流动性供给与日内价格效率——基于中国股票市场的实证研究

doi:10.16381/j.cnki.issn1003-207x.2020.07.006

中国管理科学 ›› 2020, Vol. 28 ›› Issue (7): 57-67.doi: 10.16381/j.cnki.issn1003-207x.2020.07.006

流动性供给与日内价格效率——基于中国股票市场的实证研究

马丹¹, 王春峰^1,2, 房振明²

1. 天津大学管理与经济学部, 天津 300072;
2. 天津大学金融工程研究中心, 天津 300072

收稿日期:2018-07-15 修回日期:2018-09-30 出版日期:2020-07-20 发布日期:2020-08-04
通讯作者: 马丹(1991-),女(汉族),河南开封人,天津大学管理与经济学部,博士研究生,研究方向:金融工程,E-mail:dannie@tju.edu.cn. E-mail:dannie@tju.edu.cn
基金资助:
国家自然科学基金资助项目（71271146，71671122）

Liquidity Provision and Intraday Price Efficiency——Evidence on Chinese Stock Market

MA Dan¹, WANG Chun-feng^1,2, FANG Zhen-ming²

1. College of Management and Economics, Tianjin University, Tianjin 300072, China;
2. Financial Engineering Research Center, Tianjin University, Tianjin 300072, China

Received:2018-07-15 Revised:2018-09-30 Online:2020-07-20 Published:2020-08-04

摘要/Abstract

摘要： 本文基于中国A股市场高频交易数据从流动性供给的角度探究提高价格效率的途径，并结合信息交易和市场状态分析流动性供给与日内价格效率的关系。用短期收益的可预测程度来衡量价格效率，用逆势交易比例来衡量流动性供给水平，基于日内分时数据建立面板回归模型对流动性供给与价格效率之间的关系进行实证分析。结果表明，提高流动性供给能够促进日内价格效率的改善，同时较高的机构交易比例和较低的价格波动对流动性供给与价格效率之间的关系有正向促进作用。研究结论对于提高价格效率，稳定和完善市场具有启示作用。

关键词: 流动性供给, 价格效率, 高频交易, 市场微观结构

Abstract: In recent years, financial markets have experienced several crisis events. The US stock market crashed on May 6, 2010. The Chinese stock market suffered the price collapse in June 2015. The occurrence of these events due to the exhausted liquidity. Hence, liquidity supply is an important factor affecting market price efficiency. A sufficient and stable supply of liquidity can ensure the sustainability of the market price discovery process, while the lack of liquidity supply will hinder the transaction process, even result in price deviations and abnormal fluctuations. Although existing researches point out the importance of liquidity to price efficiency and the harm of liquidity shortage, there is barely literature concerning on the relationship between liquidity supply and price efficiency in Chinese stock market.
In the perspective of market microstructure, effective ways are explored to improve intraday price efficiency using the contrarian trading ratio as the intraday liquidity provision. Considering the informed trading and market conditions, the moderating effect of institutional trading and price fluctuation is investigated to liquidity provision and price efficiency.
In the conclusions of this paper, liquidity supply is an important factor affecting intraday price efficiency, and higher liquidity supply can significantly improve price efficiency. In terms of information trading, institutions are strategic and informed traders. Increasing the proportion of institutional transactions is positively promoting the relationship between liquidity supply and price efficiency. In terms of market status, stock price fluctuations measure the heterogeneous beliefs of the market to some extent. When the fluctuation is large, it is not conducive to the integration of market information and the effective recovery of price. Therefore, the lower price fluctuation has a positive effect on the relationship between liquidity supply and price efficiency.
A new perspective for improving intraday price efficiency is provided, benefit to policy-making and investment decision. A certain contrarian trading ratio guarantees the liquidity supply of the market, while the continuous and stable liquidity supply helps not only the market price efficiency during the normal trading period, but also the extreme liquidity demand during the crisis period, thus improving the market quality. At the same time, high-frequency traders can capture short-term momentum or reverse earnings by capturing the imbalance of intraday trading and developing a homeopathic or contrarian trading strategy as needed.

Key words: liquidity provision, price efficiency, high frequency trading, market microstructure

中图分类号:

F830

马丹, 王春峰, 房振明. 流动性供给与日内价格效率——基于中国股票市场的实证研究[J]. 中国管理科学, 2020, 28(7): 57-67.

MA Dan, WANG Chun-feng, FANG Zhen-ming. Liquidity Provision and Intraday Price Efficiency——Evidence on Chinese Stock Market[J]. Chinese Journal of Management Science, 2020, 28(7): 57-67.

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流动性供给与日内价格效率——基于中国股票市场的实证研究

Liquidity Provision and Intraday Price Efficiency——Evidence on Chinese Stock Market

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