High-frequency liquidity in the Chinese stock market: Measurements, patterns, and determinants

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE

Pacific-Basin Finance Journal Pub Date : 2025-01-22 DOI:10.1016/j.pacfin.2025.102681

Chaoyi Zhao , Yufan Chen , Lintong Wu , Yuehao Dai , Ermo Chen , Lan Wu , Ruixun Zhang

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Abstract

We explore a broad range of high-frequency liquidity measures for the Chinese stock market, based on a comprehensive tick-level dataset for stocks on the Shenzhen Stock Exchange (SZSE) with approximately 46.64 billion events in 2019–2021. We integrate the raw event-level data into a granular and continuous limit order book for each stock for the three years. We summarize their liquidity levels and key distributional properties. Hypothesis tests show that order interarrival times follow Weibull—not exponential—distributions, implying that Poisson flow is not an appropriate model for order flow in the Chinese stock market. We analyze the intraday and cross-sectional patterns of liquidity, and find novel intraday periodicities in liquidity at whole-minute frequencies such as 1-minute, 5-minute, and 10-minute. Finally, we propose the aggressive–passive imbalance (API), analogous to the order flow imbalance of Cont, Kukanov, and Stoikov (2014), and develop an order-based model of the change in bid–ask spread that sheds light on the universal mechanism of spread formation with respect to order flows. To the best of our knowledge, this is by far the most comprehensive study of market liquidity for the Chinese stock market in the literature.

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中国股市高频流动性：测量、模式和决定因素

我们基于深圳证券交易所（SZSE）股票的综合波动水平数据集，在2019-2021年期间约有466.4亿次事件，为中国股票市场探索了广泛的高频流动性措施。我们将原始的事件级数据整合到三年里每种股票的连续限价订单中。我们总结了它们的流动性水平和主要分布特性。假设检验表明，订单到达间隔时间服从威布尔分布，而非指数分布，这意味着泊松流模型不适用于中国股票市场的订单流动。我们分析了流动性的日内和横截面模式，并发现流动性在整分钟频率（如1分钟、5分钟和10分钟）上的新的日内周期性。最后，我们提出了主动被动失衡（API），类似于Cont、Kukanov和Stoikov（2014）的订单流失衡，并建立了买卖价差变化的基于订单的模型，该模型揭示了订单流中价差形成的普遍机制。据我们所知，这是迄今为止文献中对中国股票市场流动性最全面的研究。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Pacific-Basin Finance Journal BUSINESS, FINANCE-

CiteScore

6.80

自引率

6.50%

发文量

157

期刊介绍： The Pacific-Basin Finance Journal is aimed at providing a specialized forum for the publication of academic research on capital markets of the Asia-Pacific countries. Primary emphasis will be placed on the highest quality empirical and theoretical research in the following areas: • Market Micro-structure; • Investment and Portfolio Management; • Theories of Market Equilibrium; • Valuation of Financial and Real Assets; • Behavior of Asset Prices in Financial Sectors; • Normative Theory of Financial Management; • Capital Markets of Development; • Market Mechanisms.