標題: | An empirical analysis of the Shanghai and Shenzhen limit order books |
作者: | Chung, Huimin Gao, Cheng Lu, Jie Mizrach, Bruce 資訊管理與財務金融系 註:原資管所+財金所 Department of Information Management and Finance |
關鍵字: | Limit order book;Chinese stock market;Microstructure;VAR model |
公開日期: | 1-八月-2013 |
摘要: | This paper investigates the market microstructure of the Shanghai and Shenzhen Stock Exchanges. The two major Chinese stock markets are pure order-driven trading mechanisms without market makers, and we analyze empirically both limit order books. We begin our empirical modeling using the vector autoregressive model of Hasbrouck and extend the model to incorporate other information in the limit order book. We also study the market impact on A shares, B shares and H shares, and analyze how the market impact of stocks varies cross sectionally with market capitalization, tick frequencies, and turnover. Furthermore, we find that market impact is increasing in trade size. Order imbalances predict the next day's returns, with small order imbalances having a negative effect. (C) 2012 Elsevier B.V. All rights reserved. |
URI: | http://dx.doi.org/10.1016/j.econmod.2012.11.055 http://hdl.handle.net/11536/23155 |
ISSN: | 0264-9993 |
DOI: | 10.1016/j.econmod.2012.11.055 |
期刊: | ECONOMIC MODELLING |
Volume: | 34 |
Issue: | |
起始頁: | 37 |
結束頁: | 41 |
顯示於類別: | 會議論文 |