中国A股市场的指令差额与流动性研究

市场微观结构理论认为,以指令差额衡量的买卖双方的力量对比会影响价格形成。中国A股市场指令差额的日内模式基本呈倒“U”型,潜在流动性呈倒“L”型,实现的流动性呈“U”型。从差额的绝对值上看,指令差额的增加会减少价差;从差额的量和符号上看,指令差额越大会导致潜在流动性越小。这意味着正的指令差额(买方力量越强)导致更小的潜在流动性,而负的指令差额(卖方力量越强)导致更高的潜在流动性。

A Study on Order Imbalance and Liquidity in China A-share Markets

According to market microstructure theory, the buyer-seller power contrast, which is measured by order imbalance, can affect the formation of stock price. The intraday pattern of China's A-share market order imbalance is basically in an upside down U type, its potential liquidity is in an upside down L type, and the realized liquidity is in a U type. Seen from the absolute value of imbalance, the increase of order imbalance will reduce price imbalance. When considered from the imbalance quantity and signs, the bigger the order imbalance, the less it means for liquidity. This means the positive order imbalance (the buyer being more powerful) will lead to a smaller potential liquidity while the negative order imbalance (the seller being more powerful) will lead to a higher potential liquidity.