Research on Stock Liquidity Based on Trade Size, Order Imbalance in Shanghai AShare Market
GAO Wen-tao1,MENG Xian-zhong1,ZHANG Shao-jun2
(1.Antai College of Economics & Management, Shanghai Jiaotong University, Shanghai 200052, China; 2.School of Management, Harbin Institute of Technology, Harbin 150001, China）
Abstract：This paper considers method to measure investors’ buy and sell order imbalance and investigates the relationship among trade size, order imbalance and stock liquidity based on high frequency trading data of Shanghai Ashare market in 2006. The empirical result shows that there exists significant positive relationship between trade size and stock liquidity for small trade size of mid and smallcap enterprise and for big trade size of bigcap enterprise. And for all level cap stocks, through controlling the trade size, the stock order imbalance based on the ratio of buy minus sell to total volume and the order imbalance of big trade size stock based on tick data are positive to stock liquidity significantly, the investors’ preference on buy order results in the higher liquidity. There is no great relationship between order imbalance and trade size, the contemporaneous trade size does not cause the order imbalance changing, and vice versa.
高文涛，孟宪忠，张少军. 上海A股市场股票交易规模、买卖委托单不平衡与流动性研究[J]. 上海交通大学学报（自然版）, .
GAO Wen-tao1,MENG Xian-zhong1,ZHANG Shao-jun2. Research on Stock Liquidity Based on Trade Size, Order Imbalance in Shanghai AShare Market. J. Shanghai Jiaotong Univ.(Sci.) , 2008, 42(11): 1776-1779.
