CAJ | 학술논문

根据市场微观结构理论,以买卖价差为研究对象,基于上证180成分股中159支股票的高频数据,研究了股票价格、买卖价差的基本统计量,分析买卖价差的衡量指标性质。通过对上证180成分股高频数据的研究,运用对数ACD模型对上证180成分股进行参数估计,探寻买卖价差对股票市场流动性的影响,得出参数估计方程,说明买卖价差对流动性有显著的影响。
근거시장미관결구이론,이매매개차위연구대상,기우상증180성분고중159지고표적고빈수거,연구료고표개격、매매개차적기본통계량,분석매매개차적형량지표성질。통과대상증180성분고고빈수거적연구,운용대수ACD모형대상증180성분고진행삼수고계,탐심매매개차대고표시장류동성적영향,득출삼수고계방정,설명매매개차대류동성유현저적영향。
According to market microstructure theory,taking bid-ask spread as the object,the basic statistics of stock price and bid-ask spread are studied based on SSE-159 indexes out of 180-stock high frequency data for analyzing the bid-ask spread features.Through the high frequency data of SSE-180 index,the parameters are estimated with ACD model for searching the influences of stock bid-ask spread on the stock market liquidity.The parameter estimation equations are get to explain the impacts are obvious.