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

买卖报价对价格发现的相对贡献度研究

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支股票数据，以及2009-2010年纽约证券交易所（NYSE）上市的240支股票数据，我们发现买方报价和卖方报价对股票价格发现的贡献程度存在稳定的日度非对称现象。在西班牙股票交易所（纽约证券交易所）47.7%（62.8%）的股票交易日存在这种不对称现象，平均而言，小市值股票组的表现更为明显。我们发现，该不对称现象并非来自于市场噪声；当存在额外的买方发起的交易（卖方发起的交易）时，买方报价将（卖方报价）驱动股价变化。但是这种关系会伴随时间以及高频交易的出现不断减弱。

关键词：价格发现，订单流不平衡，信息份额，买卖报价，限价指令，市场微观结构

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

原文链接：

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

翻译：柳依依