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1
2 1 1
3 Madhavan000 Glen(1994) (Levine1991)
4 3
5
6 (Price and Time Prioriy) 5
7 6 ( ) 1 3
8 7 Kyle :1 Breadh Widh (Deph) (Order Book) 3 Resiliency 4 (Immediacy) Harris(1990) (Immediacy)
9 marke s resiliency Harris P, b P m Vb P a Va ( P P ) 1 P = + a b P a P b ( Pa P P b a + P P Pm = ) m P P m P Pm P V P + V P a a b b b Va Pa + VbP 3 i= 1 b % %
10 % 15.34%; 0.17% 0.0% 1.07% 7.4% 0.05% (0.088%) 449.1%000 (59.3%) (43.0%) (LOB) (Hybrid(LOB+MM)) MM
11 1.74% 0.81% 17.0% 1.47% 0.84% 3.4% 0.61% 0.8% 57.4% 0.96% 0.41% 33.4% 0.85% 0.55% 34.4% 1.76% 0.78% NA 1.00% 0.70% 137.9% 0.48% 0.8% 97.6% 10.89% 3.97% 18.6% 1.30% 0.61% NA 7.34%.67% 43.9% 1.36% 0.65% 98.% 0.54% 0.5% NA 4.35% 1.74% 19.5% 0.17% 0.088% 449.1% 1.97% 1.00%.9% 3.08% 1.37% NA 1.15% 0.50% 66.0% 3.66% 1.31% NA 0.65% 0.35% 81.3% 1.50% 0.86% 81.% 5.38% 3.% NA 4.53%.03% NA 0.85% 0.41% 58.5% 1.00% 0.48% 63.7% 0.77% 0.36% NA 0.40% 0.5% 71.9% 0.51% 0.5% 73.9% 0.91% 0.38% 18.6% 0.68% 0.34% 97.6% 0.74% 0.74% 65.0% 0.43% 0.% 86.5% 0.59% 0.8% 60.9% 0.35% 0.18% 59.3% 4.55% 1.4% NA 1.17% 0.59% 54.5% 0.81% 0.35% NA 0.88% 0.4% 69.3% 6.01% 3.6% 37.% 15.34% 7.4% NA 1.90% 1.0% 0.5% AMEX 1.78% 0.65% NA 0.95% 0.4% 39.8% 0.0% 0.05% 87.7% 0.7% 0.46% 130.5% 0.41% 0.6% 383.9% 0.80% 0.36% 58.8% 5.87% 3.31% NA 0.38% 0.19% 43.0%.3% 1.07% NA 6.39%.74% NA.95% 13% NA :Pankaj Jain (00)Insiuional Design and Liquidiy a Sock Exchanges around he World;.05%.98% 0.93% 0.47% 10
12 (LOB).05% 0.98% 0.93% 0.47% 3.06% 1.45% MM 4.6%.07%.16% 1.01% 7.45% 3.8% (LOB+MM) 1.64% 0.71% 0.91% 0.48%.81% 1.08% Pankaj Jain (00)Insiuional Design and Liquidiy a Sock Exchanges around he World 7 11
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19 : ( 8000 ) ( 1.5 ) 18
20 19 (4) 1 16 (5)
21 0 (ick size) : (1) () Demsez(1968) (3) (4) negoiaion coss ( 4.1) 41 : (NYSE)
22 Berand (Anshuman Kalay(1998)Bernhard Hughson(1996)Kandel Marx(1996)) Brown LauxSchacher1991CordellaFoucaull(1996) Paymen for order flow Chordia Subrahmanyam(1995)Baalio Holden(1996) 1
23 Seppi1997Harris(1994) (inra-da daa) 10 Peake(1993)Har(1993)Ricker( ) 1/8 quoed spread Harris(1994)NYSE AMEX 1/8 1/ % 30% 15% Harris Harris( )) Bacidore(1997) Porer Weaver(1997) GoldseiKavajecz (1999)Jones Lipson(1999) Harris( ) NYSE AMEX Harris(1994)NYSE bid/ask spread SSE Niemeyer Sandas(1994) /8 1/16 Goldsein
