Journal of Financial Markets· Volume 28, March 2016· Pages 1–23

股票市场质量崩盘

作者：Cheng Gao (Department of Economics, Rutgers University, United States), Bruce Mizrach (Department of Economics, Rutgers University, United States)

摘要：市场质量崩盘是指交易日内价格极端的反转运动。我们分析了证券价格研究中心（CRSP）和纽约证券交易所交易和报价高频数据库（TAQ）所有股票的全国最优买卖价变化。1993至2013年的平均每日买价下降性崩盘频率是1.03%，而2010至2013年平均只有0.34%。卖价上升性崩盘、极端价格上涨出现的频率和买价下降性崩盘相似。买价下降性崩盘和卖价上升性崩盘在国家市场系统管理规则（Reg NMS）执行后大幅减少。市场相关系数上升更容易引发崩盘。交易型开放式指数基金和高频交易是市场相关性的格兰杰原因。买价下降性崩盘和卖价上升性崩盘在两天内可以预见。

关键词：市场质量；买价下降性崩盘；卖价上升性崩盘；相关系数；高频交易

Market quality breakdowns in equities

Cheng Gao (Department of Economics, Rutgers University, United States), Bruce Mizrach (Department of Economics, Rutgers University, United States)

ABSTRACT

Market quality breakdowns are extreme price movements that reverse during the trading day. We analyze changes in the national best bid and offer for all stocks in CRSP and TAQ. The average daily breakdown frequency from 1993 to 2013 is 1.03%, with averages in 2010–2013 only 0.34%. Breakups, extreme price increases, occur as frequently as breakdowns. Breakdowns and breakups have fallen significantly since Regulation National Market System was implemented. Spikes in market correlation make breakdowns and breakups more likely. Both exchange-traded funds and high-frequency trading Granger cause market correlation. Breakdowns and breakups are predictable for up to two days.

Keywords：Market quality; Breakdown; Breakup; Correlation; High-frequency trading

原文链接： http://www.sciencedirect.com/science/article/pii/S138641811630057X

翻译：黄怡文