订单驱动机制下买卖价差构成分析——兼论以买卖价差度量流动性的可靠性

买卖价差是金融市场微观结构理论研究的重要组成部分。在报价驱动交易机制下,买卖价差由指令处理成本、存货成本和非对称信息成本构成。而在订单驱动交易机制下,若不考虑订单处理成本,买卖价差则主要取决于投资者对资产预期价值的差异、买卖双方投资者间的比例和逆向选择成本。经研究发现,买卖价差随投资者对资产预期与逆向选择成本的增加而增加,当买卖双方力量对比相当时,买卖价差达到最大;而在单边买方或卖方市场,买卖价差则达到最小,这一点与通常对流动性的理解是相矛盾的。由此,在订单驱动机制下,以买卖价差作为流动性度量指标是不可靠的。

The Components of Bid-ask Spread in Order-driven Market

Bid-ask spread is one of the most important theories of financial market microstructure.In a quote-driven market,bid-ask spread is composed of order processing costs,stock holding costs and asymmetric information cost.But in an order-driven market,the bid-ask spread is determined by the differences in valuation among the groups of investors,the proportions of buyers and sellers and adverse selection costs if the order processing costs are not considered.The spread widens as the difference in valuation and adverse selection costs increase.It is at a maximum degree when the proportion of buyers and sellers is equal and at a minimum degree when investors are predominantly in buyers or sellers,and contradict the theory of liquidity.As a result,it is not accurate that the bid-ask spread acts as the measure of liquidity in the order-driven market.