* 2003 11 20 *,
I...1...3...3...6...8...8 1...8 2...9 3...9...9...9...10...10...10...11...12...18...18 1...18 2...19 3...20...22 1...23 2...23 3...23
...24...25...26...27...28...31...33...33...37...38 1...38 2...38 3...38 4...39 5...39 6...40 7...41...42...45 II
1998-1999 30% 2002 11 55.7% 2002 1224 7071 126 5700 21 71 1319 1
2003 9 163 A 56 2
Chan and Lakonishok(1993) 37 Gompers and Metrick(2001) 1980 1996 50% Sias Starks and Titman(2001) Grinblatt and Keloharju(2000) 1994 12 27 1996 12 30 FCSD(Finnish Central Securities Depository) 6 Choe, Kho and Stulz(2001) 1996 12 1998 11 3
Womack(1996) Skinner(1990), Brennan, Jegadeesh and Swaminathan(1993) Shores(1990), Bhushan(1989), Brennan and Hughes(1991), Brennan, Jegadeesh and Swaminathan(1993), Chung, McInish, Wood and Wyhowski(1995) Easley, O Hara and Paperman(1998) Lakonishok and Maberly(1990) Sias and Starks(1995) Lakonishok and Smidt(1984) Rozeff and Kinney, 1976; Keim, 1983 Dyl(1977) 12 Givoly and Ovadia(1983) 1 Reinganum(1983) Roll(1983) Keim(1989) 12 1 Sias and Starks(1997) (Tax-loss-selling) (Window-dressing) 4
Harris(1986), Wood, McInish and Ord(1985) Harris(1989) Tobin(1958) Black(1971) Demsetz(1968) Engle and Lange(2001) Chordia, Roll and Subrahmanyam(2000) Angel(1997) 15 0.65% Domowitz, Glen and Madhavan(2000) 42 Lehmann and Modest(1994) Chan, Christie and Schultz(1995) Chakravarty, Harris and Wood(2001) VECM Heflin and Shaw(2000) (Hasbrouck, 1988) 1987 10 (Blume, MacKinlay and Terker, 1989) Harris(1989) Lee(1990) Chordia, Roll and Subrahmanyam(2002) 5
Lee and Ready(1991) (Kyle, 1985; Glosten and Milgrom, 1985) Kyle, 1985; Glosten and Milgrom, 1985 0 Easley, Kiefer and O Hara(1997a) Easley, Kiefer and O Hara(1997b) Keim and Madhavan, 1994; Seppi, 1992 Easley, Kiefer and O Hara(1997b) 6
7 (2002) (2000) (2002) (2002) (2002) (2002) (2001) (2003) (2002) (2001) (2000) A (2002) (2003) (2003) 2003 3 3 (2002) (2002) (2002, 2003a, 2003b) (2003)
(Market Power) Kyle(1985) (Depth of market) 1 1 1 2001 1-10 10 10-50 50-100 100 2,581,511,050.78 4,341,351,818.67 1,535,309,409.71 5,721,066,726.45 8
5,909,448.40 6,529,224.42 2,502,829.82 6,613,152.51 22.89 15.04 16.30 11.56 1 10 100 2 3 9
(Principle-Agent) 10
/ Cherian and Jarrow(1995) (Action-based manipulation) (Short squeeze) (Salomon Brothers) 1991 5 96% (Information-based manipulation) 11
