1 1
Madhavan000 Glen(1994) (Levine1991)
3
4 1998 1999 1999 000
(Price and Time Prioriy) 5
6 ( ) 1 3
7 Kyle1985 4 :1 Breadh Widh (Deph) (Order Book) 3 Resiliency 4 (Immediacy) Harris(1990) (Immediacy)
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 0.064 0.169% 0.0138 0.088% 14.71 53.44 8
0.064450.01697 0.07134 0.0016870.00110 0.001714 0.0138 0.008588 0.01515 0.000880.000558 0.00096 14.716 8.195 45.150 53.4397 37.637 95.9937.3% 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 3-3 3 9
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
(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
3 3-1 3-1 3-4 3-3- 3-4 1 1 16 16 0 0 16 1
16 3-3 3-3 3-4 34 3-4 3-4 1 1 16 16 0 0 16 16 13
35 1 36 1 16 14
39 110 156 190 107 30 7.45 4.15 6.61 11.06 19.69 46.63 1.46 19.09 16.67 13.45 13.5 10.55 4.7035 3.5986.8488.1301 1.8419 1.391 0.6 0.1883 0.1703 0.1591 0.1454 0.1499.4017 1.858 1.498 1.13 0.9807 0.7377 3 1.136 0.97 0.891 0.836 0.77 0.785 8.5643 11.01 1.193 14.3108 17.0350 9.314 7.5156 36.4056 4.3453 50.3965 64.4619 1.409 15
3-7 3-7 3-5 38 3-8 3-5 5000 1.5 5000 1.5 16
39 3-9 3-5 310 3-10 3-5 5000 1.5 5000 1.5 17
1 311 1 31 3-113-1 3-5 : 5000 3 ( 8000 ) ( 1.5 ) 18
19 (4) 1 16 (5) 5000 3 4
0 (ick size) : (1) () Demsez(1968) (3) (4) negoiaion coss ( 4.1) 41 : (NYSE) 0.00-0.10 0.01 0.005 0.01 1.00 0.001
0.10-0.5 0.01 0.01 0.01 1.00 0.001 0.5-0.50 0.01 0.01 0.01 1.00 0.005 0.50-1.00 0.01 0.01 0.01 1.00 0.010 1.00-.00 0.01 0.01 0.01 1.00 0.010.00-5.00 0.01 0.01 0.01 1.00 0.05 5.00-10.00 0.01 0.01 0.05 1.00 0.050 10.00-30.00 0.01 0.0 0.05 1.00 0.050 30.00-50.00 0.01 0.0 0.05 1.00 0.100 50.00-100.00 0.01 0.05 0.10 1.00 0.50 100.00-00.00 0.01 0.05 0.10 1.00 0.50 00.00-500.00 0.01 0.05 0.10 1.00 1.000 500.00-1000.00 0.01 1.00 1.00 1.00 1.000 1000.00 0.01 1.00 1.00 10.500 Berand (Anshuman Kalay(1998)Bernhard Hughson(1996)Kandel Marx(1996)) Brown LauxSchacher1991CordellaFoucaull(1996) Paymen for order flow Chordia Subrahmanyam(1995)Baalio Holden(1996) 1
Seppi1997Harris(1994) (inra-da daa) 10 Peake(1993)Har(1993)Ricker(19931996) 1/8 quoed spread Harris(1994)NYSE AMEX 1/8 1/16 10 36% 30% 15% Harris Harris(1996 1997)) Bacidore(1997) Porer Weaver(1997) GoldseiKavajecz (1999)Jones Lipson(1999) Harris(19911991994) NYSE AMEX Harris(1994)NYSE bid/ask spread SSE Niemeyer Sandas(1994) 1997 7 4 1/8 1/16 Goldsein
Kavajecz(000) 1997 6 4 1/8 1/16 38% 15% 1997 7 10 1/8 1/16 1997 10~0 17.9% 0 16.% 13.9%1.4% AhnCao Choe(1996) 199 9 1~5 1/8 1/16 18.9%1995 5~10 1/8 1/16 ChakravaryWood(000) 000 8 8 13 15 10 47% 38% quoe frequency 54% 19%5% Bacidore(1997) 1996 4 15 1/8 5 5 1 Ricker(1997) 1.7 Niemeyer(1997) 1991 11 3 199 1 17 3
4 Harris(1994)NYSE Niemeyer 4-
5 4-1 41 4
6
7 5
AdmaiPfleiderer(1988) Foser Viswanahan(1990) (40 ) 4 5-15-5-35-4 ( ) L L N 50% 9:30 10:30 10:30 0 14:00 0 10 8
9 1 ( ) L L 3 N 10 10 51