24 Kavajecz(000) /8 1/16 38% 15% /8 1/ ~0 17.9% 0 16.% 13.9%1.4% AhnCao Choe(1996) ~5 1/8 1/ %1995 5~10 1/8 1/16 ChakravaryWood(000) % 38% quoe frequency 54% 19%5% Bacidore(1997) / Ricker(1997) 1.7 Niemeyer(1997)
25 4 Harris(1994)NYSE Niemeyer 4-
26
27 6
28 7 5
29 AdmaiPfleiderer(1988) Foser Viswanahan(1990) (40 ) ( ) L L N 50% 9:30 10:30 10: :
30 9 1 ( ) L L 3 N
31 Spread i = 0 + γ1sdi + γ Pr icei+ γ 3Voli + γ 4Turnoveri + γ 5 γ Quaniy + δ Spread i Sd Price Vol Turnover Quaniy ( ) r j γ = j S ( rj ) j=0,1,,3,4,5 (5-) N 30 i i (5-1)
32 5-1 1 γ 0 γ 1 51 γ γ γ 3 4 γ R DW E-03 (6.45) 9.04E-03 (4.589 ** ) -5.08E-6 (.81 ** ) -4.6E-8 (0.93) 7.05E-4 (0.5) -4.56E-8 (7.55 ** ) L- L Brock Kleidon(199) (Soll1978;HoSoll1981) (CopelandGalai1983;GlosenMilgrom1985) (informed raders) ( ) 31
33 Lin Sasnger Booh(1995) (bid-ask spread) : Q λ + 1 = z + e +1 (5-3) Q (bid) (ask) (midpoin) 1 Q = ln ask ( bid + ) z ( ) p Q z = ln p Q λ e % λˆ> (Soll1989) (BrockmanChung1999) 100 (λˆ) (λˆ 5 ) F- Kruskal-Wallis - Wilcoxon (Wilcoxon rank sum es) 3
34 5 - R λˆ λˆ- 3.30(1.6) λˆ> (95.00%) 5-3 λ quariles λ λ : Deph 4 = + β1vol + β var + β3 price + k= α δ quarile + ε k k, (5-4) Deph 10 vol var quarile vol var price quarile k k quarile F- k 33
35 54 λ - α Vol *** β Var β Price β quarile δ quarile3 δ quarile4 δ *** R F H 0 : δ = δ 3 F-: ; H 0 : δ 3 = δ 4 F-: ; H 0 : δ = δ 3 = δ 4 = 0 F-: Whie 3. *** ** * 1%5%10% 6 (Transacion coss) 34
36 Madhavan1995 informaion-based rading adverse selecion (ime-of-he-day) Marke impac is he financial analog of he Heisenberg uncerainy principle LaknonishokShleiferVishny(199) Malkiel(1995) LaknonishokShleiferVishny(199) Acive equiy managers S&P500 1%% Jack Treynor Madhavan Smid(1991) Hasbrouck1991ab Glosen Harris(1988)Brennan Subrahmanyam(1995) 35
37 (Trading aciviys) buyer-iniiaed seller-iniiaed Lee Ready(1991) Lee Ready(1991) p (bid) (ask) (midpoin) pm p p m p pm p p m Glosen Harris P = λ q 1 + γ 1 + ( q q 1 ) + ω( D D ) βq p = p p 1 p q q buyer-iniiaed q seller-iniiaed q D D =1 D =-1 Q = = q i m i 1 m q Q q 36
38 ε (public informaion shock) 6-1 λq 1 λ γ ω bid-ask spread β 6-1 Ordered Probi Hausman SAS 61 λ λ 0.01 (1) () ( ) λ 100 λ > γ 37
39 λ γ ω β *** * : *** ** * 1%5%10% 100 probi 100 Glosen Harris(1988)Brennan Subrahmanyam(1995) 1MKTCAP: TURN : 3AVGP 4NOISE. MKTCAP 000 TURN AVGP NOISE (6-1) ordered probi P 38
