投资者的闪单行为：动机以及对市场的影响

Technological advance and automatic trading give birth to the rise of fleeting orders, defined as the orders that are cancelled shortly after submission. Fleeting orders not only cast doubt on the fairness in stock trading, but also raise investors and regulators' concerns over a distortion of stock price signals and a deterioration in market quality. In fact, fleeting orders are closely related to the flash crash in both the China stock market and the European and the US stock markets. Up to now, we find that over 30% of nonmarketable limit orders are cancelled in China stock market and nearly half of those cancelled orders take place within 60 seconds. However, to our knowledge, the research on fleeting orders is still blank in the China stock market..This project therefore begins with studying investors’ motivations of fleeing orders to determine whether they are a quick response to market news or a designed strategy with an intention of moving stock prices. Secondly, we will build a limit order market model with fees on fleeting orders to examine whether they would result in a negative externality on market liquidity. This model can also serve to study the effect of the regulation of charging a fee based on the order to trade ratio. Based on the empirical implication of this model, we will design empirical models to examine the information content of fleeting orders and their effect on market quality. Moreover, what interests us most is to study the role these fleeting orders play in the flash crash. Finally, based on the results of this project and the regulation experience on fleeting orders in both European and US stock markets, we will raise useful recommendations on how to promote algorithmic (high-frequency) trading with well-designed regulation system.

科技进步和交易自动化催生大量且快速的撤单——闪单。闪单不仅会影响交易公平性，也引发了市场和监管者对价格信号扭曲以及市场质量恶化的担忧。事实上，在我国和欧美市场发生的“闪跌”事件中均能看到闪单的影子。目前，我国股票市场非积极限价单的撤单比例超过30%，其中近五成发生在60秒内。但是，我国针对闪单的研究尚属空白。.基于此，本项目将首先研究我国投资者闪单行为的动机，检验其是对新信息的快速反应，还是试图影响股价。其次，我们拟构建具有成本约束的闪单模型，它不仅能论证闪单是否会对市场流动性等产生负外部性，也为基于申报撤单比收取差异化费用的监管措施提供了政策效果评估的分析框架。我们还将根据理论模型的意涵，设计实证模型并检验闪单包含的信息含量以及其对市场质量的影响，特别是其在市场闪崩时充当的角色。最后，本项目拟根据研究结果和欧美市场针对闪单的监管经验，对我国发展和监管程序（高频）交易提出前瞻性的建议。

科技进步和交易自动化降低了投资者监视市况的成本，促成投资者大量且快速的撤单——闪单。本课题首先基于生存分析的方法，筛选出发生在60秒的撤单并将之定义为闪单。我们发现机构投资者闪单的比例要高于散户，而且闪单主要发生在大型股和委托买单上。其次，实证结果表明，追逐假说和瞬时交易成本假说都能解释闪单的发生；与此同时，散户投资者会因担心被捡便宜的风险而快速撤单，机构投资者在快速撤单后则倾向于提交新的、更积极的委托单，降低无法成交的风险。再次，我们采用2SLS的方法检验了闪单对市场质量的影响。我们发现：（1）闪单比例的上升会显著地降低市场的交易成本，这是因为平均而言，投资者闪单后会提交更积极的同向委托单；（2）如果委托簿发生大量且快速的闪单，那么市场的瞬时波动率会上升。随后，我们基于投资者的闪单数据构建了信息变量——闪单不平衡。我们发现，与我们的预期不一致，在对证券价格未来变动进行预测时，闪单不平衡变量对应的回归系数显著为正。这个现象与投资者面临的无法成交风险有关，投资者快速撤单后倾向于提交更积极的同向委托单，因此闪单不平衡变量对应的回归系数显著为正。最后，大量且快速的撤单行为代表投资者对于证券价格的信念在持续地发生更新，即投资者本身在短时间内对证券价格的认知存在不一致、分歧。基于此，我们以给定时间间隔内委托买单和卖单发生闪单数量之小者占全部新提交委托单数量的比例衡量分歧。我们发现它能够显著预测证券价格未来的变动，而且投资者的分歧越大，那么证券价格未来的收益率越高。就我们所知，本课题的研究内容在市场微观结构领域应该处于领先的位置，特别是我们首次研究了闪单的信息含量，并首次提出基于投资者的闪单数据构建高频的衡量投资者分歧的变量。