CAJ | 학술논문

通过建立两状态价格持续期的非对称对数ACD模型,刻画价格持续期过程对不同价格状态的不对称依赖关系和对未预期到的短价格持续期冲击与未预期到的长价格持续期冲击的不对称响应过程,并在该模型中引入买卖价差和交易规模变量,检验市场微观结构理论相关假说。模型拟合结果表明,价格上升和价格下降两种状态对价格持续期的影响不同,未预期到的短价格持续期冲击对价格持续期有正面影响,而未预期到的长价格持续期冲击对价格持续期有负面影响;对市场微观结构信息模型的实证分析表明,滞后买卖价差和滞后交易量具有信息含量,它们与价格持续期显著负相关;隐藏交易假说没有得到实证的支持,在选取样本中大规模交易量比中等规模交易量对价格持续期有更加显著的影响。
통과건립량상태개격지속기적비대칭대수ACD모형,각화개격지속기과정대불동개격상태적불대칭의뢰관계화대미예기도적단개격지속기충격여미예기도적장개격지속기충격적불대칭향응과정,병재해모형중인입매매개차화교역규모변량,검험시장미관결구이론상관가설。모형의합결과표명,개격상승화개격하강량충상태대개격지속기적영향불동,미예기도적단개격지속기충격대개격지속기유정면영향,이미예기도적장개격지속기충격대개격지속기유부면영향;대시장미관결구신식모형적실증분석표명,체후매매개차화체후교역량구유신식함량,타문여개격지속기현저부상관;은장교역가설몰유득도실증적지지,재선취양본중대규모교역량비중등규모교역량대개격지속기유경가현저적영향。
Developing two-state asymmetric logarithmic ACD model for price duration to describe the variation of conditional expected price duration asymmetrical depending on price state,and the asymmetric response processes following small and large innovations shock,then incorporate microstructure variables including bid-ask spread,trading volume and size into the Asymmetric ACD model in order to test related hypothesis in market microstructure literature. The modeling result shows the distinct impact of price increase and decrease state on price duration,small innovations have positive effect on conditional duration where large negative. The empirical analysis of related market microstructure hypotheses shows the lagged bid-ask spread and trading volume have information content; they＇re significantly negatively correlated to the conditional price duration. Furthermore,it＇s the large trading size not medium size have more significant impact on price duration; and there is no convincing evidence in favor of the stealth trading hypotheses according to the empirical analysis.