基于訂單提交策略選擇對投資業(yè)績影響的實證研究.pdf

1、指 導(dǎo) 小組 成 員名單劉 紅 忠 教 授謝 為 安 副教授何 光 輝 副 教 授陸前進 副教授A b str a c tU ti l i zi ng datasets contai ni ng order book of ShanghaiSecuri ties E xchange(S SE )， dai l y prices of S SE st ocks， an d order records of i nve

2、st ors， t hi s paper present san em pi ri calanal y si s of order subm i ssi on strategi es'response on m arketi m pactunderasym m et ri c i nf orm at i on,and an em pi ri calanal ysi s of i nfl uence on i nve

3、st or' sperf orm ance of order subm i ssi on st rategi es.I fi rstrebui l d order book justpri or t o each order subm i t ted by each i nvestor.E m pl oyi ng ordered l ogi tm odel ,Iregress t he order aggressi ven

4、ess i ndex on m ark etcondi ti on vari abl es i ncl udi ng spread,dept h,m om ent um ,and vol ati li t y.T hen,Iexam i n e t h e m od elfor t w o sub -sets,i. e. ,i n form ed traders an d un i n form ed t raders.Seco

5、ndl y,Iconst ructi nvest or port fol i os for each t ype of orders.Icom pare t hep erform ances of diff erentport fol i os around arri vals of new i nform ati on,t hei rdi sposi ti on effect ,as w el las t h e cont rar

6、i an behavi or.A f t er t hat,Iconductt he sam eprocedure for di fferentt y pes of i nvest ors,as w el las di ff erentt ypes of orders w i t h i ne a c h k in d o f in v e sto rs.T h e m ai n f indi ngs are as fo

7、l l ow s.I.  T he perform ances of i nform ed t raders and uni nform ed t raders are si gnifi cantl ydi ff erentconcerning m isunderstandi ng new i nform at i on,di sposi ti on eff ect，an dcont rari an b ehavi or.T

8、he uni n f orm ed p erform si gnifi cantl y w orse i n al lt hree asp ects，w hi ch just i f ies t radi ng acti vi t y as a proxy for i nform at i on .II.  Invest ors of SSE response generall y i n t he sam e

9、w ay as i nvest ors f rom ot hercount ri es,butw i t h not i ceabl e excep ti on s.F i rst ,i n vest ors o f S SE t reataggressi ve li m itorders as m ark etorders.Secon d， p at ientl i m i tord ers an d m ark etord

10、ers are hi ghl ysensi ti ve to m arketi m p acts,w hi l e aggressi ve l i m i torders and ordi nary l i m i tordersa r e n o t .III.  Inform ed t raders rel y m ore heavi l y on l i m i torders t han uni nform ed t rad

11、ers.U ni nform ed t raders are m ore sen si t i ve to ch anges of spread and m om ent um .IV .  T he usage of l i m i torders i s responsi bl e f or i nvest ors*m i sunderst andi ng newi nform ati on,disposi t i

12、 on effect,and cont rari an behavi or.A nd the degree of l i m i t ordereffectis negat i vel y rel at ed to order aggressi veness.K ey w ord s:l i m i torder book order subm i ssi on st rat egi es l i m i tord