基于价格离散选择模型的中国股市价格行为特征研究

有关股票价格行为的研究大多数基于价格连续变化的假定.但最小报价单位引起的价格离散性导致价格变化并不连续.依据排序Probit模型原理,建立价格离散选择Probit模型,并利用高频数据,在价格离散奈件下对中国股市价格行为特征进行考察.实证结果表明:股票价格变化具有"报价回复"和"路径依赖"特征;高市值股票对股市整体走势反映迅速,市场信息能很快被融入到价格中;交易规模对价格变动存在持久的正的影响,非对称信息对股票价格的影响超过了流动性等其它暂时性因素的影响.交易时间间隔对股票价格变化没有显著影响.买卖价差越大、交易间隔越长,股价变动的波动性就越大.

Research on Price Behavior in Chinese Stock Market Based on Price Discreteness Choice Model

The Most of researches on price behavior of stock are based on the hypothesis that the change of stock price should be continuous,but the change of stock price is not continuous because of the price discreteness made by tick size.Based on the principle of ordered Probit model,the discrete price choice Probit model is built.Then based on the high frequency data,the characteristics of the price behavior in Chinese stock market are estimated with a view to the price discreteness.It can be concluded that the characteristics of stock price changes include the bid/ask bounce and the path dependent.,The reaction of stocks with high market value is faster than that with low market value to the stock market changes,which means that information can be recovered on price fast.There is durable positive impact on the change of stock price,which means that the influence of asymmetric information overrun that of other temporary factors.The price change is not influenced by the interval time between transactions.Higher the quote spread is,longer the interval time of transaction,higher the volatility of stock price is.