1 1.1 1.2 2 2.1 2.2 3 3.1 3.2 4 4.1 4.2 4.3 5
bid-ask bidask
1 2 2-1 L RISK Madhavan(1992) JN L JN L
1 2 GARCH
1 1.1 commonaliy
rade mechanism 1.1.1 marke microsrucure Garmam(1976), KrausSoll (1972) NWSE (), Garbade Silber (1979) 20 80 Bayers sequenial rade model Glosen Milgrom(1985) O Hara(1992) marke maker Madhavan(1992) Madhavan(1996) quoe-driven Hasbrouck Seppi(2001) Chan Lakonishok(1995)Daar(2001)Kiem Madhavan(1997)Nanda 2000 Chordia
2000 price discovery marke cleari 1.1.2
quoe-driven marke-maker order-driven aucion marke 11 1.2 1.2.1 volailiy
ARCH BROWN Black Scholes BROWN GBM 12 2000 1 1 2001 12 31 deph 12 P P P 1 ln( V ) V 1.2.2 (ransparency)
(1) informed rader (uninformed rader) (2) ( 13) 13
2 2.1 2.1.1 NASDAQ bid ask 21
P E E A (FIFO) E B 3 2.1.2 1 2
22 2.1.3 10 10 10
2-3 2.2 2.2.1 14 55 A 500,000 5,000
2-4 2-4 2.2.2
2-4 2 2.2.3 2-4 3 1 2
1 2.2.4 2-4 1 10%
2 2-5 2-4 4 2-5 2-4 5 efficiency deph 3 1 2
3.1 1 2 3.1.1 A 60 4 1999 3 10 2001 9 10 3.1.2 r = ln( p ) ln( p 1 ) p p 1 1 r
V V v = V 1 1 V V 1 1 v n r = air i + e i= 1 1 r a e i Durbin-Wason Pormaneau Q Lagrange LM LM 1 GARCH(p=1,q=1) 1 3 0 + air i e 1-1 i= 1 r = a + e = h ε 1-2 h = + γ 1h + 1 ρ1e 1 ω 1-3
ε N(0,1) Xu(2000) Xu e m = bi i= 1 e i +α v + ζ 1-4 e 1-2 α N(0,1) v α 3.1.3 31 4 Sock Variable Number Minimum Maximum Mean Sd.Dev. A PRICE 610 1059.88 2242.43 1776.31 316.1 600186 VOLUME 610 2339861 57178460 12719802 7953463 RATE 609-0.0792 0.08665 0.000805 0.01498 DVOL 609-0.75818 3.7232 0.03925 0.3236 PRICE 600 5.4 14.8 9.35 2.11 VOLUME 600 3638 437165 40006.6 46956.1 RATE 599-0.07957 0.09573 0.001295 0.02404 DVOL 599-1 6.822 0.1843 0.862 600733 PRICE 605 12.2 31 22.45 5.41 ζ
VOLUME 605 123.5 61415 5328 7324.8 RATE 604-0.1054 0.0956 0.000749 0.0262 DVOL 604-0.9343 24.0253 0.3334 1.634 PRICE 610 2534.72 5074.78 4245.5 633.85 000038 VOLUME 610 2593701 54106188 12125849 7049301 RATE 609-0.1005 0.2205 0.000488 0.01939 DVOL 609-0.528 3.0079 0.04025 0.3151 PRICE 603 9 24.15 15.3 3.83 A VOLUME 603 319 40086 5009 4852 000800 RATE 602-0.1054 0.0957 0.000924 0.0278 DVOL 602-0.8319 5.4949 0.2057 0.8673 PRICE 605 4.28 7.59 5.99 0.84 () VOLUME 605 4508 485269 63504 69089 RATE 602-0.0882 0.087 0.000089 0.0223 DVOL 602-0.748 6.997 0.1508 0.793 31 PRICE VOLUME RATE DVOL 31 0.000805 0.000488 1.65 0.01498 0.01939 80% 0.03925 0.04025 0.975 1.05
DVOL DVOL DVOL 32 A 2 A R^2=0.0063 RATE1 0.0085 0.037 0.23 0.819 RATE2-0.0111 0.033-0.33 0.739 RATE3 0.0561 0.033 1.7 0.088 * GAMMA1 0.0838 0.0062 13.53 <0.0001 *** PHO1 0.9162 0.0062 147.81 <0.0001 *** R^2=0.2606 RE1 0.192 0.0372 5.16 <0.0001 *** RE2 0.1589 0.0381 4.17 <0.0001 *** RE3 0.2336 0.0374 6.25 <0.0001 *** DVOL 0.0108 0.00119 9.05 <0.0001 *** 600733 R^2=0.0003 RATE1-0.0398 0.0323-1.23 0.219 RATE2 0.0193 0.0367 0.53 0.5983 RATE3-0.0653 0.0321-2.03 0.0419 ** GAMMA1 0.1289 0.0107 11.99 <0.0001 *** PHO1 0.8711 0.0107 81.08 <0.0001 ***