(Trade-based manipulation) 2003 20 QFII 2 1237.30 80% 1000 923.22 80% 740 5612.40 10%-15% 560 2000.00 40% 1000 10000.00 5000 19772.92 8300 2002 11 5 8 3a 2003 9 A (%) (%) 600664 9,088.93 21.87 19.30 7,618.30 600895 5,243.92 12.15 19.50 4,388.14 600006 4,230.78 14.10-14.77 4,964.09 600033 4,088.89 17.04 23.96 3,298.51 600186 4,075.08 11.20-4.84 4,282.19 600835 3,059.06 13.64 16.78 2,619.56 600377 2,981.54 19.88 57.06 1,898.35 000539 A 2,732.84 6.98 185.94 955.73 000001 A 2,657.21 1.89-12.91 3,051.07 000568 2,639.46 16.49-28.00 3,665.95 000509 2,446.09 16.21-2.71 2,514.35 600058 2,303.47 14.77 30.00 1,771.90 000800 2,198.52 4.03 0.00 0.00 000510 2,065.95 5.14 25.28 1,649.07 600849 2,003.01 7.00 28.61 1,557.39 600651 1,817.23 4.28 0.00 1,817.22 600372 1,793.91 16.31-9.79 1,988.48 12
600151 1,648.81 11.66-15.95 1,961.82 600216 1,637.55 12.39-8.07 1,781.26 000554 1,542.72 5.23 1.64 1,517.86 600275 1,537.38 16.89-2.09 1,570.25 600102 1,487.53 7.33 36.08 1,093.16 600220 1,449.14 10.67 0.00 0.00 000933 1,404.10 15.43 0.47 1,397.50 600302 1,398.78 15.54-10.50 1,562.92 000720 1,389.14 5.01-11.47 1,569.17 600674 1,383.82 8.94 4.80 1,320.40 000525 1,362.67 10.53 3.66 1,314.54 600879 1,360.15 6.61 27.25 1,068.91 600548 1,352.25 8.20 85.72 728.13 000530 1,340.69 13.63 45.94 918.63 600226 1,333.23 13.68-8.83 1,462.43 600724 1,291.38 8.20-10.34 1,440.27 600187 1,289.38 13.22 17.13 1,100.81 600383 1,265.23 14.06-4.55 1,325.52 600366 1,259.28 15.99-5.81 1,336.93 600642 1,207.28 2.94 27.51 946.80 600635 1,200.55 3.65-8.60 1,313.55 600129 1,196.83 15.96 0.00 1,196.84 000488 1,192.28 8.60 80.37 661.03 600309 1,173.94 9.17-18.96 1,448.65 000911 1,088.64 14.95 0.00 1,088.64 600207 1,055.93 5.87-11.98 1,199.62 600829 1,033.24 15.92 37.33 752.36 000539 A 1,020.14 2.61 1.00 1,010.00 600870 ST 1,014.04 6.69 0.18 1,012.20 600074 1,000.63 5.72 0.20 998.63 000037 A 973.59 15.01 0.00 0.00 600132 959.53 12.30 28.57 746.30 000607 956.04 17.00 0.00 956.04 000422 946.49 8.70 0.00 946.49 000755 926.81 6.53 0.00 0.00 600132 915.97 11.74 22.29 749.00 000722 911.65 6.61-20.73 1,150.01 000429 A 909.17 3.31 0.00 909.17 600786 ST 908.58 16.83 3.47 878.08 000776 907.07 9.73 181.10 322.69 600358 894.41 11.93 3.72 862.36 600350 893.80 1.77 213.72 284.90 000002 A 880.74 0.96-44.87 1,597.58 600057 874.13 5.06-32.52 1,295.43 600127 868.31 4.54 7.17 810.25 600874 862.31 7.67 62.08 532.04 000962 850.37 6.06-5.75 902.20 000963 847.88 6.71 0.00 0.00 000833 825.66 8.37-29.77 1,175.63 000623 823.57 6.57 0.22 821.75 000539 A 821.10 2.10-0.04 821.41 600004 820.27 2.05 0.00 0.00 600004 815.22 2.04 0.00 0.00 000895 813.96 6.05-9.48 899.24 600290 809.55 12.85 105.74 393.48 600389 801.11 16.69 22.05 656.39 000792 795.60 3.98 99.72 398.36 13