5 53 54 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)
5-1 1 γ 0 γ 1 51 γ γ γ 3 4 γ R DW 5 1.34E-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 ** ) 0.7 1.87 L- L Brock Kleidon(199) (Soll1978;HoSoll1981) (CopelandGalai1983;GlosenMilgrom1985) (informed raders) ( 1999 001) 31
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 + 1 5-100 95% λˆ>0-0. 01 0.361 0.43(Soll1989) 0.3115(BrockmanChung1999) 100 (λˆ) (λˆ 5 )5 1 34 F- Kruskal-Wallis - Wilcoxon (Wilcoxon rank sum es) 3
5 - R λˆ λˆ- 3.30(1.6) λˆ>0-0.001 95 (95.00%) 5-3 λ quariles 33580 15674 1 λ λ : Deph 4 = + β1vol + β var + β3 price + k= α δ quarile + ε k k, (5-4) Deph 10 vol var quarile 3 4 5-4 vol var price quarile k k quarile F- k 33
54 λ - α 3.150 450.65 Vol *** β 1 0.3471 10.96 Var β -0.084-91.57 Price β 3 0.570 95.36 quarile δ -0.3340-193.6 quarile3 δ 3-0.488-407.81 quarile4 δ 4-0.5176 *** -473.4 R F H 0 : δ = δ 3 F-: 180.15 ; H 0 : δ 3 = δ 4 F-: 575.93 ; H 0 : δ = δ 3 = δ 4 = 0 F-: 3190.67 Whie 3. *** ** * 1%5%10% 6 (Transacion coss) 34
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
(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 Harris1988 1 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
ε (public informaion shock) 6-1 λq 1 λ γ ω bid-ask spread β 6-1 Ordered Probi Hausman199 6-1 6-1 SAS 61 λ 100.349 10 5 1.756 10 5 10.7514 10 5 0.3859 10 5 λ 0.01 (1) () ( ) λ 100 λ > γ 37
λ γ ω β 100 100 100 100 100 *** 100 100 79 100 75 * 100 100 84 100 79 100 100 89 100 80 : *** ** * 1%5%10% 100 probi 100 Glosen Harris(1988)Brennan Subrahmanyam(1995) 1MKTCAP: TURN : 3AVGP 4NOISE. MKTCAP 000 TURN 001..5-001.6.5 AVGP 001..5-001.6.5 NOISE 001..5-001.6.5. (6-1) ordered probi P 38
6-1 6-1 q 1 ( q q ) ( D D ) 1 1 Q. Y.C.Chan(000) ( q ) q 1 0( D D 1) 0Q Q. q 1 15000 10000 350000 4100000 5500000 6 7 (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 6.4.1 q i 7 1 5000 10000 350000 4100000 5500000 6 7 Q i i Q Q = 1 m i Q i, m = 1 6- R 0.3056 0.7188 D-W 39
DW ( e e ) n = 1 = n e = 1 1.88 MKTCAP TURN NOISE 7 icksize 0.01 6 q 1 R : (1) *** ** * 1%5%10%(3) F- 5000 5.309-0.4179-0.506 0.6438-0.0385 0.4306 34.96 (4.9733) (-3.375) (-3.978) (17.506) (-0.753) 10000 7.9583-0.5876-0.339 0.7933-0.0978 * 0.4933 49.07 (3.5106) (-3.4773) (-14.6438) (5.4104) (-1.3956) 50000 9.481-0.654-0.546 0.9440-0.1435 0.6103 60.55 (5.5671) (-4.904) (-4.3903) (0.505) (-0.639) 100000 13.3306-0.7663-0.5961 1.148-0.533 0.7188 54.3 (11.4380) (-.9643) (-3.805) (13.3119) (-1.6903) 500000 4.048-1.0075-0.6477.799-0.490 0.3056 64.71 (7.399) (-3.669) (-4.5131) (46.5176) (-3.1571) 6.7104-0.4356-0.3049 0.6964-0.105 0.3557 9.08 (3.785) (-3.0506) (-3.1584) (14.480) (-0.5433) 8.5160-0.5749-0.3410 0.7735-0.1386 0.4416 8.70 (4.1431) (-3.7554) (-3.8664) (11.4867) (-4.77) 40
