中国股票市场价格集聚现象的实证研究

本研究以中国股票市场部分股票的日内逐笔报价与成交价作为资料来源。验证价格集聚现象是否存在于中国股票市场。实证结果发现,约有28%的报价和成交价的尾数集聚在0和5,显著拒绝等概率分布假设;且价格集聚程度还具有显著的日内效应,即开盘时段的价格集聚程度明显高于其它时段;价格集聚程度与价格波动性、买卖价差、成交笔数、价格水平都呈正向相关关系。

An Empirical Study on Price Clustering in China Stock Market

This article provides the evidence of price clustering in the China stock market by using intraday quoted and traded prices.The results show that last digits of prices are significantly different from the uniform distribution and about 28% trades or quotes cluster on 0 or 5.The intraday pattern of price clustering is also found.An extremely high percentage of price clustering appears at the opening. Estimation results document that the degree of price clustering increases with high volatility,bid-ask spreads,transaction frequency,and price level.