R^2=0.1529 RE1 0.214 0.0402 5.32 <0.0001 *** RE2 0.1695 0.0406 4.17 <0.0001 *** RE3 0.084 0.0403 2.09 0.0374 ** DVOL 0.002122 0.00044 4.78 <0.0001 *** 600186 R^2=0.019 R^2=0.2386 RATE1 0.0306 0.0312 0.98 0.3271 RATE2-0.0875 0.0392-2.23 0.0255 ** RATE3 0.0053 0.0387 0.14 0.8912 GAMMA1 0.0823 0.00854 9.64 <0.0001 *** PHO1 0.918 0.00854 107.47 <0.0001 *** RE1 0.304 0.0385 7.9 <0.0001 *** RE2 0.0927 0.0407 2.28 0.0231 ** RE3 0.1194 0.0385 3.1 0.002 *** DVOL 0.00613 0.000688 8.91 <0.0001 *** 32 A 2 33 2 R^2=0.0035 R^2=0.2365 RATE1-0.00906 0.0332-0.27 0.7848 RATE2 0.005 0.035 0.14 0.8865 RATE3 0.044 0.0364 1.21 0.2268 GAMMA1 0.1143 0.00697 16.4 <0.0001 *** PHO1 0.8857 0.00697 126.99 <0.0001 *** RE1 0.3246 0.039 8.32 <0.0001 *** RE2 0.1269 0.0412 3.08 0.0021 *** RE3 0.0843 0.0392 2.15 0.0318 ** DVOL 0.0127 0.00174 7.3 <0.0001 *** 000800 R^2=0.0196 RATE1 0.0359 0.0295 1.22 0.2228 RATE2-0.1104 0.0352-3.13 0.0017 *** RATE3 0.0859 0.0348 2.47 0.0136 ** GAMMA1 0 0 0 0.9981 PHO1 1 0 220000 <0.0001 *** R^2=0.253 RE1 0.22 0.0365 6.01 <0.0001 *** RE2 0.119 0.037 3.21 0.0014 *** RE3 0.0822 0.0363 2.26 0.0239 ** DVOL 0.0089 0.0007 12.73 <0.0001 *** 000038
R^2=0.0016 R^2=0.1496 RATE1-0.0118 0.0372-0.32 0.752 RATE2 0.0046 0.0381 0.12 0.905 RATE3 0.0168 0.0377 0.44 0.657 GAMMA1 0.0599 0.0087 6.89 <0.0001 *** PHO1 0.9401 0.0087 108.1 <0.0001 *** RE1 0.1214 0.0384 3.16 0.0016 *** RE2 0.1116 0.0392 2.85 0.0046 *** RE3 0.1317 0.0385 3.42 0.0007 *** DVOL 0.006955 0.000819 8.49 <0.0001 *** 33 2 32 33 α 3.1.4 300 α 31 Lsh A Lsz 2001 4 28 2001 9 10
31 A 3.2 24 000498 Pearson -0.45P =0.00 600161 A Pearson -0.39P =0.00 34 A 000800 000038 600186 600733 Pearson 0.85 0.2 1 Pearson 0.61 0.68 P-value 0.000 0.000 P-value 0.000 0.000 34
4 4.1 4.1.1 bid ask spread Bid 1 2 P A P B P A AskB deph ( Q + ) Q A Q B A AskB Bid 4.1.2 Madhavan(1992) semi-srong form efficien (maringale)
Madhavan(1992) 1 2 1 2
3 4.2 4.2.1 2-1 liquidiy risk L RISK ) / ( m RISK P P P Var L = L RISK j bj P P m sj j sj bj m j P * 3 * j P P P + = ω ω ω L RISK
4.2.2 BlumeEasley O Hara1994 Madh avan(1992) 1 2 L JN σ P L JN ( P = ) 1 H L JN L JN L JN P H σ P 4.2.3 L EL
L EL % V = % P % V 4.3 3 GARCH (2001) GARCH(p=1,q=1) GARCH GARCH aggregaion sock variable flow variable GARCH GARCH GARCH(p,q) 4.3.1 3 2001 4 15 2001 9
10 000038 2001 6 27 2001 8 17 9 30 1130 1300 1500 240 5 median mean Min max Sdev 2001817 5.993865 15.29694 0.001329 78.7774 23.69 L RISK L JN L EL 99.64601 257.0252 16.43247 1038.78 381.15 550.735 2009.607 110 10813.84 3169.13 2001627 0.080478 0.518086 0.002786 7.053437 1.2725 L RISK L JN L EL 900.7126 2038.221 21.10685 12954.54 3136.48 3246.696 7425.045 62.11024 31944.19 8325.58 4.1 4.1 2001 8 17 15.2976 27 0.518 6 27 2038.22 L EL 257.03 2009.61 L EL 6 27 8 17 L L 000038 L JN 7425.05 L RISK JN EL 8 17 L JN
