买卖价差水平在不同拆借品种上是不一致的：隔夜拆借的买卖价差具有显著的周内效应,呈现倒“V”特征,在周三的买卖价差是最高的：买卖价差假日交易的波动更小;在正式运行阶段,买卖价差的波动率均有很大提高,对于交易活跃的拆借品种来说,其买卖价差水平均有所下降。本文采用了AR（1）-GJR（1,1）对Shibor的条件异方差进行建模。OLS回归模型表明上海银行间同业拆借市场的买卖价差并不受市场利率和市场波动的影响,与成熟市场买卖报价的影响模式存在显著差异。这说明上海银行间同业拆借市场做市商的定价水平有待提高。     

从买卖价差看我国证券市场的流动性水平

以买卖价差衡量，在新兴市场中上海股票市场的流动性是最好的。这主要是因为散户投资的买卖委托量非常巨大，大量竞争性的买卖委托使上海股市的买卖价差维持在较低水平。这也表明，目前的电子竞价交易机制符合中国股市的具体运行环境，是一种高效率、低成本的交易方式。     

衡量房产投资是否赚钱的"计"术

房产投资的主要获利方式有买卖价差和租金收益两种.许多投资者之所以投资房产,仅仅是看到房价上扬,希望赚取买卖差价.就买卖价差方式看,考虑到购买和出售房屋所涉及的交易费用,再加上装修、维护、物业等方面的开支,总体而言,这种方式的实际收益率不一定会很高,况且风险也较大.一般认为,以买卖差价为目的的行为属于投机行为,而以房产租金收益为目的的是投资行为.所以衡量房产是否有投资价值通常是按照出租的方式考察,即衡量租金回报是否足以支付购房贷款的利息,或是租金回报率是否可以弥补资金成本.只有把成本和回报考虑清楚,才能算清这笔投资是否真能获益,投资者切不可单凭价格走势作出决策.     

非对称信息对资本市场高频价格变动的影响

运用信息非对称与高频价格运动模型的分析结果表明:中国证券市场的交易频率对价格变化状态具有显著的影响.知情交易者为了保持获得的信息优势,往往选择提交积极订单以迅速交易.在知情交易者比重较大的时候,市场交易频繁,此时买卖价差较大,波动剧烈;反之,当交易间隔长时,意味着未知情交易者比重大,此时买卖价差较小,波动较小.交易间隔短意味着市场存在消息驱动,可能是好消息也可能是坏消息.好消息引起价格上涨的概率和坏消息引起价格下跌的概率具有对称性.     

交易持续期、交易信息与投资者行为——基于PCD模型的研究

使用 PCD 模型,通过引入买卖价差、交易量、交易规模、委托指令流等交易信息变量探讨交易信息对投资者行为的影响。实证研究表明,买卖价差与期望交易持续期显著正相关,不支持 Easley 和 O’Hara (1992)的观点。同时大规模的交易能够显著地延长交易持续期,而中等规模的交易能够减小交易持续期,证实了知情交易者的隐藏交易假说。指令流信息中的买卖申报数量也对交易持续期有显著的影响,上期买卖申报数量与本期交易持续期正相关。     

中国股票市场流动性特征及其影响因素

本文根据买卖价差、有效价差、价格冲击指数和流动性指数四个指标对中国股市流动性进行比较分析。从历史发展来看,深沪两市的流动性不断提高,上海股市在流动性指数上好于深圳市场,在价格冲击指数及相对买卖价差上,深圳市场流动性高于上海市场;与国际主要证券市场相比,中国股市流动性在价差类指标上处于较好的水平,但价格冲击指数高于全球平均水平。     

可转换公司债券市场流动性衡量的维度效应

基于我国可转换公司债券市场日交易数据的实证研究发现,市场流动性衡量存在显著的维度效应,不同维度的信息重叠不大,买卖价差、交易量和交易间隔时间等单维度衡量指标提供的市场流动性信息有限,价格变化自协方差和价格冲击等多维度衡量指标比单维度衡量指标能够更全面地衡量市场流动性状况。     

