集合竞价与连续竞价机制下的股票价格行为分析

©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(,610054):,,170,,:;;;;;:F830.91:A:1672-884Ò(2005)02-0200-06AnalysisoftheStockPriceBehaviorUndertheMechanismsofPeriodicCallandContinuousAuctionWangZhigangZengYongLiPing(UniversityofElectronicScienceandTechnologyofChina,Chengdu,China)Abstract:Onthebasisofthedatafrom170SSEstocksofShanghaiExchange,anempiricalanalysisofthestockpricebehaviorundertwodifferenttradingmechanismswasmadebycomparingthecharacteristicsofopeningtoopenreturns(theperiodiccallmechanism)withtheonesofclosingtoclosereturns(thecontinuousauctionmechanism).Itwasfoundthattheopeningreturnsexhibitthefollowingcharacteristics:greaterdeviationfromthenormaldistribution,greaterdispersionandamorenegativeandsignificantautocorrelationpatternthanclosingreturns.Itwasalsoobservedthatthegreaterdispersionoftheopeningreturnsisinducedbyboththeovernighttradinghaltbeforetheopeningandtheperiodiccallmechanism.TheanalysisofShenzhenStockExchangeshowedthesameempiricalresults.Itisconcludedthatdifferenttradingmechanismshavesignificanteffectonthestockpricebehavior.Keywords:periodiccall;continuousauction;tradingmechanism;return;dispersion;tradinghalt:2004-07-27:([2003]355);,,;,1,,:,[1]Amihud[1],,,(NYSE),(close2to2closereturns),(open2to2openreturns),,,Stoll[2],0022220053ChineseJournalofManagementVol.2No.2Mar.2005©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.[3](TSE),,,,[4,5]Madhavan[6],,,[911],[12]Amihud,10,10,,,[13],,,,,,2AmihudGarbade[14]:Pt-Pt-1=h(Vt-Pt-1)+Lt,(1),VtPt()t,0h2;Lt0R2tVtPt,R2[15]:();()h:h=0,();0h1,;h=1,;1h2,,:Vt=Vt-1+et+m,(2),m=E(Vt-Vt-1),(Vt-Vt-1);etLt,0,M2(1)(2)Pt=h6ti=0(1-h)iVt-i+(1-h)tP0+6ti=0(1-h)iLt-itû1-hû10h2,limt(1-h)t=0Pt=h6i=0(1-h)iVt-i+6i=0(1-h)iLt-iRt=Pt-Pt-1,Rt=m+h6i=0(1-h)i(et-i-Lt-i-1)+Lt[1]Var(Rt)=h2-hM2+22-hR2(3)Cov(Rt,Rt-1)=h2-h[(1-h)M2-R2]Corr(Rt,Rt-1)=Cov(Rt,Rt-1)Var(Rt)=h(1-h)M2-hR2hM2+2R2(4),hM2R2,R2M2(1-h)Var(Rt)M2,;R2M2(1-h)Var(Rt)M2,:R2;(1h2),(0h1)3180,102h=0,;0h1,;h=1;1h2,©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(CSMAR)Amihud,,,,Ro,t=ln(Po,t)-ln(Po,t-1);,Rc,t=ln(Pc,t)-ln(Pc,t-1)(),M2Ro,tRc,t4,Fama[16,17],(),,110,230,32,144(8417%,5510%)116(6812%,7010%)0(1%),12(711%,25%)0,,AmihudMendelson[1]1Var(Ro)öVar(Rc)KRT(Ro)öKRT(Rc)SKW(Ro)-SKW(Rc)6000001.05820.78541.5256(3.4261)6000011.21721.1680-0.0742(-0.1666)6000021.30941.07260.1398(0.3140)6000031.23561