股票定单流价格发现能力分析——主板与创业板市场对比分析-analysis on the price discovery ability of stock order flow - a comparative analysis between main board and growth enterprise market.docxVIP

ABSTRCT The stock price formation is a central issue in theory of financial market microstructure for decades. As one of the important indexes of market microstructure, order flow can represent the difference of pressure from buyer and sell like trading volume. Furthermore, order flow can represent the trading volume and direction, so it could be used as an effective index to study the market price discovery. The stock market in China in 2013 had distinctive characteristics. The main board market downturn in a long time, but the second board market had an explosive development. Taking the order flow as the breakthrough point, this paper summarize related concepts and statistical analysis method of order flow, and analyze the correlation between order flow and stock return, then find that the increase of the order flow of the second board will cause the decrease of the return of the main board through VAR model, which provides an evidence of a transfer investment between the two markets. The whole paper includes 3 sections: Section I contains the summary of the related theory research on order flow. Then the chapter analyzes the definition and methods of measurement of order flow, , then reviews the theoretical models, including the market microstructure, stock price discovery models and information transfer. Section II contains the results of the empirical analysis. Firstly, we verify the autocorrelation of order flow, then testify the relation of correlation between stock returns and order flow based on the main board market and second board market. We can find that there is a positive correlation between order flow and stock return, but the correlation is more strongly in the second board market. Secondly, through studying the relation of leading and lag, we can find that the main market plays a leading role on the second board market, no matter from order flow or return. Finally, there is a investment transfer process between main board and second board market,