4.3.2 L L EL 4.2 000038 2001 6 27 Pearson P 0.01 JN Lrisk Ljn Lel Lrisk 1-0.11-0.18 Ljn -0.11 1 0.74 Lel -0. 18 0.74 1 4.2 Pearson L L JN EL 4.3.3 000038 2001 6 30 2001 6 27 0.004042001 8 17 0.0067 8 17 6 27 6 27 8 17
L LEL JN 8 17 5 1 2 3 1999 3 10 2001 9 10 60
2001 4 15 2001 9 10 1 2 3 GARCH 4 L L EL 000038 2001 8 17 1000 1030 JN 1. Blume,F., Easley, D., & O Hara, M.(1994) Marke saisics and echnical analysis: The role of volume, Journal of Finance, 49, 153-182.
2. Chan, L., & Lakonishok, J., (1995) The Behavior of Sock Prices Around Insiuional Trades, Journal of Finance, Vol 50., 1147-1174. 3. Chordia, T., Roll, R. & Subrahmanyam, A., (2000) Commonaliy in Liquidiy, Journal of Financial Economics, 56, 3-28. 4. Daar, V., (2001) Impac of Liquidiy on Premia/discouns in Closed-end Funds, The Quarerly Review of Economics and Finance, 41 119-135. 5. Easley, D., & O Hara, M. (1992) Time and he Process of Securiy Price Adjusmen, Journal of Finance, 47, 577-605. 6. Garbade, K., & Silber, W., (1979) Srucural Organizaion of Secondary Markes: Clearing Frequency, Dealer Aciviy and Liquidiy Risk, Journal of Finance, Vol 34, 577-593. 7. Garman, M., (1976) Marke Microsrucure, Journal of Financial Economics, 3,257-27 5. 8. Glosen, L., & Milgrom, P., (1985) Bid, Ask and Transacion Prices in a Special Mar ke wih Heerogeneously Informed Traders, Journal of Financial Economics, 14, 7 1-100. 9. Hand, D., & Jacka, S.,(1998) Saisics in Finance, Arnold Press. 10. Hasbrouck, J., & Seppi, D., (2001) Common Facors in Prices, Order Flows, and Liquidiy, Journal of Financial Economics, 59, 383-411. 11. Keim, D., & Madhavan, A.,(1996) The Upsairs Marke for Large-Block Transacions: Analysis and Measuremen of Price Effecs, Review of Financial Sudies, Vol 9.,1-36. 12. Keim, D., & Madhavan, A.,(1997) Transacion Coss and Invesmen Syle: an Iner-e xchange Analysis of Insiuional Equiy Trades. Journal of Financial Economics, 46, 265-292. 13. Kraus, A., & Soll, H.,(1972) Price Impacs of Block Trading on he New York Sock Exchange, Journal of Finance, Vol 27., 569-588. 14. Maddala, G., & Rao, C.,(1996) Saisical Mehods in Finance; Elsevier Press. 15. Madhavan, A., (1992) Trading Mechanisms in Securiies Markes, Journal of Finance, Vol 47., 607-641. 16. Nanda, V., Narayanan, M., & Warher, V.A.,(2000) Liquidiy, Invesmen Abiliy, and
Muual Fund Srucure, 17. Xu, C., K.(2000) The microsrucure of China sock marke, China Economic Review, 11, 79-97. 18. 2001 4 36-42 19. 2000 3 2 62-68 20. 2000 21. 1999