2009 2,,, 1 : (1), ; (2) ( DNR GKN),, ; (3),, ; (4) ( DNR GH VAR), ; (5),,, ; (6) ( ), VAR 1 GH DNR MRR GKN VAR LSB Glosten and Harris, 1988 De Jong e

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1 : :,,, :, ;, ; L,, :,, Stoll (1989),,,,, ( Ho and Stoll, 1981),, Bagehot (1971) Copeland and Galai (1983) Glosten and Milgrom(1985),,,,,,,1,, : 3,, :310018, com ;,, :518001, com. cn ;,, :510275, sysu. edu. cn ;, ( , ), 68

2 2009 2,,, 1 : (1), ; (2) ( DNR GKN),, ; (3),, ; (4) ( DNR GH VAR), ; (5),,, ; (6) ( ), VAR 1 GH DNR MRR GKN VAR LSB Glosten and Harris, 1988 De Jong et al., 1996 Madhavan et al., 1997 George, et al., 1991 Hasbrouck, 1991a, b Lin et al., 1995,, (De Jong et al., 1996 ; Ahn et al., 2002 ),,(Madhavan, 1997),U (Ahn et al., 2002) Stoll (2000),, :,, Ahn et al. (2002) Ahn et al. (2005),Stoll (2000) (2002), : (2002) (2006) (2006) LSB ; (2004) George et al. (1991) ; (2004) (2006) MRR (2006) Chan (2000) 50,, (2006) A, 180,DNR GH,, 69

3 : :, ; ; L, : DNR,,,;, DNR GH,,GH,, ;,, ;,, DNR(De Jong et al., 1996) GH( Glosten and Harris, 1988),,DNR ( ) DNR DNR R ( q) q C ( q) ( Glosten,1994), R ( q) C ( q) q E z [ e ( z) z q ],E z z, e ( z) z e ( z) e ( z) = e 0 + e 1 z z F z = 1 - e - qπa, E z [ e ( z) z q ] = e 0 + e 1 ( q + ), log(2) : R ( q) = C ( q) + e 0 + e 1 ( q + ) (1) C( q)πq : = c 0 + c 1 q, (1) q : R ( q)πq = c 0 + c 1 q + ( e 0 + e 1 ) + 1Π2 e 1 q = R 0 + R 1 q (2) R 0 = c 0 + e 0 + e 1 R 1 = c 1 + (1/ 2) e 1, () ( e 0 + e 1 ) + (1/ 2) e 1 q c 0 + c 1 q P t = y t + ( R 0 + R 1 q 1 ) Q t + u t, ( y t ),u t q t Q t ( Q t = 1, Q t = - 1) t, : P t +1 = P t +1 - P t = [ y t +1 + ( R 0 + R 1 q t +1 ) Q t +1 + u t +1 ] - [ y t + ( R 0 + R 1 q t ) Q t + u t ] = {[ y t + ( e 0 + e 1 q t ) Q t + t +1 ] + ( R 0 + R 1 q t +1 ) Q t +1 + u t +1 } - [ y t + ( R 0 + R 1 q t ) Q t + u t ] = ( R 0 + R 1 q t +1 ) Q t +1 + ( e 0 + e 1 q t ) Q t + e t +1 (3) y t :q t y t + 1 = y t + ( e 0 + e 1 q 1 ) Q t 70 + t + 1, t + 1 t t + 1

4 e t + 1 = t u t + 1,DNR : P t = + R 0 Q t + R 1 ( q t Q t ) + e 0 Q t e t q t Q t u t (4), c 0 + c 1 q,c 0 = R 0 - e 0 - e 1 c 1 = R 1 - (1Π2) e 1 ; ( R 0 - c 0 ) + ( R 1 - c 1 ) q t () 2 ( c 0 + c 1 q t ) + ( ( R 0 - c 0 ) + ( R 1 - c 1 ) q t ), ( ) GH GH( Glosten and Harris, 1988),,,: P t = + c 0 Q t + c 1 ( q t Q t ) + z 0 Q t + z 1 q t Q t + u t (5) P t Q t q t DNR GH, z 0 + z 1 q t, c 0 + c 1 q t,() 2 ( c 0 + c 1 q t ) + ( z 0 + z 1 q t ) ( ) , , ( B S ) 35 CSMAR : (1) (9 :30 11 :30 13 :00 15 :00) ; (2) ; (3) 2 ( ) (N = 180) (N = 45) (N = 90) (N = 45) ( ) (10 6 ) (10 6 ) (10 6 ) (10 6 ) ( ) ( ) ( ) ( %) ,,

5 : ( ), ( ),,,, 75 % 25 %, ; , ; ,546, 4871 ; ; , %, , , , , , , , 2, , % % 0133 %,,,, () 3,,,U U, U L,, L L 3 9 :30 10 :00 10 :00 10 :30 10 :30 11 :00 11 :00 11 :30 13 :00 13 :30 13 :30 14 :00 14 :00 14 :30 14 :30 15 :00 ( ) (10 6 ) (10 6 ) (10 6 ) ( ) ( ) ( ) ( %) DNR GH, 1 4A,,, De Jong et al 72

