摘要
本文使用2016年4月1日至2016年6月30日的深圳市场订单簿逐笔交易数据动态重构了不同时刻的限价订单簿,构造了与传统深度指标相比更为全面的流动性度量指标,并对其与股价波动性的关系进行了实证研究。研究发现:度量流动性的供给情况不能仅依赖报价深度,还要综合考虑深层报价上的挂单量在订单簿中的分布,当可视报价上的挂单量较多时并不意味着此时整体流动性供给充足,因此流动性供给匮乏的问题在我国股票市场中常有发生。同时,与国外交易限制较弱的订单驱动型市场相比,中国股票市场限价订单簿中的报价分布离散程度更大,从而进一步导致了流动性供给难以集中于靠近订单簿顶端的报价上,增加了未来由于流动性供给匮乏而产生剧烈波动的可能。本文根据研究结论提出了相应的政策建议。
This paper uses the Shenzhen market order book transaction data from April 1st,2016 to June 30th,2016 to dynamically reconstruct the limit order book at different times,and constructs a more comprehensive liquidity than the traditional depth measure and an empirical research on its relationship with stock price volatility.Through research,it is found that measuring liquidity cannot rely solely on the quotation depth.We should comprehensively consider the distribution of the amount of pending orders on the different quotations in the order book.When the amount of pending orders on the visual quotation is large,it does not mean that the overall liquidity supply is sufficient.So the problem of lack of liquidity supply is often found in China’s stock market.At the same time,compared with the order-driven market with weak foreign trading restrictions,the quotation distribution in the Chinese stock market limit order book is more discrete,which further makes it difficult for liquidity supply to concentrate on the quotation near the top of the order book.It increases the possibility of violent fluctuations in the future due to lack of liquidity supply.Finally,this paper proposes corresponding policy recommendations based on the conclusions.
作者
王春峰
李思成
房振明
WANG Chun-feng;LI Si-cheng;FANG Zhen-ming(College of Management and Economics,Tianjin University,Tianjin 300072,China;Financial Engineering Research Center,Tianjin University,Tianjin 300072,China)
出处
《现代财经（天津财经大学学报）》
CSSCI
北大核心
2020年第2期52-65,共14页
Modern Finance and Economics：Journal of Tianjin University of Finance and Economics
基金
国家自然科学基金资助课题(71671122).
作者简介
王春峰,男,天津大学管理与经济学部教授,博士生导师,博士,主要从事金融工程与资本市场研究;李思成,天津大学管理与经济学部博士,主要从事金融工程与资本市场研究;房振明,天津大学金融工程研究中心副教授,博士,主要从事金融工程与资本市场研究。