600388 778.94 11.98 1,026.18 69.17 600773 773.10 11.15 59.58 484.47 000903 759.13 9.73-12.08 863.39 600230 751.28 9.39 0.00 751.28 600239 735.58 7.78 0.00 0.00 000828 731.72 2.95-7.36 789.89 600750 727.04 11.65 3.59 701.87 600890 707.86 3.45 0.00 707.86 600653 701.50 0.48 0.00 0.00 600585 688.97 3.44 18.21 582.83 600182 *ST 687.56 4.04 0.00 0.00 000695 *ST 684.26 8.86-16.52 819.68 600105 678.57 6.96 0.00 678.57 000975 678.41 5.30-4.07 707.21 600038 674.97 7.03-36.90 1,069.64 600812 669.46 1.43 0.00 0.00 600380 665.72 6.34 74.68 381.12 000876 665.51 6.40-26.45 904.84 000680 665.22 3.67-20.07 832.29 600752 653.45 4.06-43.37 1,153.81 000950 630.56 11.46-5.55 667.61 000875 627.00 1.65 0.00 0.00 600819 620.26 19.85-2.13 633.74 000949 616.63 3.32 0.00 0.00 600166 604.74 5.81 0.00 0.00 600235 601.87 8.27 149.65 241.09 000027 A 590.16 1.21 0.00 0.00 600586 589.60 12.96 39.84 421.62 600089 588.29 4.51-13.61 681.01 600197 588.09 7.84 0.00 588.09 600731 578.13 5.96 0.00 0.00 000900 567.00 2.65 0.00 0.00 000721 558.86 13.52 55.29 359.89 600849 554.62 1.94 0.00 0.00 000780 552.72 2.97 0.00 0.00 600215 551.52 2.57 0.00 0.00 600866 549.83 2.83-60.23 1,382.57 600110 544.93 3.96 168.34 203.08 600468 543.35 18.11 21.78 446.18 600895 540.99 1.25 21.26 446.15 000758 538.20 2.95 1,022.65 47.94 600278 531.25 6.64 0.00 0.00 000763 530.00 3.53-31.69 775.91 000509 527.00 3.49 0.00 527.00 000406 526.86 1.98-65.46 1,525.26 000695 *ST 526.65 6.82-52.14 1,100.35 600697 524.00 6.21 0.00 0.00 000509 518.98 3.44-11.82 588.52 600742 518.81 5.03-42.51 902.52 600371 513.70 8.29 69.44 303.18 000403 510.81 5.43-50.00 1,021.54 000089 507.75 1.76 0.00 0.00 600486 498.40 16.61 22.72 406.11 000937 494.16 4.94 23.51 400.12 000983 489.13 1.70 0.00 0.00 000406 486.46 1.83 0.00 486.46 600337 485.97 10.12-9.34 536.01 14
600835 485.00 2.16 0.00 0.00 600163 480.65 5.28 0.00 0.00 600797 474.49 2.04 0.00 474.49 600357 472.77 4.73 0.00 0.00 600585 471.14 2.36 0.00 0.00 000668 471.05 11.29-8.59 515.33 000089 469.71 1.63-12.13 534.57 600717 464.64 2.16 0.00 0.00 000825 457.85 0.94-90.57 4,854.23 600653 455.71 0.31 0.00 0.00 000581 451.33 2.09-28.77 633.61 600006 449.62 1.50 0.00 449.62 600351 449.46 11.24 30.11 345.44 600428 449.16 3.46 26.72 354.45 600598 444.01 1.48 68.82 263.01 600062 423.08 2.28-43.42 747.76 600001 422.24 0.86 0.00 0.00 000858 421.29 1.10 20.00 351.08 600002 416.00 1.19 0.00 0.00 000004 415.69 9.98 0.00 415.69 000822 414.32 2.66-12.64 474.26 000055 A 414.15 9.86 0.00 414.15 600005 412.66 1.07 0.00 0.00 600563 406.07 8.12-32.48 601.45 600295 400.18 2.50-49.46 791.83 600824 397.78 4.43 0.00 397.78 600110 390.65 2.84 6.65 366.29 000401 390.46 1.45 0.00 0.00 600306 388.93 6.65-0.06 389.18 600199 388.66 2.99-40.05 648.29 000550 382.56 3.25 0.00 0.00 000012 372.17 3.47 0.00 372.17 000767 370.05 2.37 0.00 0.00 000428 365.90 6.01 15.04 318.06 600820 361.76 1.36 0.00 361.76 600592 360.00 7.20 37.37 262.06 000830 358.46 4.78-0.04 358.62 600725 355.00 9.47-21.97 454.93 600805 354.71 1.15 0.00 0.00 600708 354.24 4.09 63.35 216.86 600710 353.78 2.38 0.00 0.00 600863 352.52 0.89 183.47 124.36 600792 350.70 15.59 65.57 211.81 000817 345.26 1.73 0.00 0.00 000882 345.20 5.48-10.86 387.27 600562 340.09 11.34 0.00 0.00 000825 339.87 0.70 0.00 0.00 600747 334.02 1.48-72.92 1,233.40 600627 333.58 6.54-40.01 556.07 2003-09-10 2002 2003 3a 163 A 56 2 3 13 15
