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价格冲击成本是影响机构投资者投资绩效的重要因素,对价格冲击成本的研究具有重要意义。本文扩展了Cont等(2011)模型,将价格冲击细分为卖出与买入价格冲击,并结合沪市限价指令簿观测对所建模型进行了估计。实证结果表明:(1)价格变动与指令流非平衡之间存在显著的非线性关系;(2)指令流的价格冲击效应总体上未呈现出非对称性;(3)价格冲击成本除在连续竞价的前半个小时内较高外,并无明显的日内模式。经检验本文的实证结果是稳健的。
The cost of price shock is an important factor that affects the investment performance of institutional investors. It is of great significance to study the cost of price shocks. This paper extends Cont (2011) model, subdivides the price shock into selling and buying price shocks, and estimates the model based on the Shanghai Stock Limit Directive. The empirical results show that: (1) there is a significant non-linear relationship between price changes and instruction flow unbalance; (2) the price shock effect of instruction flow generally shows no asymmetry; (3) Bidding within the first half hour higher, there is no obvious day mode. The empirical results of this paper are robust.