Adverse Selection; Empirical Evidence from the Relationship between Price and Volume in Limit Order Books of China Stock Market

摘要：

This paper analyzes the adverse selection cost by examining the relationship between price and volume in limit order books from China stock market. With Generalized Method of Moments based on static character conditions for marginal limit orders and dynamic updating conditions for order book revisions over time, we find that the adverse selection cost has significant transitory impact on price. Furthermore, adverse selection cost is greater (smaller) in markets with higher (lower) stock-specific volatility and lower (higher) trading volume and order-imbalance.

关键词： China Stock Market The Relationship between Price and Volume Adverse Selection Cost Order-Driven Market Limit Order Book

作者: Chen Yu Li Ping Zeng Yong

作者单位: School of Management, University of Electronic Science and Technology of China, Chengdu, P.R.China, 610054

会议类型: 国际会议

会议名称: 第十四届工业工程与工程管理国际会议(The Proceedings of The 14th International Conference on Industrial Engineering and Engineering Management IE&EM2007)

会议地点: 天津

会议语种:英文

在线出版日期: 2007-10-20（万方平台首次上网日期，不代表论文的发表时间）