2 14 12 11 3b 2003 20 ( ) 1 410997.12 56 2 362161.14 51 3 300510.40 52 4 262983.86 53 5 217519.84 49 6 181495.10 47 7 174336.54 44 8 127741.29 37 9 A 122249.97 36 10 121033.71 35 11 115169.00 41 12 103265.94 33 13 101228.49 36 14 92691.56 28 15 87369.32 27 16 81127.71 28 17 A 75444.05 29 18 74493.42 34 19 *ST 65740.89 26 20 64440.79 28 2003-09-01 3c 2003 20 1 180652.84 A 32669.46 2 167877.78 31525.49 3 163403.70 24969.68 4 152243.04 23217.89 5 150663.43 21589.22 6 76387.06 17820.50 7 A 72343.74 16978.03 8 71891.93 16486.68 9 71301.78 16226.61 10 70107.51 16188.81 11 63999.29 15991.09 12 A 59613.18 15716.25 13 59027.29 15564.59 14 53989.26 15491.60 15 *ST 50082.81 A 14966.62 16 49324.03 14547.90 17 48362.41 14506.48 18 37604.01 14444.78 19 35551.63 14268.34 20 35094.59 14111.32 2003-09-01 16
3b 3c 4 4 QFII 2003-11-18 (UBS Limited) 60000 30000 2003-06-06 (UBS Limited) 30000 2003-11-17 (JPMorgan Chase Bank) 5000 2003-11-12 (Citigroup Global Markets Limited) 20000 12500 2003-06-20 (Citigroup Global Markets Limited) 7500 2003-11-11 (Deutsche Bank AG) 20000 15000 2003-08-04 (Deutsche Bank AG) 5000 2003-10-30 (The Hongkong and Shanghai Banking Corporation Limited) 10000 5000 2003-08-07 (The Hongkong and Shanghai Banking 5000 Corporation Limited) 2003-10-22 (ING Bank N.V.) 10000 2003-09-17 ING 2003-07-29 (Goldman Sachs & Co.) 5000 2003-07-03 (Morgan Stanley & International Limited) 30000 2003-06-06 (Nomura Securities Co., Ltd) 5000 2003-11-19 2003 11 18 (UBS Limited) QFII 3 QFII 6 QFII 5000 QFII 1 QFII 1.25 1.5 QFII 2 5000 2003 11 19 9 QFII 16.5 17
2003 6 871 485 6 10 1 2002 1999 1 1 1999 2002 1 10 50% 50% 1999 2002 16 5 (%) 1999/1 2 13 15 50 30.00 1999/2 13 15 28 83 33.73 1999/3 15 22 37 98 37.76 1999/4 10 17 27 101 26.73 2000/1 15 38 53 131 40.46 2000/2 15 28 43 132 32.58 2000/3 15 40 55 165 33.33 2000/4 16 37 53 176 30.11 2001/1 11 51 62 182 34.07 2001/2 18 43 61 206 29.61 2001/3 18 52 70 227 30.84 1 SAS 18
2001/4 31 62 93 247 37.65 2002/1 34 68 102 243 41.98 2002/2 36 65 101 266 37.97 2002/3 27 59 86 264 32.58 2002/4 25 59 84 260 32.31 30% 2 10 10 10 6 60 60 = / 10 6 1999/1 50 6 0.83 1999/2 83 12 0.69 1999/3 98 16 0.61 1999/4 101 23 0.44 2000/1 131 26 0.50 2000/2 132 31 0.43 2000/3 165 39 0.42 2000/4 176 41 0.43 2001/1 182 41 0.44 2001/2 206 46 0.45 2001/3 227 49 0.46 2001/4 247 52 0.48 2002/1 243 54 0.45 19
