价格持续期、信息传递与市场微观结构——基于非对称ACD模型的实证分析

本文建立两状态价格持续期的非对称对数自回归条件持续期模型,引入买卖价差、交易量、交易规模、指令流等信息交易间接度量变量,在刻画条件期望价格持续期对价格上升和下降两种状态的不对称依赖关系的同时,探讨价格持续期的信息传递机制并检验微观结构相关假说。实证分析表明,在选取样本中,滞后买卖价差与滞后交易量与条件期望价格持续期显著负相关;滞后买一(卖一)指令申报数量与条件期望价格持续期具有显著相关性,其符号由当期价格状态决定;大规模交易比中等规模交易对条件期望价格持续期有着更加显著的影响。即实证结果支持信息交易增加导致交易持续期减小的观点,不支持隐藏交易假说。

Price Duration,Information Transmission and Market Microstructure——an Empirical Analysis Based on Asymmetric ACD Model

This paper develops a two-state asymmetric logarithmic ACD model for price duration,and incorporates informed trading indirect measurement variables including bid-ask spread,trading volume,trading size and order flow to describe the variation of conditional expected price duration asymmetrical depending on price increase and decrease states.At the same time it explores the information transmission mechanisms of price durations and tests market microstructure related hypotheses.The empirical analysis on the choosing sample shows that the lagged bid-ask spread and trading volume have a significantly negative correlation with the conditional expectation price duration;the lagged orders behind the best bid and ask prices have a significant correlation with the conditional expectation price durations,and the sign is determined by current price state;the large trading size has a more significant impact on price duration than the medium.The results support the view that the trade durations decrease as informed trading increase,but don’t support stealth trading hypotheses.