研究交易量对中国大豆市场流动性和价格的影响

IF 2.1 3区 经济学 Q2 AGRICULTURAL ECONOMICS & POLICY Agribusiness Pub Date : 2023-12-28 DOI:10.1002/agr.21887
Yuanyuan Xu, Jian Li, Linjie Wang, Xiaoli Etienne
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引用次数: 0

摘要

本文提出了高分辨率的流动性指标,并研究了交易量对中国大豆综合市场流动性和价格的影响。我们记录了一个交易日内交易量和价差的 U 型分布。量子回归结果表明,交易量往往会收窄买卖价差,但在尾部会扩大价差。我们进一步发现,交易量对价格的影响在开盘时段更为明显,这可能表明知情交易更为普遍。此外,与大额订单相比,小规模交易对价格的影响更大,这可能表明中国大豆市场存在隐形交易,即把大额订单切成小块以掩盖私人信息。
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Examining the impact of trading volume on liquidity and prices in China's soybean complex
This paper presents liquidity measures in high resolution and investigates the impact of trading volume on market liquidity and prices in China's soybean complex markets. We document a U-shaped distribution of volume and spreads over the course of a trading day. Quantile regression results show that trading volume tends to tighten bid-ask spreads but widen spreads in the lower tail. We further find that the impact of trading volume on prices is significantly more pronounced during the opening hours, possibly indicating a higher prevalence of informed trading. Additionally, smaller-sized transactions have a disproportionately larger impact on prices compared to large-sized orders, a possible indication that stealth trading, that is, shaving large orders into smaller slices to conceal private information, presents in China's soybean complex.
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来源期刊
Agribusiness
Agribusiness 农林科学-食品科技
CiteScore
5.50
自引率
6.20%
发文量
58
审稿时长
6 months
期刊介绍: Agribusiness: An International Journal publishes research that improves our understanding of how food systems work, how they are evolving, and how public and/or private actions affect the performance of the global agro-industrial complex. The journal focuses on the application of economic analysis to the organization and performance of firms and markets in industrial food systems. Subject matter areas include supply and demand analysis, industrial organization analysis, price and trade analysis, marketing, finance, and public policy analysis. International, cross-country comparative, and within-country studies are welcome. To facilitate research the journal’s Forum section, on an intermittent basis, offers commentary and reports on business policy issues.
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