上海股票市场买卖价差研究

本文对上海股票市场的买卖价差及其日内特征、变化规律和影响因素进行了探讨,并进行了国际比较。研究表明,与部分发达市场的交易成本相比,上海股票市场的交易成本适中,且随着成交量的上升,买卖价差呈下降趋势,活跃的二级市场有利于降低股票的交易成本,总体而言目前的指令驱动系统和限价委托方式的交易机制是一种适合我国股票市场的效率较高、成本较低的交易制度。     

金融期货合约规模设计研究

金融期货合约规模的大小会对市场交易造成影响。过小的合约规模将增加交易者的交易成本，而过大的合约规模却会阻止一些小额交易者进入市场，使得成交量减小，买卖价差价值扩大，市场交易效率降低。合约规模是否合理可通过比例法和合约风险价值法来判断。我国开展金融期货，可采用先大合约规模、后小合约规模方式进行。     

Liquidity and market efficiency: A large sample study

Chordia et al. (2008, hereafter CRS) examine short horizon return predictability from past order flows of large, actively traded NYSE firms across three tick size regimes and conclude that higher liquidity facilitates arbitrage trading which enhances market efficiency. We extend CRS to a comprehensive sample of all NYSE firms and examine the dynamics between liquidity and market efficiency during informational periods. Our results indicate that although all NYSE firms experience an overall improvement in market efficiency across periods of different tick size regimes, this improvement varies significantly across the portfolios of sample companies formed on the basis of trading frequency, market capitalization, and trading volume. After controlling for these factors, we further document a positive association between a continuous measure of liquidity and market efficiency, and show that this effect is amplified during periods that contain new information, as reflected in high adverse selection component of the bid-ask spread.     

Increasing the Tick: Examining the Impact of the Tick Size Change on Maker‐Taker and Taker‐Maker Market Models

We investigate the effects of an increase in tick size on order and trading flow across market fee models. Using the pilot firms in the U.S. Securities and Exchange Commission's Tick Size Pilot Program, we document that trade and order volume declines on maker‐taker fee models after the tick size implementation. We find that the inverted fee models (taker‐maker) experience an increase in both trade and order volume. Additionally, we find that a tick size adjustment has a substantial influence on market participation in maker‐taker fee models. We also find that measures of both hidden and algorithmic trading decline with an increasing tick size, which is strongly moderated by the differences in the maker‐taker and taker‐maker fee models.     

Insider Trading and the Bid-Ask Spread

This study examines the intertemporal and cross-sectional association between the bid-ask spread and insider trading. Empirical results from the cross-sectional regression analysis reveal that market makers establish larger spreads for stocks with a greater extent of insider trading. The time-series regression analysis, however, finds no evidence of spread changes on insider trading days. These results suggest that although market makers may not be able to detect insider trading when it occurs, they protect themselves by maintaining larger spreads for stocks with a greater tendency of insider trading. The results also reveal that market makers establish larger spreads when there are unusually large transactions. In addition, this study finds that spreads are positively associated with risk and negatively with trading volume, the number of exchange listings, share price, and firm size.     

Decimal Pricing and Information-Based Trading: Tick Size and Informational Efficiency of Asset Price

Abstract:  In this study we analyze the effect of tick size on information-based trading. Although prior studies provide extensive evidence on the effect of tick size on market quality measures such as spreads, depths, and return volatility, there is little evidence as to the effect of tick size on the informational efficiency of asset price. Our results indicate that the probability of information-based trading during the post-decimal period is significantly greater than the corresponding figure during the pre-decimal period. We also show that the increase in information-based trading after decimalization cannot be attributed to concurrent changes in stock attributes. We interpret our findings as evidence that the smaller tick size under penny pricing encourages information-based trading and thereby raises the informational efficiency of asset price.     

