JOURNAL OF FINANCIAL MARKET· VOLUME 20· PAGES 129-150· SEPTEMBER 2014

買賣報價對價格發現的相對貢獻度研究

作者：Roberto Pascual (University of the Balearic Islands), Bartolomé Pascual-Fuster (University of the Balearic Islands)

摘要：采用2000-2010年西班牙股票交易所（SSE）上市的84支股票數據，以及2009-2010年紐約證券交易所（NYSE）上市的240支股票數據，我們發現買方報價和賣方報價對股票價格發現的貢獻程度存在穩定的日度非對稱現象。在西班牙股票交易所（紐約證券交易所）47.7%（62.8%）的股票交易日存在這種不對稱現象，平均而言，小市值股票組的表現更為明顯。我們發現，該不對稱現象并非來自于市場噪聲；當存在額外的買方發起的交易（賣方發起的交易）時，買方報價将（賣方報價）驅動股價變化。但是這種關系會伴随時間以及高頻交易的出現不斷減弱。

關鍵詞：價格發現，訂單流不平衡，信息份額，買賣報價，限價指令，市場微觀結構

The relative contribution of ask and bid quotes to price discovery

Roberto Pascual (University of the Balearic Islands), Bartolomé Pascual-Fuster (University of the Balearic Islands)

ABSTRACT

Using 2000–2010 data for 84 stocks listed in the Spanish Stock Exchange (SSE) and 2009–2010 data for 240 stocks listed in the New York Stock Exchange (NYSE), we provide robust evidence of daily asymmetries in the contribution of ask and bid quotes to price discovery. Asymmetries happen in 47.7% (62.8%) of the stock-day observations in our SSE (NYSE) sample, being larger in average among small cap stocks. These asymmetries are not driven by noise. Ask (bid) quotes lead in days with excessive buyer (seller) initiated trading, but the relationship weakened over time and with the advent of high-frequency trading.

Keywords: Price discovery; Order imbalance; Information shares; Ask and bid quotes; Limit order book; Market microstructure

原文鍊接：

http://www.sciencedirect.com/science/article/pii/S1386418114000524

翻譯：柳依依