CAJ | 학술논문

以上海证券交易所A股市场所有股票的高频交易数据为样本，验证了中国股票市场中的隐藏性交易行为，证实了纯指令驱动市场中也存在隐藏性交易现象。但与纽约证券市场的知情交易者将交易指令集中于中等规模的交易以隐藏自己的知情者身份有所不同，中国股票市场中的知情交易者在市场上升时期将交易指令分解成较小规模的交易进行成交，而在市场下降时期则倾向于选择较大规模的交易指令，这表明不同的市场交易机制和外部市场环境对知情交易者提交策略具有不同的影响。
이상해증권교역소A고시장소유고표적고빈교역수거위양본，험증료중국고표시장중적은장성교역행위，증실료순지령구동시장중야존재은장성교역현상。단여뉴약증권시장적지정교역자장교역지령집중우중등규모적교역이은장자기적지정자신빈유소불동，중국고표시장중적지정교역자재시장상승시기장교역지령분해성교소규모적교역진행성교，이재시장하강시기칙경향우선택교대규모적교역지령，저표명불동적시장교역궤제화외부시장배경대지정교역자제교책략구유불동적영향。
Taking the high frequency trading data of Shanghai Stock Exchange A stock market as samples , this paper confirms that there also exists a phenomenon of stealth trading in pure order-driven market, and verifies the stealth trading behavior of investors'in Chinese stock market .Different from the New York Stock Exchange where informed traders usually concentrate on medium-sized trading in order to hide their insider status , informed traders in Chinese stock market are more likely to submit small-sized orders on a bullish market , and large-sized orders on a bearish market, which shows that different structures of trading mechanism and external market environment have different in -fluence on the order submission strategy of informed traders .