基于定单流的动态投资策略及实证

doi:10.16381/j.cnki.issn1003-207x.2015.04.018

中国管理科学 ›› 2015, Vol. 23 ›› Issue (4): 148-156.doi: 10.16381/j.cnki.issn1003-207x.2015.04.018

基于定单流的动态投资策略及实证

李成刚¹, 罗聪², 胡剑波³

1. 贵州财经大学金融学院, 贵州贵阳 550004;
2. 西南财经大学中国金融研究中心, 四川成都 600074;
3. 贵州财经大学国际经济学院, 贵州贵阳 550004

收稿日期:2012-10-07 修回日期:2013-04-02 出版日期:2015-04-20 发布日期:2015-04-24
作者简介:李成刚(1982-), 男(汉族), 四川隆昌人, 贵州财经大学金融学院副教授, 管理学博士, 研究方向为:金融市场计量经济分析、证券投资策略等.
基金资助:
教育部人文社会科学研究规划基金项目(12YJA790125);贵州省人文社科重点研究基地规划项目(2011A002);广东省人文社科重点研究基地招标项目(2012XMA08)

Dynamic Investment Strategy Based on Order Flow and Its Empirical Study

LI Cheng-gang¹, LUO Cong², HU Jian-bo³

1. Faculty of Finance, Guizhou University of Finance and Economics, Giyang 550004, China;
2. Chinese Finance Research Institute, Southwestern University of Finance and Economics, Chengdu 600074, China;
3. School of International Economic, Guizhou University of Finance and Economics, Giyang 550004, China

Received:2012-10-07 Revised:2013-04-02 Online:2015-04-20 Published:2015-04-24

摘要/Abstract

摘要： 引入定单流指标捕捉资金流向, 提出定单冲击系数刻画资金流向的变化速度, 从金融市场微观结构视角, 建立了基于定单流的动态投资策略。从投资者期望效用最大化角度出发, 通过构建Lagrange函数, 推导出了动态投资策略的最优投资权重。选取2009年6月1日——2009年7月31日深证综指指数股票日数据进行实证分析, 实证结果表明, 基于定单流的动态投资策略能取得更好的投资收益。基于成对数据的t检验结果表明, 基于定单流的动态投资策略能获得超额收益。本文的研究为金融市场微观结构视角下的投资策略构建提供了新的方向。

关键词: 定单流, 动态投资策略, 期望效用, 实证研究

Abstract: Order flow indicator is introduced in this paper to capture the flow of funds, and order impact coefficient is put forward to characterize the change rate of funds inflow. From the perspective of financial market microstructure, a dynamic investment strategy is constructed based on order flow. From investors' expected utility maximization, by constructing a Lagrange function, the dynamic investment strategy is derived the optimal investment weight. An empirical study with daily data of index stocks of Shenzhen stock exchange composite index from June 1st, 2009 to July 31st, 2009 is carried out. The empirical results indicate that the dynamic investment strategy based on order flow can obtain better investment return. The test results of t test based on paired data show that, the dynamic investment strategy based on order flow can get significant excess returns. New direction for constructing investment strategy from the perspective of financial market microstructure is provided in this paper.

Key words: order flow, dynamic investment strategy, expected utility, empirical study

中图分类号:

F830.9

李成刚, 罗聪, 胡剑波. 基于定单流的动态投资策略及实证[J]. 中国管理科学, 2015, 23(4): 148-156.

LI Cheng-gang, LUO Cong, HU Jian-bo. Dynamic Investment Strategy Based on Order Flow and Its Empirical Study[J]. Chinese Journal of Management Science, 2015, 23(4): 148-156.

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基于定单流的动态投资策略及实证

Dynamic Investment Strategy Based on Order Flow and Its Empirical Study

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