| 电子指令驱动市场上的交易持续期与知情交易的相互关系研究 |
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| 引用本文： | 黄杰鲲.电子指令驱动市场上的交易持续期与知情交易的相互关系研究[J].南方经济,2006(1):5-21. |
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| 作者姓名： | 黄杰鲲 |
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| 作者单位： | Carroll School of Management,Boston College |
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| 基金项目： | 国家自然科学基金;面向21世纪教育振兴行动计划(985计划);国家社会科学基金;广东省高校人文社会科学基金 |
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| 摘 要： | 微观结构文献和实证模型对于交易强度（交易持续期的倒数）与知情交易之间的关系的预测是相互矛盾的。本文试图建立一个研究该问题的实证框架，并采用上海股票市场交易数据进行实证研究。本文的主要发现是：（1）基于利好消息的交易通常会使交易强度增大，而基于利空消息的交易通常会导致较长的交易持续期；（2）较长的持续期会导致价格下跌和较低的波动率；（3）在较低频率数据（如日数据、周数据或月数据）中普遍存在的杠杆效应在本文采用的交易数据中被拒绝。
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| 关 键 词： | 自回归条件持续期(ACD)模型 UHF-GARCH模型 非对称设定 |
| 文章编号： | 1000-6249（2006）01-0005-017 |
Intertrade Duration and Information-Based on an Electronic Order-Driven Market |
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| Jiekun Huang.Intertrade Duration and Information-Based on an Electronic Order-Driven Market[J].South China journal of Economy,2006(1):5-21. |
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| Authors: | Jiekun Huang |
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| Institution: | Carroll School of Management,Boston College |
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| Abstract: | Mierostrueture literature and empirical models offered conflicting prediction regarding the relationship between trading intensity and information-based trading. In this paper, I undertake an empirical investigation that is motivated by this conflicting theory. Firstly, I develop an asymmetric specification that attempts to capture the asymmetric effect of good news and bad news on intertrade durations. One interesting point that emerges from the analysis is that good-news-based trading will generally lead to increased trading intensity, while bad-news-based trading will generally contribute to longer durations. Then I ask whether long durations are associated with bad news. It turns out that long durations will lead to declining prices and low volatility; moreover, the commonly assumed leverage effect is rejected at the transaction data level. |
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| Keywords: | ACD model UHF-GARCH model microstructure trading intensity information-based trading volatility asymmetric effect Shanghai Stock Exchange (SSE) |
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