CAJ | 학술논문

在中国证券市场选取大盘环境不同的时段，利用配对技术消除样本系统误差，对大单买卖价格冲击不对称性及该不对称与市场环境之间的关系进行了实证分析。研究表明：中国证券市场的大单买卖价格冲击存在显著不对称性，且该不对称性与市场环境相关。当大盘上涨时，买入订单的价格冲击均比卖出订单大，当大盘下跌时，卖出订单的价格冲击多数比买入订单要大。
재중국증권시장선취대반배경불동적시단，이용배대기술소제양본계통오차，대대단매매개격충격불대칭성급해불대칭여시장배경지간적관계진행료실증분석。연구표명：중국증권시장적대단매매개격충격존재현저불대칭성，차해불대칭성여시장배경상관。당대반상창시，매입정단적개격충격균비매출정단대，당대반하질시，매출정단적개격충격다수비매입정단요대。
Empirical analysis is carried out aiming at elimination of errors in sample system with matching technology, asymmetry in price impact and the relationship between this asymmetry and market condition under different situations in China＇s securities market. The results indicate that： Asymmetries in Price impact of block trade are significant, which is associated with market condition. In bull market, block purchase has a bigger price impact than block sale, while in bear markets, vice versa.