财经理论与实践
財經理論與實踐
재경이론여실천
The Theory and Practice of Finance and Economics
2015年
6期
72-77
,共6页
交易持续期%价格变化与持续期(PCD)模型%投资者行为
交易持續期%價格變化與持續期(PCD)模型%投資者行為
교역지속기%개격변화여지속기(PCD)모형%투자자행위
Duration%Price Change and Duration (PCD)Model%Investor behavior
使用 PCD 模型，通过引入买卖价差、交易量、交易规模、委托指令流等交易信息变量探讨交易信息对投资者行为的影响。实证研究表明，买卖价差与期望交易持续期显著正相关，不支持 Easley 和 O’Hara (1992)的观点。同时大规模的交易能够显著地延长交易持续期，而中等规模的交易能够减小交易持续期，证实了知情交易者的隐藏交易假说。指令流信息中的买卖申报数量也对交易持续期有显著的影响，上期买卖申报数量与本期交易持续期正相关。
使用 PCD 模型，通過引入買賣價差、交易量、交易規模、委託指令流等交易信息變量探討交易信息對投資者行為的影響。實證研究錶明，買賣價差與期望交易持續期顯著正相關，不支持 Easley 和 O’Hara (1992)的觀點。同時大規模的交易能夠顯著地延長交易持續期，而中等規模的交易能夠減小交易持續期，證實瞭知情交易者的隱藏交易假說。指令流信息中的買賣申報數量也對交易持續期有顯著的影響，上期買賣申報數量與本期交易持續期正相關。
사용 PCD 모형，통과인입매매개차、교역량、교역규모、위탁지령류등교역신식변량탐토교역신식대투자자행위적영향。실증연구표명，매매개차여기망교역지속기현저정상관，불지지 Easley 화 O’Hara (1992)적관점。동시대규모적교역능구현저지연장교역지속기，이중등규모적교역능구감소교역지속기，증실료지정교역자적은장교역가설。지령류신식중적매매신보수량야대교역지속기유현저적영향，상기매매신보수량여본기교역지속기정상관。
This paper studies the impact of trading information such as bid-ask spread,trading volume,transaction size,and order flow information on investor behavior.Empirical result of the PCD model shows that the bid-ask spread was significantly correlated with the expected duration, which is not consistent with Easley and O'Hara(1 992).While large-scale trading is significantly correlated with longer duration,but medium-size transactions is often with shorter durations.It confirms the Stealth Trading Hypothesis of the informed traders.Order flow information such as the amount of trading quotes is positively correlated with duration.
