限价指令簿的价格发现功能

基于上海证券交易所Level—2行情数据,本文运用Hasbrouck信息份额方法分别估计最近成交价、限价指令簿中最优买卖报价及第2—10档次买卖报价在价格发现中的贡献度,以考察限价指令簿的价格发现功能,尤其关注次优限价指令对价格发现的影响。我们认为,次优限价指令有助于价格发现,其贡献度为21.43%,而且其贡献度随指令主动性的下降而递减;最优限价指令的贡献度最大,为63.82%;最近成交价的贡献度最小,为14.76%;另外,本文还考察了个股横截面特征是否影响次优限价指令对价格发现的贡献度。实证结果表明:随着个股交易活跃度的下降,投资者更倾向于提交限价指令,从而导致次优限价指令对价格发现的贡献度增加;同时,其贡献度随公司规模和Beta系数的上升而单调下降。

The Price Discovery of the Limit Order Book

Using level-2 data from Shanghai Stock Exchange,we employ the method developed by Hasbrouck(1995) to estimate the contribution of the last transaction price,the best bid and offer prices,and the second to tenth bid and offer prices in the limit order book to price discovery,particularly focusing on the second-best limit orders on the interpretability of the efficient asset price.We find that the limit orders behind the best bid and offer are moderately informative—their contribution to price discovery is 21.43%.With the decline of the order aggressiveness,the information content declines.The information content of the best bid and offer prices on the book is the largest—their contribution to discovery is 63.82%.The last transaction price’s contribution to discovery is 14.76%.In addition,we find that the information content of the limit orders behind the best bid and offer increases with the decline of the intensity of trading activity,size and Beta coefficient.