公开市场股票回购对流动性的影响

IF 2.2 3区经济学 Q2 BUSINESS, FINANCE

European Journal of Finance Pub Date : 2013-02-25 DOI:10.2139/ssrn.493044

Jonas Råsbrant, Adri De Ridder

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引用次数: 4

摘要

我们研究了在计算机指令驱动的市场中公开市场股票回购对市场流动性的影响。使用斯德哥尔摩证券交易所每日回购交易的详细数据集，以及买卖价差和订单深度的盘中数据，使我们能够检查实际回购日的流动性影响。总体而言，我们发现订单驱动交易系统内的回购交易通过缩小买卖价差和加深市场深度有助于市场流动性。在控制了总交易量、价格和波动性之后，我们仍然发现回购日的买卖价差相对于周围的非回购日显著下降。然而，在订单驱动的交易系统之外，作为大宗交易执行的回购对买卖价差有不利影响，这与对知情管理交易的存在的负面反应是一致的。

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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The Liquidity Impact of Open Market Share Repurchases

We examine the market liquidity impact of open market share repurchases in a computerized order driven market. Using a detailed dataset of daily repurchase transactions on the Stockholm Stock Exchange together with intraday data on bid-ask spreads and order depths enable us to examine liquidity effects on the actual repurchase days. Overall, we find that repurchase trades inside the order driven trading system contributes to market liquidity through narrower bid-ask spreads and deeper market depths. After controlling for total trading volume, price, and volatility we still find a significant decrease of the bid-ask spread on repurchase days relative to surrounding non-repurchase days. However, repurchases executed as block trades outside the order driven trading system have a detrimental effect on the bid-ask spread, consistent with a negative response to the presence of informed managerial trading.

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来源期刊

European Journal of Finance BUSINESS, FINANCE-

CiteScore

5.40

自引率

8.00%

发文量

期刊介绍： The European Journal of Finance publishes a full range of research into theoretical and empirical topics in finance. The emphasis is on issues that reflect European interests and concerns. The journal aims to publish work that is motivated by significant issues in the theory or practice of finance. The journal promotes communication between finance academics and practitioners by providing a vehicle for the publication of research into European issues, stimulating research in finance within Europe, encouraging the international exchange of ideas, theories and the practical application of methodologies and playing a positive role in the development of the infrastructure for finance research.