6 (1996) :,99 %, (Hausman et al., 1992) ;,(NMS :normal market size), NMS (the median transaction size) ; OLS, Neway and West (1987) DNR 4B, q = 0 015NMS 1NMS 2NMS,,q = 0 : 4 DNR A GH R 0 R 1 e 0 e 1 c 0 c 1 z 0 z 1 (N = 45) (N = 90) (N = 45) ( ) ( ) ( ) ( ) ( ) (010258) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) B ( ) (010207) ( ) ( ) ( ) ( ) ( ) ( ) ( ) q = 0 q = 015 q = 1 q = 2 q = 0 q = 015 q = 1 q = ( %) ( %) ( %) ( %) ( %) ( %) ( %) ( %) ( %) :A ( ) Neway and West B ; ; q NMS(normal market size) 73

7 : 11,q NMS,DNR , % % % %, , GH, () Easley and O Hara (1987) :,, Lin et al. (1995) De Jong et al. (1996) Ahn et al. (2002) 21 GH : q NMS, , % % % %,,,, GH,,Glosten and Harris (1988) De Jong et al. (1996) Ahn et al. (2002), :, ( ),, ( ),,,,1, 2,013 %,,,, :,,, (De Jong et al.,1995) ;,,,,, (Stoll,1989),,,,,,,,,,, 31, q = 0,GH DNR ;q = NMS,GH DNR De Jong et al. (1996) DNR GH : q < 2( ) GH DNR, q > 2 ( ) GH DNR 74

8 ,,,,, 6,,,,,,20 2, ,,, 015 % 215 %, (), (NMS) : 11 5 DNR, % % %, , () GH 6A, DNR GH 1 %, B (1),5 % 10 %, 5 DNR GH ( %) ( %) ( %) ( %) 25 % 75 % % % 75 % % % % : 0101, 1 75

9 : 21 Dufour and Engle (2000) Pascual et al. (2004), Ahn et al. (2005),,,,, 5,, DNR GH, 6A,,,,, (1) (2), 6B,,,,, Ahn et al. (2005),, ( Easley and O Hara,1987) 6 A. DNR GH ln(adv) ln(s) ln(p) ln(mkv) ln(vol) ln(n) ln(msiz) ln(adv) ln(s) ln(p) ln(mkv) ln(vol) ln(n) ln(msiz) B. DNR GH t t t t ln(s) ln(p) ln(mkv) ln(vol) ln(n) ln(msiz) cons Adj R2squared : (1) ln(adv) ln(s),ln (p) ln(mkv),ln(vol) ln(n) ln(msiz) - cons (2) % 5 % 1 % 76

10 A DNR, % % %, , GH DNR 6A, DNR GH 6B, 1 %, 41 5, DNR % % %, GH % % %,, (,), 6A,1 %,013689, 5 6A, 6B, 1 %,,,, (), 5, GH ,DNR , 1,,,, (2004) (2006),,MRR,,, Merton (1987) Stoll (2000) Ahn et al. (2002) Ahn et al. (2005) Merton (1987),,, Stoll (2000) :,,,; Ahn et al. (2002) Ahn et al. (2005) Stoll (2000) DNR GH,30,, 7 1NMS L DNR GH,,, L, L,,,,, () L, (2006) MRR,, 77

11 : L,,,, (2006) LSB, U L,,LSB, 7 9 :30 10 :00 10 :00 10 :30 10 :30 11 :00 11 :00 11 :30 13 :00 13 :30 13 :30 14 :00 14 :00 14 :30 14 :30 15 :00 DNR ( %) ( %) ( %) GH ( %) ( %) ( %) : 0101 U DNR GH,,,, U U,, L,, U,,,, LDNR GH,,,L L, L,, DNR GH,,, : 78

12 ,,,, : ( ), 21,,,,,,, ;, 31 L,,,, : (1),,,,,,, (2),,,,, (3) 0101,,,, (4),,,,,,,2006 :, 7,2006 :,5,2006 :, 2,2006 :,6,2004 :,3,2002 :,1,2004 :,2,2006 :, 3,2002 : :, 11 Ahn, H.J., Cai, J., Hamao, Y. and Ho, R., 2002, The Components of the Bid2ask Spread in a Limit2order Market : Evidence from the Tokyo Stock Exchange, Journal of Empirical Finance, 9 : Ahn, H.J., Cai, J., Hamao,Y. and Richard Y. K. Ho, 2005, Adverse Selection, Brokerage Coverage, and Trading Activity on the Tokyo Stock Exchange, Journal of Banking & Finance, 29 : Bagehot, W. ( pseudonym for Jack Treynor ), 1971, The Only Game in Town, Financial Analysts Journal, 27 : Chan, Y. C., 2000, Adverse Selection, Inventory cost and Market Depth : An Empirical Analysis of Intraday Price Movement in the Stock 79