40 q 1 ( q q ) ( D D ) 1 1 Q. Y.C.Chan(000) ( q ) q 1 0( D D 1) 0Q Q. q (Expeced Price Changes) EPC EPC EPC i = α + β1 MKTCAP + β TURN + β 3AVGP + β4noise + ε i 6 ECP i λ iqi + βqi λ i q i Q i i Q Q = 1 m i Q i, m = 1 6- R D-W 39
41 DW ( e e ) n = 1 = n e = MKTCAP TURN NOISE 7 icksize q 1 R : (1) *** ** * 1%5%10%(3) F (4.9733) (-3.375) (-3.978) (17.506) (-0.753) * (3.5106) ( ) ( ) (5.4104) ( ) (5.5671) (-4.904) ( ) (0.505) (-0.639) ( ) (-.9643) (-3.805) ( ) ( ) (7.399) (-3.669) ( ) ( ) ( ) (3.785) ( ) ( ) (14.480) ( ) (4.1431) ( ) ( ) ( ) (-4.77) 40
42 ordered probi dummy variables (51) 9:30-10: λ ( 5 10 ) γ ( 5 10 ) ω β ( 6 10 ) 9:30-10: :00-10: :30-11: :00-11: :00-13: :30-14: :00-14: :30:15: : *** ** * 1%5%10% 100 probi
43 6 6-4 λ γ λ 80% 6-5 q 1 λ γ ω β 9:30-10:00 *** λ >γ :00-10:30 *** λ >γ 96 10:30-11:00 *** λ >γ :00-11:30 *** λ >γ 94 13:00-13:30 *** λ >γ 99 13:30-14:00 *** λ >γ 98 *** 14:00-14:
44 λ >γ 98 14:30:15:00 *** λ >γ 100 *** L Y.C.Chan(000) De Jong (1996) Paris Bourse 43
45 specialiss NYSE Madhavan Smid(1991)NYSE NYSE NYSE (AMEX) BrennanSubrahmanyam(1995) Hasbrouck(1991ab) NYSE AMEX NYSE NYSE L Hasbrouck1991Lin 1995Madhavan q 1 (%) 9:30-10: % 10:00-10: % 10:30-11: % 11:00-11: % 13:00-13: % 13:30-14: % 14:00-14: % 14:30:15: % 44
46 Glosen-Harris
47 T1 15 9:30~9:45 T 9:45~11:15 T :15~11:30 T :00~13:15 T5 13:15~14:45 T :45~15:00 T3 T4 T T5 1 Vol 15 46
48 Sd 3 Range 15 4 Rg/Vol A
49 T3 T T T5 T1 T6 T4 T A 15 T1~T6 48
50 A T3 T T T5 T1 T6 T4 T5 T4 49
51 A
52 T3 T T T5 T1 T6 T4 T5 T A 15 T1~T6 Rg/Vol T1 T T3 T4 T5 T6 1.1E E E E E E-08 A.05E-07.37E-07.48E E E E E E E E E E E-05.83E-05.6E E-05.0E E E E E E E E E-05.6E-05.31E E-05.3E E E E E E E E E E E E E-05.6E E-05.17E E E-05.30E E E E E E E E-06 51
53 T1 T T6 T5 T
54 1 (Call Marke) (1) () (3) (Marke Clearing Price) (Coninuous Marke) Amihud Mendelson(1987) 30 ( ) ( ) Soll Whaley(1990) 1 18 hp:// 53
55 Amihud Mendelson(1991) AmihudMendelson Lauerbach(1997) % (001) 10 Amihud Mendelson(1987) ( ) P* P P P* (Iayose) (Zaraba) hp:// 54
56 P = P U (8-1) U r r = ln P ln P 1 = ln P + ln U ln P 1 ln U 1 e = ln P ln P 1 u = ln U r e + ( u u ) 1 (8-) = e e e u ( ) (8-) σ r ) σ ( e ) + σ ( u u ) + cov( e, u u ) (8-3) ( = 1 1 σ ( ) σ ( ) r σ u u ) + cov( e, u u ) σ ( r ) σ ) σ ) ( r o, ( r c, ( 1 1 (Open-o-open Reurn) (Close-o-close Reurn)(4-3) e σ σ ( r ( r o, c, ) σ = ) σ ( e ( e o, c, ) + σ ) + σ ( u ( u o, c, u u o, 1 c, 1 ) + cov( e ) + cov( e o, c,, u, u o, c, u u o, 1 c, 1 ) ) (8-4) e c (e o ) -1 ( ) ( ) u c (u o ) ( ) 55