2002/2 266 56 0.48 2002/3 264 63 0.42 2002/4 260 70 0.37 6 3 Q it Max( Q = Q + b it, Q ) b s it it s Qit Q b it t i Q s it t i Q it Q it Q it 0.50-1.00 Q it 3 2 1 3 Q it Q it 7 Q it 1999/1 20
1999/2 1.00 0.50 0.83 1.00 1999/3 1.00 0.67 0.90 1.00 1999/4 1.00 0.67 0.87 0.90 2000/1 1.00 0.67 0.91 1.00 2000/2 1.00 0.67 0.92 1.00 2000/3 1.00 0.80 0.97 1.00 2000/4 1.00 0.50 0.75 0.67 2001/1 1.00 0.50 0.92 1.00 2001/2 1.00 0.50 0.87 1.00 2001/3 1.00 0.50 0.83 0.83 2001/4 1.00 0.50 0.83 0.80 2002/1 1.00 0.50 0.83 0.85 2002/2 1.00 0.50 0.80 0.75 2002/3 1.00 0.50 0.83 0.80 2002/4 1.00 0.50 0.77 0.75 1999 Q it 0.80 2001 2000 1 21
2002 1999 12 31 1999 7 1 2000 12 31 2000 10 2001 12 31 2002 12 31 8 8 3 5 10 (%) (%) (%) (%) (%) (%) (%) 32.87 46.34 62.16 46.79 21.39 60.84 75.39 86.20 61.25 47.43 31.05 45.59 67.60 69.39 98.97 14.39-21.75 22
27.61 34.31 46.80 77.37 71.10-15.75 6.98 10.65 15.59-3.64 21.39 3.69 10.78 19.92 1.43 47.43 1.23 1.23 7.80 1.23 30.33-26.27-21.75 1.75 1.75 3.47 0.00 3.94-15.75 19.43 27.65 37.73 9.40 21.39 22.20 31.04 46.24 37.65 47.43 17.21 23.75 34.90 47.70 52.08-11.33-21.75 12.51 17.32 26.55 52.94 39.02-15.75 1 3 5 10 3 6.98% 32.87% 19.43% 22.20% 60.84% 3 75% 10% 25% 17.21% 12.51% 10 46.80% 25.66% 2 30.33% 98.97% 69.39% 1.23% 3 46.79% 61.25% 37.65% 47.43% -26.27% -11.33% -21.75% 23
2001 2002 4 1 2002 9 1 2 3 4 (%) (%) (%) (%) (%) (%) (%) 49.59 32.98 33.36 67.27 1.87 2.52-0.46 59.09 33.89 36.09 61.08-5.25 2.32 8.03 1 64.05 38.42 33.08 51.64-17.44-7.05-8.72 60.08 23.47 29.79 49.58-8.54-6.87-13.61 48.65 33.46 30.29 62.27 2.24 2.33-0.46 56.36 40.75 33.88 60.11-0.35 2.63 8.03 2 65.65 48.15 33.32 50.75-17.91-6.06-8.72 61.56 32.52 33.80 54.90-6.39-6.81-13.61 54.82 28.02 46.81 85.39 3.32 2.88-0.46 62.86 33.57 30.91 49.17 11.15-0.09 8.03 3 67.36 53.18 29.85 44.31-11.36-3.62-8.72 65.39 21.69 28.30 43.28-12.71-8.31-13.61 39.06 47.72 26.72 68.41 4.08 3.48-0.46 49.70 47.06 34.14 68.69-2.33 1.00 8.03 4 62.92 49.80 35.14 55.85-10.39-3.17-8.72 62.70 26.52 33.96 54.16-13.56-9.46-13.61 10 (%) (%) (%) (%) (%) (%) (%) 24.02 44.60 13.82 57.52 3.95 1.48-0.46 54.61 51.35 26.85 49.16-1.06 4.47 8.03 59.43 33.80 24.83 41.79-7.35-5.43-8.72 60.77 7.24 26.34 43.34-10.70-7.75-13.61 2002 5 4 2002 6.24 24
5 8.03% 3 2002 6.24 8.03% 3 4 3 5 13.61% 25
2002 2003a 2003b 2001 1 1-12 31 A PT 501 4 1 2001 1 1-12 31 501 234 83894535 2 2001 12 31 675235 3 2001 1 12 (000725) 1216 4 2001 11 12 (000515) 1238 2002 6 28 9:30-11:30 13:00-15:00 5 48 9:35 9:40 15:00 Spread1= A i, j, t Bi, j, t A i, j, t i j t B i, j, t i j t 1 1 26
