Adverse Selection; Empirical Evidence from the Relationship between Price and Volume in Limit Order Books of China Stock Market
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.
China Stock Market The Relationship between Price and Volume Adverse Selection Cost Order-Driven Market Limit Order Book
Chen Yu Li Ping Zeng Yong
School of Management, University of Electronic Science and Technology of China, Chengdu, P.R.China, 610054
国际会议
天津
英文
2007-10-20(万方平台首次上网日期,不代表论文的发表时间)