上海交通大学学报

上海交通大学学报（自然版）

• 管理科学 • 上一篇    下一篇

上海A股市场股票交易规模、买卖委托单不平衡与流动性研究

高文涛1，孟宪忠1，张少军2   

  1. (1．上海交通大学 安泰经济与管理学院， 上海 200052；
    2．哈尔滨工业大学 管理学院， 哈尔滨 150001)
  • 收稿日期:2007-11-26 修回日期:1900-01-01 出版日期:2008-11-28 发布日期:2008-11-28
  • 通讯作者: 孟宪忠

Research on Stock Liquidity Based on Trade Size, Order Imbalance in Shanghai AShare Market

GAO Wen-tao1,MENG Xian-zhong1,ZHANG Shao-jun2   

  1. (1.Antai College of Economics & Management, Shanghai Jiaotong University, Shanghai 200052, China;
    2.School of Management, Harbin Institute of Technology, Harbin 150001, China）
  • Received:2007-11-26 Revised:1900-01-01 Online:2008-11-28 Published:2008-11-28
  • Contact: MENG Xian-zhong

摘要： 以上海A股市场2006年投资者买卖委托数据为对象，获取不平衡交易数据，建立模型研究了股票交易规模、买卖委托单不平衡与流动性之间的关系.结果显示，对于交易规模较低的中小流通市值企业和交易规模较高的大流通市值企业，股票交易规模与流动性呈显著正相关；控制股票交易规模，以买卖股数差额比率度量的买卖委托单不平衡，及以分笔交易为度量基础的较高交易规模股票的买卖委托单不平衡，均显著地正相关于股票的流动性，投资者对买单比卖单的偏好导致了股票流动性的增加；样本考察期内股票买卖委托单不平衡与交易规模不存在明显因果关系，前期的交易规模并未导致买卖委托单不平衡变化，反之亦然.

关键词: 交易规模, 买卖委托单, 委托单不平衡, 流动性

Abstract: This paper considers method to measure investors’ buy and sell order imbalance and investigates the relationship among trade size, order imbalance and stock liquidity based on high frequency trading data of Shanghai Ashare market in 2006. The empirical result shows that there exists significant positive relationship between trade size and stock liquidity for small trade size of mid and smallcap enterprise and for big trade size of bigcap enterprise. And for all level cap stocks, through controlling the trade size, the stock order imbalance based on the ratio of buy minus sell to total volume and the order imbalance of big trade size stock based on tick data are positive to stock liquidity significantly, the investors’ preference on buy order results in the higher liquidity. There is no great relationship between order imbalance and trade size, the contemporaneous trade size does not cause the order imbalance changing, and vice versa.

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