Tick size,market structure,and market quality

Large tick sizes imposed on high-priced stocks on the Korea Stock Exchange (KSE) are significant binding constraints on bid-ask spreads. Nearly 60% of quoted spreads are equal to the tick size for stocks with the largest tick size and more than 87% of quoted spreads are equal to the tick size for stocks in the largest size portfolio. We also show that the average spread of KSE stocks with large tick sizes is greater than that of matched NYSE stocks, whereas the average spread of KSE stocks with the smallest tick size is smaller than the corresponding figure for the matched NYSE stocks. We interpret these results as evidence that traders on the KSE are paying large trading costs because of the artificially imposed large tick sizes.     

Trade Disclosure,Information Learning and Securities Market Performance

In this paper we examine the effect of information disclosure on securities market performance when liquidity traders are able to acquire information about inside trading. We show that the bid-ask spread increases with the liquidity trader's learning efficiency, which is greater when trade information is disclosed. The bid-ask spread is always higher when trade information is not disclosed. However, the discrepancy between the bid-ask spreads with and without information disclosure narrows when the learning efficiency increases. We also show that the gains of the informed traders in a market without trade information disclosure are reduced in the presence of the liquidity trader's learning. Nevertheless, liquidity traders do not necessarily benefit from increased transparency. In particular, liquidity traders may face higher trading costs.     

Short-run Returns around the Trades of Corporate Insiders on the London Stock Exchange

Previous work examined the long-run profitability of strategies mimicking the trades company directors in the shares of their own company, as a way of testing for market efficiency. The current paper examines patterns in abnormal returns in the days around these trades on the London Stock Exchange.
We find movements in returns that are consistent with directors engaging in short-term market timing. We also report that some types of trades have superior predictive content over future returns. In particular, medium-sized trades are more informative for short-term returns than large ones, consistent with Barclay and Warner's (1993) 'stealth trading' hypothesis whereby informed traders avoid trading in blocks.
Another contribution of this study is to properly adjust the abnormal return estimates for microstructure (spread) transactions costs using daily bid-ask spread data. On a net basis, we find that abnormal returns all but disappear.     

Liquidity skewness in the London Stock Exchange

We study liquidity on the London Stock Exchange. We find that the average bid-ask spread declines, but that the skewness of the spread increases. These results are robust to firm size, trading volume and price level. Our findings hold when the bid-ask spread is estimated utilising high frequency data. We find that the bid-ask spread prior to earnings announcements dates is significantly higher than that of post earnings announcements, suggesting that asymmetric information has driven the increase in liquidity skewness. We also find that the effect of earnings announcements is more pronounced in the 2007 global financial crisis, consistent with the notion that extreme market downturns amplify asymmetric information. Our overall evidence also implies that increased competition and transparent trading environments limit market makers' abilities to cross-subsidize bid-ask spreads between periods of high and low levels of asymmetric information.     

The optimal bid-ask price strategies of high-frequency trading and the effect on market liquidity

We propose a model for determining the optimal bid-ask spread strategy by a high-frequency trader (HFT) who has an informational advantage and receives information about the true value of a security. We employ an information cost function that includes volatility and the volume of the asset. Subsequently, we characterize the optimal bid-ask price strategies and obtain a stable bid-ask spread. We assume that orders submitted by low-frequency traders (LFTs) and news events arrive at the market with Poisson processes. Additionally, our model supports the trading of the two-sided quote in one period. We find that more LFTs and a higher exchange latency both hurt market liquidity. The HFT prefers to choose a two-sided quote to gain more profits while cautiously chooses a one-sided quote during times of high volatility. The model generates some testable implications with supporting empirical evidence from the NASDAQ-OMX Nordic Market.     

Trading Patterns and Prices in the Interbank Foreign Exchange Market

The behavior of quote arrivals and bid-ask spreads is examined for continuously recorded deutsche mark-dollar exchange rate data over time, across locations, and by market participants. A pattern in the intraday spread and intensity of market activity over time is uncovered and related to theories of trading patterns. Models for the conditional mean and variance of returns and bid-ask spreads indicate volatility clustering at high frequencies. The proposition that trading intensity has an independent effect on returns volatility is rejected, but holds for spread volatility. Conditional returns volatility is increasing in the size of the spread.