13 : Exchange of Hong Kong[D]. The Hong Kong University of Science and Technology. Copeland, T. C. and Galai, D., 1983, Information Effects of the Bid2ask Spread, Journal of Finance, 38 : De Jong, F., Nijman T. and Roell, A., 1996, Price Effects of Trading and Components of the Bid2ask Spread on the Paris Bourse, Journal of Empirical Finance, 3 : De Jong, F., Nijman, T. and Roell, A., 1995, A Comparison of the Cost of Trading French Shares on the Paris Bourse and on SEAQ International, European Economic Review, 39 : Dufour, A and Engle, R. E., 2000, Time and the Price Impact of a Trade, Journal of Finance, 55 (6) : Easley, D. and O Hara, M., 1987, Price, Trade size, and Information in Securities Markets, Journal of Financial Economics, 19. George, T., Kaul, G. and Nimalendran, M., 1991, Estimation of the Bid2ask Spread and its Components : A New Approach, Review of Financial Studies, 4 : Glosten, L. and Harris, L., 1988, Estimating the Components of the Bid2ask Spread, Journal of Financial Economics, 21 : Glosten, L. and Milgrom, P., 1985, Bid, Ask, and Transaction Prices in a Specialist Market with Heterogeneously Informed Agents, Journal of Financial Economics, 14 : Glosten,L., 1994, Is the Electric Open Limit Order Book Inevitable?, Journal of Finance, 49 : Hasbrouck, J., 1991a, Measuring the Information Content of Stock Trade, Journal of Finance, 46 : Hasbrouck, J., 1991b, The Summary Informativeness of Stock Trades : An Econometric Analysis, Review of Financial Studies, 4. Hausman, J., Lo, A. W. and MacKinlay, A. C., 1992, An Ordered Probit Analysis of Transaction Stock Prices, Journal of Financial Economics, 31 : Ho, T. and Stoll, H. R., 1981, Optimal Dealer Pricing under Transactions and Return Uncertainty, Journal of Financial Economics, 9. Lin, J. C., Sanger, G. and Booth, G. G., 1995, Trade Size and Components of the Bid2ask Spread, Review of Financial Studies, 8. Lind, D. A., William G. M. and Robert D. M., 2002, Statistical Techniques in Business and Economics, MaGraw2Hill, Irwin. Madhavan, A., Richardson M. and Roomans, M., 1997, Why do Security Prices Change?A Transaction2level Analysis of NYSE Stocks, Review of Financial Studies, 10 : Merton, R., 1987, A Simple Model of Capital Market Equilibrium with Incomplete Information, Journal of Finance, 42 : Newey, W. and West, K., 1987, A Simple, Positive Semi2definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix, Econometrica, 55 : Pascual, R., Escribano, A. and Tapia, M., 2004, Adverse Selection Costs, Trading Activity and Price Discovery in the NYSE: An Empirical Analysis, Journal of Banking and Finance, 28 : Stoll, H., 1989, Inferring the Components of the Bid2ask Spread : Theory and Empirical Tests, Journal of Finance, 44 : Stoll, H., 2000, Friction, Journal of Finance, 55 : A Study on the Adverse Selection Cost of Chinese Stock Exchange He Chengying 1, Lu Zonghui 2, He Xingqiang 3 and Cai Jun 4 (1. Zhijing Univerasity of Finance & Economics, 2. Guosen Securities Co.,Ltd ; 3. Lingnan College, Sun Yat2sen University ; 4. Department of Economics and Finance, City University of Hong Kong) Abstract :For the first time, employing a model of components of bid2ask spread for order2driven market, this paper decomposes the bid2ask spread of Shanghai Stock Exchange into adverse selection and order processing cost components, investigates the relationship between the components of bid2ask spread and order size, extensively examines the impacts of firm size, price, trading activity, and volatility on adverse selection cost, explores the intraday pattern of adverse selection cost and information2based trading. Results obtained show that the adverse selection cost increases with trade size, the order processing is generally not characterized with scales of economics. With stocks of large firms, high2priced, large trading volume, and wide coverage, their adverse selection costs are relatively low. The adverse selection cost increases with a stock s price volatility. Moreover, we find that the adverse selection component of the bid2ask spread exhibits a L2shaped intra2day pattern, which implies that the relatively heavy trading just after open is dominated by information2based trading, whereas the heavy trading just before close dominated by liquidity trading. These findings suggest important policy implications for the development of stock market. Key Words :Liquidity ; Bid2ask Spread ; Adverse Selection Cost ; Order Processing Cost ; Information2based Trading JEL Classification :C14, G15 80 ( : ) (: )

Microsoft Word - A201302-143_1361686654.doc

Microsoft Word - A201302-143_1361686654.doc 5 10 15 20 大宗交易的价格效应 : 信息泄露还是价格操纵? # 黄张凯, 洪洁瑛, 王浩 ( 清华大学经济管理学院, 北京 100084) 摘要 : 本文运用事件研究的方法分析大宗交易的价格效应与过去的研究不同, 本文将分析拓展到交易前的价格