4 8 30 6-1 ordered probi dummy variables (51) 9:30-10:00 6-1 6.4.1 6-3 6.4 λ ( 5 10 ) γ ( 5 10 ) ω β ( 6 10 ) 9:30-10:00 15.479 4.9534 1.5539 3.560 0.57 10:00-10:30 14.5830 3.7506 1.410.8974 0.5736 10:30-11:00 13.7956 3.199 1.453.5843 0.4835 11:00-11:30 11.4753 3.1815 1.694.1947 0.617 13:00-13:30 10.7450.9584 1.3934 1.9695 0.5774 13:30-14:00 9.5807.4306 1.4858 1.7530 0.5906 14:00-14:30 9.1479.3951 1.3956 1.739 0.4998 14:30:15:00 9.175.6749 1.4538 1.4933 0.5839 : *** ** * 1%5%10% 100 probi 100 61 41
6 6-4 λ γ λ 80% 6-5 q 1 λ γ ω β 9:30-10:00 *** 99 100 74 100 43 λ >γ 100 10:00-10:30 *** 100 100 75 100 5 λ >γ 96 10:30-11:00 *** 100 98 69 97 4 λ >γ 100 11:00-11:30 *** 95 100 54 100 44 λ >γ 94 13:00-13:30 *** 100 100 68 100 63 λ >γ 99 13:30-14:00 *** 100 100 61 100 57 λ >γ 98 *** 14:00-14:30 100 100 58 100 53 4
λ >γ 98 14:30:15:00 *** 95 98 67 100 45 λ >γ 100 *** 001 6-1 6- L Y.C.Chan(000) De Jong (1996) Paris Bourse 43
specialiss NYSE Madhavan Smid(1991)NYSE NYSE NYSE (AMEX) BrennanSubrahmanyam(1995) Hasbrouck(1991ab) NYSE AMEX NYSE NYSE L Hasbrouck1991Lin 1995Madhavan 1997 65 q 1 (%) 9:30-10:00 0.0557 4.87 11.91% 10:00-10:30 0.0486 3.69 1.76% 10:30-11:00 0.045 3.18 11.64% 11:00-11:30 0.049 3.05 9.84% 13:00-13:30 0.0315.86 11.3% 13:30-14:0 0.031.74 11.93% 14:00-14:30 0.0301.71 1.70 % 14:30:15:00 0.095.73 19.01% 44
45 63 64 Glosen-Harris
7 15 15 15 6 T1 15 9:30~9:45 T 9:45~11:15 T3 15 11:15~11:30 T4 15 13:00~13:15 T5 13:15~14:45 T6 15 14:45~15:00 T3 T4 T T5 1 Vol 15 46
Sd 3 Range 15 4 Rg/Vol 10563184 7883487 54581177 696675 68754558 105943563 A 66055396 4574333 3487677 4186894 4950759 700704 8396991 0309400 14970195 18541960 1960844 3540883 6644497 377751 58445 86698 300746 4740359 545669 866506 1670003 1766643 1908841 3061474 18493681 6515844 4497743 5065564 5494140 8716478 15117591 668397 4681158 5340613 5905506 9658188 30 776089 4004638 675370 307345 3330300 519389 1303074 6636488 3451691 6074734 56317 787817 14080 76408 53640 6337 67469 116581 47
T3 T T T5 T1 T6 T4 T5 7 001 A 15 T1~T6 48
906674 5911745 4051184 51615547 46768100 717146 A 63754669 311651 4870838 7198319 553619 4161467 3757159 5461038 14993114 1763673 3566977 4585141 486918 994343 541043 5197394 516450 7995993 597876 1106593 5366395 5054013 5140381 856695 11686169 1064579 6004563 5965653 5986313 995890 76915449 1090495 5667161 5734101 5814161 1065361 30 5739040 10051377 5374630 534081 536656 88737 3601379 11540401 515690 1119839 10183530 10640130 411 137803 894 11885 101547 163576 T3 T T T5 T1 T6 T4 T5 T4 49
7.485 4.0514 3.0079 3.0577 3.6601 4.095 A 7.513 4.1577 3.180 3.074 3.7187 4.108 5.6193 3.189.414.3168.9056 3.1666 7.4761 4.486 3.485 3.160 3.8986 4.5949 14.810 9.153 7.0676 6.911 8.08 8.7633 11.6576 6.9701 5.194 5.1310 6.0669 6.7111 6.896 4.1557 3.133 3.0589 3.664 3.9595 30 15.687 8.91 6.7716 6.7671 7.9334 8.470 5.3814 4.5803 4.10 4.158 4.618 5.0565 0.158 0.0845 0.0657 0.0693 0.0716 0.0877 50
