원문정보
초록
영어
This paper proposes a set of measurement to analyze the information content of limit order book based on cointegration theory and error correction model, and conduct empirical studies using the tick-by-tick transaction data of Shanghai Stock Exchange 180 Index components. Empirical results indicate that limit-order book is informative, even the orders other than the best bid and ask can also contribute approximately 41% to the price discovery. Further, this paper also pays a lot of attention to examine the relationships between the limit-order book and the short-run future return of the stocks. We find that the information of a limit-order book can help investors to forecast the future short-term return and thus improve the overall welfare of them.
목차
1. Introduction
2. Hypotheses and Model
2.1. Basic Hypotheses
2.2. Research Methods
3. Data and Descriptive Statistics
3.1. Sample Selection and Processing
3.2. Descriptive Statistics
4. Empirical Results and Analysis
4.1. The Information Content of Limit Order Book
4.2. The Relationship between Limit Order Book and Short-Term Equity Returns
5. Conclusion
References