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31.
This study examines the impact of trade characteristics on stock return volatility. Using a sample of transaction data from the Australian Stock Exchange, the trading frequency of medium sized trades is found to have the greatest impact on stock return volatility. The result lends support to the stealth trading hypothesis (Barclay and Warner, 1993). After controlling for trading frequency, the average trade size is found to have little explanatory power on price volatility. Stock return volatility is more sensitive to buyer‐initiated trades than seller‐initiated trades, especially so for buyer‐initiated medium sized trades. This finding is consistent with the assertion that information effects are stronger for buys than for sells (Chan and Lakonishok, 1993). 相似文献
32.
We investigate the low prices preferences and the optimal relative tick size hypotheses, as possible explanations of the stock split execution effects in a pure order-driven and multi-tick market. Using intraday data for the Spanish Stock Exchange during 1997-2001, we find that stock splits do not improve liquidity but do change trading composition. Following splits, small trades from retail investors increase significantly, especially in the larger stock splits. However, we find that this effect seems to disappear with the new tick-size rules adopted by Spanish market in 1999. We extend the optimal relative tick size hypothesis for a multi-tick market by considering the effects of stock splits on the absolute tick size. We observe that the increase in small trades occurs only in those splits that increase the relative tick and decrease the tick-size simultaneously. Our findings suggest that small investors are attracted by stock splits that cause an absolute tick-size reduction, which are those with relatively lower transaction costs.JEL Classification:
G19, G32, G35We thank two anonymous referees and the editor, J.M. Campa, for their comments and for providing us very helpful guidance on how to improve the paper. The authors gratefully acknowledge financial support from the Dirección General de Investigación del Ministerio de Ciencia y Tecnología, grant BEC2002-03797. A first version of this study has been published in the working paper series of the Instituto Valenciano de Investigaciones Económicas, IVIE. Any remaining errors are the authors responsibility. 相似文献
33.
We investigate the impact of trading halts of NYSE-listed stocks on informationally related securities that continue to trade during the period of the halt. Informational relationships are established for companies in the same four-digit SIC industry based on the correlation of returns, volume, volatility, and the adverse selection components of spreads. We find a significant liquidity impact on informationally related securities with spreads and price impact of trades having substantial increases. However, we also find that quoted depths, the number of trades, and trade volume significantly increase. Our results are consistent with the trading halt model of Spiegel and Subrahmanyam [2000. Asymmetric information and news disclosure rules. Journal of Financial Intermediation 9, 363–403] and with the informed trading model of Tookes [2008. Information, trading, and product market interactions: cross-sectional implications of informed trading. Journal of Finance 63, 379–413]. In addition, our results indicate that there is a common liquidity response of informationally related securities to firm-specific trading halts. 相似文献
34.
中国股票市场微观结构的特征分析——买卖报价价差模式及影响因素的实证研究 总被引:39,自引:1,他引:39
本文根据股票市场微观结构理论 ,运用高频数据对我国深圳股票市场的买卖报价价差的变动模式进行实证分析 ,同时研究股票买卖报价价差的影响因素和成因 ,并建立和检验相应的模型 ,从而揭示我国股票市场的微观结构特征。 相似文献
35.
本文利用上证180指数成份股票的高频数据计算隐性交易成本.探讨其与资产定价的关系。研究结果发现:1、隐性交易成本与换手率、规模和收益率都存在着明显的线性负相关关系。在股票收益率下降时期,隐性交易成本很可能通过流动性深度成本间接影响股票收益率。2、较之隐性交易成本,规模因素与换手率因素对收益率的影响有着更好的测度性,因为这两个因素与流动性深度成本也有着显著相关性。3、隐性交易成本与规模因素整体上是线性负相关关系.分段上的关系则很可能是凹函数与凸函数的组合。 相似文献
36.
信息性交易概率分解与买卖价差研究 总被引:3,自引:0,他引:3
本文首先将信息性交易概率(PIN)分解为个股信息性交易概率(PINID)和市场信息性交易概率(PINM):利用2003年7月至2004年6月高频分笔数据,计算出上证50样本股的周PINID.发现PINID在PIN中占有大部分的比重,得到样本股的平均PINID为0.1052。其次,本文运用非参数检验验证了随着成交量增加,PINID显著减小。最后,在考虑PIN和PINID下,对买卖价差的影响因素进行研究。研究表明,虽然PIN对买卖价差有着显著的正向影响,但仅其中的PINID部分才是决定因素。这也验证了PIN分解的意义。此外,波动率和流通股比例均对买卖价差有着显著的正向影响,而股票价格、成交量和换手率的影响则不显著。 相似文献
37.
在沪深300指数期货上市之前.新加坡交易所已抢占内地市场指数资源,推出新华富时A50指数期贵合约。在此背景下.以台湾期货交易所(本土)台股期货与新加坡交易所(异地)摩根台指期货为案例,通过回顾海外异地上市合约与本土合约之间的竞争关系,探索异地市场与本土市场竞争性共存的格局演变,及市场定价权争夺中的微观结构因素,以期为沪深300指数期货提供借鉴。 相似文献
38.
By using high frequency financial data, we nonparametrically estimate the spot volatility at any given time point, while the simultaneous presence of multiple transactions and market microstructure noise in the observation procedure are considered. Our estimator is based on the summation of the locally ranged increments, while kernel smoothing give us spot volatility. Besides, the microstructure noise can be estimated and removed, if it is modeled as bid-ask spread, which is a frequently used assumption. The consistency and asymptotic normality of the estimator are established. We do some simulation studies to assess the finite sample performance of our estimator. The estimator is also applied to some real data sets, further, the relationship between multiple records and spot volatility is also explored. 相似文献
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A securities market that imposes higher trading costs on small-volume traders may reduce free-riding on information generated by large-volume traders. The reduction in free-riding increases the probability that large-volume traders will invest in socially beneficial information and engage in costly monitoring of managers of firms in their portfolio.V arious mechanisms can be used to impose costs on small-volume traders.We argue that Nasdaq's former treatment of limit orders was one such mechanism. Depending on the market's structure and the nature of the securities traded in the market, a reduction in freeriding activity may improve overall market efficiency despite a potentially negative impact on information dissemination. 相似文献