T3 T T T5 T1 T6 T4 T5 T5 7-4 001 A 15 T1~T6 Rg/Vol T1 T T3 T4 T5 T6 1.1E-07 1.3E-07 1.3E-07 9.87E-08 1.10E-07 8.65E-08 A.05E-07.37E-07.48E-07 1.68E-07 1.93E-07 1.36E-07 5.74E-06 4.76E-06 4.70E-06 3.79E-06 4.5E-06 3.00E-06 4.1E-05.83E-05.6E-05 1.74E-05.0E-05 1.57E-05 1.97E-04 1.1E-04 9.70E-05 1.06E-04 1.08E-04 6.40E-05 4.01E-05.6E-05.31E-05 1.99E-05.3E-05 1.41E-05 1.50E-05 1.13E-05 9.47E-06 7.99E-06 9.94E-06 6.04E-06 30 8.59E-05 5.14E-05 4.38E-05 4.05E-05 4.09E-05.6E-05 1.7E-05.17E-05 3.44E-05 1.97E-05.30E-05 1.5E-05 1.44E-05 6.38E-06 5.75E-06 5.6E-06 4.81E-06 3.63E-06 51
T1 T T6 T5 T4 8 915 95 930 1130 100 300 5
1 (Call Marke) (1) () (3) (Marke Clearing Price) (Coninuous Marke) Amihud Mendelson(1987) 30 ( ) ( ) Soll Whaley(1990) 1 18 hp://www.sse.com.cn 53
Amihud Mendelson(1991) AmihudMendelson Lauerbach(1997) 5 30 55% (001) 10 Amihud Mendelson(1987) ( ) P* P P P* (Iayose) (Zaraba) 900 1100 100 300 hp://www.se.or.jp 54
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
σ ( ro, ) σ ( eo, ) = σ ( ec, ) σ ( r ) σ ( ro, ) > 1 σ ( r ) 8-1 3 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, 3 930 300 ( 1 ) 300 930 56
σ σ ( r ( r o, c, ) > 1 cov( r d, 1, rn, ) > cov( rd,, rn, ) ) σ ( ro, ) < 1 σ ( r ) 569 4 001 1 1 1 31 c, 1.6 1.4 1. 1 0.8 0.6 0.4 0. 0 15.744 8.875 11.6037 14.8546 18.776 5.3079 (1 5 ) σ ( ro, ) > 1 σ ( r ) (001) (4-4) c, 4 001 1 1 57
(4-7) 569 77 140 176 98 78 15.744 8.875 11.6037 14.8546 18.776 5.3079 1.1756 0.9759 1.0945 1.1681 1.784 1.4058 1.099608 0.485765 0.77461 0.867447 1.61694 1.941568 0.0485 0.1377 0.67 0.0485 0.1060 0.1519 10.430.8816 5.3701 6.1308 8.0600 10.430 58
59 AmihudMendelson Lauerbach(1997) (Call MarkeBach Open) (Inermediaed Open) NYSE NASDAQ NYSE (Marke Clearing Price) Globex
(Torono Sock Exchange) (Paris Bourse) 700930 0 10000 Globex (Indicaive Opening PriceIOP) ( COPCalculaing Opening Price) Coppejans & Domowiz(1999) (1) () (1) (3) (1) (4) ()(3) (5) 60
9 ( ) 0.01 1 5 (Discreeness) ( ) (Skewness) (Kurosis) 0.001 1 0.014 1300% 5 ( ) 0.01 61
30 1997 NYSE NASDAQ 1/8 Golieb Kalay(1985)Ball(1988)Cho Frees(1988) Crack Ledoi(1996) (-Hisory) (Compass Rose) ( 5.3 53 ) ( 05) (41) (Clusering)( 9-1 ) Osborne(196)Niederhoffer(19641966) Harris(1991) KandelSarig Wohl(001) 6
9-9-3 6 7 (R R +1 ) ( +1 ) 6 60000 001 1 1 8 31 5 78 6.18 7 60083 757 6.01 63
( +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 1 1 1 1 (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 0 01 64
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 0.05 0.10 P P dp = µ Pd + σpdb (9-5) b ( 0, ) P 1 P( ) = P(0)exp{ σb( ) + ( µ σ ) } (9-6) 65
(%) P= P=5 P=10 P=15 P=0 P=30 100% 66
P Pˆ P ˆ= 10[ R( P /10)] (9-7) P ˆ= 5[ R( P /5)] (9-8) ) R( (6-)(6-4) 001 634 001 1 1 1 31 10 010 0% 67
68 (1) () (3) (4) (5) ( 10 ) 0.005 10
69 001 LinSasngerBooh(1995) (bid-ask spread) Glosen-Harris
70 0.01 0.169% 0.088%
71
7
73