Spread2= A A i, j, t B + B i, j, t ( i, j, t i, j, t ) A,, B i j, t i j t 2, 1 Depth1= + 2 Depth2= * + * 11 11 1 2 3 4 1 2 3 4 SL3 SL4 100% 4341178 490686 592365 135040 4421254 384773 487250 268960 99% 57800 31200 336680 52420 49262 25626 86560 45074 95% 19801 11800 113986 33240 17900 11000 47800 14320 90% 11700 7400 58900 21880 10762 6900 25900 8060 75% 5040 3400 16750 10940 4700 3100 8400 3700 50% 1907 1400 2700 3420 1750 1200 2378.5 1500 25% 700 500 900 1300 600 500 800 500 10% 295 200 400 500 200 200 300 200 5% 133 100 200 300 100 100 200 100 1% 96 80 100 100 100 90 100 65 0% 1 1 2 20 1 1 19 10 1 2 (%) 100% 4.42 1.24 0.70 0.17 0.1795 0.0928 0.0382 0.0153 99% 0.20 0.25 0.26 0.09 0.0132 0.0176 0.0129 0.0080 95% 0.09 0.12 0.14 0.05 0.0062 0.0095 0.0065 0.0046 90% 0.06 0.08 0.10 0.04 0.0042 0.0066 0.0044 0.0036 75% 0.03 0.04 0.05 0.02 0.0022 0.0037 0.0026 0.0019 50% 0.01 0.02 0.03 0.01 0.0013 0.0019 0.0013 0.0009 25% 0.01 0.01 0.02 0.01 0.0008 0.0012 0.0009 0.0009 10% 0.01 0.01 0.01 0.01 0.0006 0.0008 0.0004 0.0009 5% 0.01 0.01 0.01 0.01 0.0006 0.0007 0.0004 0.0008 1% 0.01 0.01 0.01 0.01 0.0004 0.0005 0.0004 0.0008 0% 0.00 0.01 0.01 0.01 0.0000 0.0003 0.0004 0.0008 1 Depth1 27 2 Depth2 100% 4544454 495596 593565 275140 * 3652217.5 11574493.5 2944245.2 99% 92570 46701 365130 103940 * 430110.0 7448741.0 1245440.4 95% 34710 20500 147086 44640 * 185935.0 2926675.0 494502.0 90% 21800 13490 81500 28560 * 127426.0 1685823.0 318588.4
75% 10573 7030 36532 14918 * 71555.0 768926.0 165962.4 50% 4900 3500 10191 6960 * 37562.3 222976.8 79363.0 25% 2216 1700 3475 3240 * 19209.0 78062.5 36318.0 10% 1100 900 1600 1780 * 10383.0 35945.0 19595.2 5% 700 600 1100 1100 * 7179.0 25206.0 12173.0 1% 328 300 600 460 * 3588.9 13517.0 5185.6 0% 2 23 249 160 * 449.7 5605.5 1766.6 * 95% SL3 SL4 1 SL3 19801 1 4194874 SL4 17900 1 4207656 60000 50000 40000 30000 20000 SL3 SL4 10000 0 09:35 09:55 10:15 10:35 10:55 11:15 13:05 13:25 13:45 14:05 14:25 14:45 1 1 5 9:30-9:35 1 11:20-11:25 13:50-13:55 13:45-13:50 13:40-13:45 14:25-14:30 28
13:35-13:40 13:30-13:35 11:15-11:20 14:30-14:35 11:25-11:30 2:00-2:30 50000 45000 40000 35000 30000 25000 20000 SL3 SL4 15000 10000 5000 0 09:35 09:55 10:15 10:35 10:55 11:15 13:05 13:25 13:45 14:05 14:25 14:45 2 1 9:30-10:00 1 2:00-2:30 1 2 2 SL3 11800 2 9:30-9:35 10:25-10:30 3 29
30 0 5000 10000 15000 20000 25000 30000 35000 40000 45000 09:35 09:55 10:15 10:35 10:55 11:15 13:05 13:25 13:45 14:05 14:25 14:45 SL3 SL4 3 SL4 11000 4 0 5000 10000 15000 20000 25000 30000 35000 09:35 09:55 10:15 10:35 10:55 11:15 13:05 13:25 13:45 14:05 14:25 14:45 SL3 SL4 4 3 3 (2003a) 2:30
600000 500000 400000 300000 200000 SL3 SL4 100000 0 09:35 09:45 09:55 10:10 10:20 10:45 11:05 14:20 5 4 4 2001 1 12 (000725) 1999 7 26 2003 6 9 290 A 25% 277913 6 7 1 1 31