.34930.4179(0.93850)6000051.09691.3218-0.1211(-0.2720)6000061.27800.7634-0.3629(-0.8150)6000071.17991.08390.4966(1.1152)6000081.21711.04410.1748(0.3926)6000091.46691.05120.0248(0.0557)6000101.40140.97860.0121(0.0272):1.Var;2.KRTSKW,;3.t200ö%SKW(Ro)-0.003714484.7SKW(Rc)-0.218511668.2SKW(Ro)-SKW(Rc)0.2148127.1:1.SKW;2.1%311ö%Var(Ro)öVar(Rc)1.21370.138416999.4KRT(Ro)öKRT(Rc)1.15590.276011970.0:1.Var;2.KRT,1702022220053t,Ro,t=ln(Po,t+Dt)-ln(Po,t-1),Dt,CSMAR,,,18099179%,200271180180©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(7010%,6510%),,15159%(21124%),,,,,3,,170169,,21137%(35116%),,[1],Amihud[3],,[13],,,,1[13]Ro,t=Rl,t-1+Ru,t,Ro,tRl,t-1Ru,t,Var(Ro,t)=Cov(Ro,t,Rl,t-1)+Cov(Ro,t,Ru,t),,;Rc,t=Ru,t+Rl,t,Rc,tRl,tRu,t,Var(Rc,t)=Cov(Rc,t,Rl,t)+Cov(Rc,t,Ru,t),;Cov(Ro,t,Ru,t)Cov(Rc,t,Ru,t),,4,57187%(13316%),()29125%(29139%),24163%(21173%),,14162%(23169%)411ö%Cov(Ro,Ru)öCov(Rc,Ru)1.578716898.8Cov(Ro,Ru)öVar(Ro)Cov(Rc,Ru)öVar(Rc)1.287215591.2Cov(Ro,Rl)öCov(Rc,Rl)1.146216697.6Cov(Ro,Ru)öVar(Ro)0.2925Cov(Rc,Ru)öVar(Rc)0.2463:1.Cov(Ro,Ru)öCov(Rc,Ru);2.Cov(Ro,Ru)öVar(Ro)Cov(Rc,Ru)öVar(Rc);3.Cov(Ro,Rl)öCov(Rc,Rl);4.Cov(Ro,Ru)öVar(Ro);5.Cov(Rc,Ru)öVar(Rc):(1)302[13]Var(Ro,t)=Var(Rl,t-1)+Var(Ru,t)+2Cov(Rl,t-1,Ru,t),Var(Rc,t)=Var(Rl,t)+Var(Ru,t)+2Cov(Rl,t,Ru,t),(),()[13],,()()©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(2),14162%(23169%),,21137%(35116%),(3),,,[3][6],[18],(),:,;,;,;,()(),,,:(),,,,,,,()1,,,,,(),,,,(),,5,,,,,,,Fama3,3(RW3)Pt=L+Pt-1+Et,(5)Et,Cov(Et,Et-k)=0,k0RW3EtCov(Et,Et-1)=Cov(Pt-Pt-1,Pt-1-Pt-2),0510,66,(136,80%,Amihud7617%,8010%),-010565(Amihud-010635,-010785),150,4022220053[9]()10,,,,,,©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(92,5411%,Amihud80%,6010%),010129(Amihud010464,Fama01026,010193),70515(11)0,7(4),RW3,,5600000-0.1164(-1.7730)-0.0638(-0.9718)600001-0.0891(-1.3571)0.0659(1.0038)600002-0.0541(-0.8240)0.1005(1.5308)600003-0.0575(-0.8758)0.0240(0.3656)600005-0.0542(-0.8255)-0.0291(-0.4432)600006-0.1004(-1.5292)-0.0031(-0.0472)600007-0.0329(-0.5011)0.0365(0.5560)600008-0.1223(-1.8628)-0.0757(-1.1530)600009-0.1644(-2.5041)-0.0458(-0.6976)600010-0.1450(-2.2086)0.0699(1.0647):t600Q(Ro)-0.05653415(0)Q(Rc)0.0129927(50):1.Q(Ro)Q(Rc);2.t1%,,,(4),,R2(1-h)M2,h1;R2(1-h)M2,0h1,,,(),,[1]AmihudY,MendelsonH.TradingMechanismsandStockReturns:AnEmpiricalInvestigation[J].JournalofFinance,1987,42(3