买卖价差

本文对中国证券市场微观结构的研究从买卖价差开始。

Next , the paper begins the study of microstructure by examining the bid-ask spread .

在报价驱动交易机制下，买卖价差由指令处理成本、存货成本和非对称信息成本构成。

In a quote-driven market , bid-ask spread is composed of order processing costs , stock holding costs and asymmetric information cost .

做市商靠赚取买卖价差生存。

Market makers earn their livings from the spread between buying and selling prices .

深圳证券交易所买卖价差的构成分析

Components of the Bid-Ask Spread in the Shenzhen Stock Exchange

上海股市买卖价差成分分析

An Analyses of the Components of the Bid-ask Spreads in Shanghai Stock Market

我们看到的是，由于缺乏流动性导致买卖价差进一步扩大。

What we have seen is wider bid-offer spreads because of less liquidity .

订单驱动机制下买卖价差构成分析&兼论以买卖价差度量流动性的可靠性

The Components of Bid-ask Spread in Order-driven Market

经研究发现，买卖价差随投资者对资产预期与逆向选择成本的增加而增加，当买卖双方力量对比相当时，买卖价差达到最大；

The spread widens as the difference in valuation and adverse selection costs increase .

基于市场微观结构的上海股票市场买卖价差的实证研究

Empirical Study on Bid-Ask Spread of Shanghai Stock Market Based on the Market Microstructure

深市买卖价差逆向选择成分的估算与分析

The Adverse Selection Component of the Bid-ask Spread in Shenzhen Market : Estimation and Analyses

微观结构理论对交易成本的研究是从买卖价差开始的。

Market microstructure theory bases its research on the difference between bid and ask prices .

过小的合约规模将增加交易者的交易成本，而过大的合约规模却会阻止一些小额交易者进入市场，使得成交量减小，买卖价差价值扩大，市场交易效率降低。

This in turn results in lighter volume , greater price spread and lower trading efficiency .

它们通过降低买卖价差改善了交易所的价格质量。

They improve the quality of the prices on the exchanges by lowering the bid-ask spread .

中国股市买卖价差成分分析&基于指令驱动市场的实证研究

An Analysis of the Components of Bid-Ask Spread in Chinese Stock Market & A Case Study of the Order-Driven Market

自营商的利润或损失来自于同一证券的买卖价差。

The dealers profit or loss is the difference between the price paid andthe price received for the same security .

如果价格恒定不变，则将不会有买卖价差，最终会没有交易。

If the price is constant , there would be Bid-ask spread , and eventually there would be no deal .

买卖价差和平均交易量的引入，对于大多数股票来说，都具有明显的负面效应。

Business transactions bid and ask peace are , transaction volume for most of the stock , it has obvious negative effects .

采用分笔交易数据，用相对买卖价差分析我国债券市场流动性，可以得出如下结论：各期限国债流动性差异不大，短期和长期国债流动性相对较好；

This paper , adopting the real-time trading data , analyzes the bond market liquidity in China by means of proportional bid-ask spread .

第二章分析了买卖价差的三个经济意义，即交易成本、存量成本和信息成本。

In chapter two , three economic meanings of bid-ask spread are analyzed . They are transaction cost 、 inventory cost and information cost .

大多数点心债券的买卖价差为100个基点左右，这表明其流动性非常之弱。

In a sign of the dearth of liquidity , the bid / ask spreads on most dim sum bonds are about 100 basis points .

本文对存在买卖价差、成比例交易费和固定交易费三种摩擦的多期证券市场，用无套利方法研究资产定价理论。

By no-arbitrage approach this paper investigates asset-pricing theory in frictional multi-period securities markets with bid-ask spreads , proportional transaction costs , and fixed transaction costs .

另一方面，信息不对称带来了交易中的逆向选择问题，特定的非流动资产的出售需要较高的买卖价差来弥补逆向选择风险。

On the other hand , information asymmetry brings out averse selection in transaction , then a wider spread is needed for the transaction of illiquid assets .

结果发现，同用各种买卖价差表示的流动性指标相比，反应交易活动的交易量指标显示出更大的波动性，市场流动性和交易的活跃性显著相关。

We find that the liquidity index of volume are more fluctuant than other liquidity index of spread , the market liquidity is correlated with trading activity significantly .

在文中我们思考一个在交易费中包括两种不同的固定交易费、成比例的交易费、和买卖价差及税收等复杂摩擦市场。

In this paper we consider a frictional financial market where the transaction costs includes two difference fixed costs , a proportional costs and bid-ask spreads , and tax .

同时在目前的条件下降低做市商银行的外汇买卖价差也是打击外汇黑市的有效方法之一。

At the same time , in the current conditions to reduce the exchange market makers bank bid-ask spread is also one of effective ways to combat the black market .

此外，高价股买卖价差中的逆向选择成本所占比例高于低价股价差中的逆向选择成本比例。

Finally , the proportion of adverse selection cost in bid-ask spreads of the stocks with high price level is higher than that of the stocks with lower price level .

即使控制财务信息质量不变，非审计服务仍然对信息风险的度量指标&资本成本和买卖价差产生负面影响。

If we control for the quality of financial statements , non-audit services still have a negative association with the cost of capital and the bid / ask spread as proxies for information risk .

只有市场参与者包含各种会在不同时间需要该种货币的买方和卖方，买卖价差才能小而稳定，这也是具有流动性的市场的标志。

Only if market participants include a wide variety of buyers and sellers who require a currency at different times will bid-ask spreads be low and stable – the hallmark of a liquid market .

交易员们报出的买卖价差扩大了近一倍，这表明不确定性以及流动性短缺已达到自去年8月信贷危机开始爆发以来未曾有过的水平。

The spread between the price at which traders were quoting bids and offers nearly doubled , indicating a level of uncertainty and illiquidity not seen since last August when the credit crunch first hit .

通过回归模型对买卖价差进行分解后，发现全体样本的逆向选择成本占整个价差的42.19%，且随着成交量的增加而增大；

After decomposing bid-ask spread through the regression model , we estimate an adverse selection component of 42.19 % , a order processing component of 34.23 % and a order persistence component of 23.27 % .