57 σ ( ro, ) σ ( eo, ) = σ ( ec, ) σ ( r ) σ ( ro, ) > 1 σ ( r ) c, c, -1-1 r o, rd, 1 + rn, = (8-5) r c, rd, + rn, = (8-6) r d r n σ σ ( r ( r o, c, ) ) σ ( r = σ d, 1 ( rd, ) + σ ) + σ ( r ( r n, n, ) + cov( r ) + cov( r d, 1 d,, r, r n, n, ) ) (8-7) σ ( r σ ( rd, 1) = σ ( rd, ) σ ( r o, c, ) ) cov( rd, 1, n, ) r cov( r, r ) d, n, ( 1 )
58 σ σ ( r ( r o, c, ) > 1 cov( r d, 1, rn, ) > cov( rd,, rn, ) ) σ ( ro, ) < 1 σ ( r ) c, (1 5 ) σ ( ro, ) > 1 σ ( r ) (001) (4-4) c,
59 (4-7)
60 59 AmihudMendelson Lauerbach(1997) (Call MarkeBach Open) (Inermediaed Open) NYSE NASDAQ NYSE (Marke Clearing Price) Globex
61 (Torono Sock Exchange) (Paris Bourse) Globex (Indicaive Opening PriceIOP) ( COPCalculaing Opening Price) Coppejans & Domowiz(1999) (1) () (1) (3) (1) (4) ()(3) (5) 60
62 9 ( ) (Discreeness) ( ) (Skewness) (Kurosis) % 5 ( )
63 NYSE NASDAQ 1/8 Golieb Kalay(1985)Ball(1988)Cho Frees(1988) Crack Ledoi(1996) (-Hisory) (Compass Rose) ( ) ( 05) (41) (Clusering)( 9-1 ) Osborne(196)Niederhoffer( ) Harris(1991) KandelSarig Wohl(001) 6
64 (R R +1 ) ( +1 )
65 ( +1 ) Crack Ledoi(1996) (Compass Rose) R+ 1 ( P + 1 P ) / P ( P + 1 P )/ P 1 P + 1 n + 1 R = = = (9-1) ( P P ) / P ( P P )/ P P n (R R +1 ) (n n +1 ) Golieb Kalay(1985)Ball(1988)Cho Frees(1988) Godek(1996) NASDAQ 1/8 ( /8 4/8 6/8 0/8 ) 1/8 ( 1/8 3/8 5/8 7/8 ) Barclay(1997) Hasbrouck(1999a1999b) 15 U
66 P Pˆ P Pˆ (A) (Round) 1 1 P ˆ = { n n P < n } + (9-) (B) (FloorRounded Down) P ˆ = { n n P < n + 1} (9-3) (C) (CeilingRounded Up) Pˆ = { n n 1 < P n} (9-4) n P P dp = µ Pd + σpdb (9-5) b ( 0, ) P 1 P( ) = P(0)exp{ σb( ) + ( µ σ ) } (9-6) 65
67 (%) P= P=5 P=10 P=15 P=0 P=30 100% 66
68 P Pˆ P ˆ= 10[ R( P /10)] (9-7) P ˆ= 5[ R( P /5)] (9-8) ) R( (6-)(6-4) % 67
69 68 (1) () (3) (4) (5) ( 10 )
70 LinSasngerBooh(1995) (bid-ask spread) Glosen-Harris
71 % 0.088%
72 71
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《金融评论》投稿 封面
The Choice of he Inermediae Targe of Moneary Policy in China 968 993 5 0073 85957073683550599 yqzhang@cass.org.cn MM 994Q-008Q4 VECM M M GDPCPI M M M 007 VECM JEL E5C3E58 The Choice of he Inermediae Targe
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arctan lim ln +. 6 ( + ). arctan arctan + ln 6 lim lim lim y y ( ln ) lim 6 6 ( + ) y + y dy. d y yd + dy ln d + dy y ln d d dy, dy ln d, y + y y dy dy ln y+ + d d y y ln ( + ) + dy d dy ln d dy + d 7.
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