会议专题

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

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)

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)