本文選題：價格持續(xù)期 + 非對稱對數(shù)ACD模型��； 參考：《管理評論》2012年02期

【摘要】：本文建立兩狀態(tài)價格持續(xù)期的非對稱對數(shù)自回歸條件持續(xù)期模型,引入買賣價差、交易量、交易規(guī)模、指令流等信息交易間接度量變量,在刻畫條件期望價格持續(xù)期對價格上升和下降兩種狀態(tài)的不對稱依賴關(guān)系的同時,探討價格持續(xù)期的信息傳遞機(jī)制并檢驗微觀結(jié)構(gòu)相關(guān)假說。實證分析表明,在選取樣本中,滯后買賣價差與滯后交易量與條件期望價格持續(xù)期顯著負(fù)相關(guān);滯后買一(賣一)指令申報數(shù)量與條件期望價格持續(xù)期具有顯著相關(guān)性,其符號由當(dāng)期價格狀態(tài)決定;大規(guī)模交易比中等規(guī)模交易對條件期望價格持續(xù)期有著更加顯著的影響。即實證結(jié)果支持信息交易增加導(dǎo)致交易持續(xù)期減小的觀點,不支持隱藏交易假說。
[Abstract]:In this paper, the asymmetric logarithmic autoregressive conditional duration model of two-state price duration is established. The indirect measure variables of information transaction, such as buying and selling price difference, trading volume, transaction scale, instruction flow and so on, are introduced. While characterizing the asymmetric dependence of conditional expected price duration on price rise and fall, the information transmission mechanism of price duration is discussed and the hypothesis of microstructure is tested. The empirical analysis shows that, in the selected sample, the lag price spread is negatively correlated with the delay transaction volume and the conditional expected price duration, and the quantity of the order declaration is significantly correlated with the conditional expected price duration. The symbol is determined by the price state of the current period, and large-scale trading has a more significant impact on the conditional expected price duration than the medium-scale transaction. That is, the empirical results support the view that the increase of information transactions leads to the decrease of transaction duration, but not the hidden trading hypothesis.
【作者單位】： 南寧市社會科學(xué)院;華中科技大學(xué)經(jīng)濟(jì)學(xué)院;
【基金】：國家自然科學(xué)基金項目(70971051)
【分類號】：F224;F830

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1 張明良;自回歸條件持續(xù)期模型及其實證研究[D];湖南大學(xué);2005年

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本文編號：2040228