0.18 0.16 0.14 0.12 0.10 0.08 0.06 0.04 0.02 0.00 Spread1 trade_time 944 959 1014 1029 1044 1059 1114 1129 1313 1328 1343 1358 1413 1428 1443 1458 6 0.010 0.008 0.006 0.004 Spread2 0.002 0.000 trade_time 945 1001 1017 1033 1049 1105 1121 1306 1322 1338 1354 1410 1426 1442 1458 7 6 7 9:30-10:00 9:30-10:00 12 9:30-10:00 12 9:30-10:00 100%Max 0.779302 100%Max 0.783813 99% 0.752732 99% 0.760053 95% 0.674823 95% 0.676758 90% 0.639108 90% 0.644215 75%Q3 0.587742 75%Q3 0.588979 50%Median 0.522574 50%Median 0.525468 32
25%Q1 0.453421 25%Q1 0.451912 10% 0.392479 10% 0.390617 5% 0.364953 5% 0.359870 1% 0.330838 1% 0.336614 0%Min 0.270798 0%Min 0.271567 Mean=0.519597 Mean=0.521369 12 9:30-10:00 50% 75% 46.94 71% 2003 3 9:30-10:00 9:30-10:00 52% 52.1% 12 33
Lee(1992) $10,000 Cready(1988) Cready and Mynatt(1991) 900 20 10,000 100-500 20.10 100-400 500 Lee(1992) $10,000 Lee and Radhakrishna(2000) TORQ 2 (Trade, Order, Report, Quote) 1990 12 31 $10,000 1990 12 31 $30 300 $40 200 66% $10,000 84% $20,000 53% $20,000 67% $10,000 2 TORQ Joel Hasbrouck (NYSE) 1990 11 1991 1 NYSE 144 34
$10,000 14% 19% Lee and Radhakrishna(2000) $5,000 $50,000 2% 10% 5000 100 20 100 4 2002 1 1 2002 12 31 13 12287.44 8802.68 11.13 10.23 1 1 10 10 4 14 35
14 1(S11) 2(S12) 3(S21) 4(S22) 1 10 1 <10 <1 10 <1 <10 2002 1 1 2002 12 31 0 5% 10267653 4 95% 3 80% 97.5% 2.5 95% 1 2 3 4 71145 47700 60239 43400 4 (Holder ID) 4 82825 2722643 2002 1-12 33 1 36101 43.5% 75.1% 3 62186/82825 1-12 17499 1458 10% 1402604 2722643 51.5% 3 4 (Fund ID) 36
82825 1 1 82825 1 20628 1 612 1 1 15 15 C C1 C2 C1 C3 C1 C4 C1 C5 C1 H H1 H2 H3 H4 H5 H6 H7 H8 C C1 1 16 16 1 (C) (H) 600178 6 1 23 1 31 7 1.2 H1 600350 3 4 29 4 30 2 0.7 600509 4 2 28 3 19 14 3.5 600610 5 4 16 4 26 9 1.8 000065 9 2 27 4 30 45 5.0 C 000679 15 1 23 2 5 10 0.7 000763 3 1 28 1 29 2 0.7 H2 000820 6 3 21 4 30 29 4.8 000895 1 4 18 1 1.0 000918 9 2 1 4 16 43 4.8 000935 2 1 31 2 5 4 2.0 37
20628 1922900 1 1 20628 1 19424 1 2 1 2 16 1 2 1 50 31 100 11 1 663 2 1 16 3 1 49852 1 663 1 7 1 1 50% 5 10 11726 23.5% 100 32 10 3 16 4 368410 38
1 5 50% 1 3 1 2 1 1 1 1 1994 4 16 5 1 237 1 50% 7 2 25 1 5 / 1 / 16 7 2 6 50% 2 1 1 / 1 0.0076 / 115 / 0.0076 1 132 115 1 17 39
17 (C) 000550 C H (H) 2002 3 12 4 2002 3 27 5 17 H 000550 9 3 12 3 27 4 5 12 9 1.33 / 0.25 / 0.2 / 1211499 1 1.59 6 0.17 9 664 664 166 5 42053 3.5% 10 8378 0.7% 6 18 40
18 (C) C (H) H1 600791 1772 H2 600791 1994 29178 3 6 3 8 1 1% 76 1994 18 18 18 1 2 3 1 2 206 2 18 1 3 3 24 6 3 2 7 3 368410 2002 A 1206 285 210 190 200 7 4578 41
10 ST ST 1500 1 2 2:00-2:30 12 31 9:30-10:00 42
3 (1) (2) 1 50% 5 (3) 1 1 1994 1 5 (4) 1 2 (5) 1 132 115 1 1.59 (6) (7) 200 2002 43
44
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