Research On The Relative Contribution Of Ask And Bid Quotes To Price Discovery In Chinese Stock Market

Price discovery,as an important part of micro-structure market and one of the functions of financial market,is always the focus of the theory research and investment study.In recent years,along with the application of high frequency data in financial field and the research depth of limit order book information,opinions of scholars on price discovery have been changing.The central issue moves to the high frequency changing of the ask and bid order,and further,how it can influence the price discovery in the process of information.Actually,the first step to catch information is the ask-bid price,which powered by pressure of the action of traders.Therefore,researching the price discovery of ask-bid quotes in the high frequency market is a point which can’t be ignored.Based on the analysis above,the theme of this paper is the relative contribution to price discovery of ask-bid quotes,combing the principle of limit order book and the information integration,and then,by designing the demonstration,we investigate the relevant factors of the question.First of all,by applying the price discovery model on the ask-bid quotes in limit order market,we analyze the relative contribution of the quotes in the high frequent perspective.And further,we make a comparative analysis on the difference contribution from both the time and market value dimensions.In the same time,based on the hypothesis that in the long run,ask quotes and bid quotes make the same contribution to price discovery,we control the noise ingredient of the relative contribution in order to mine the natural driving force in this issue.Further,we fabric a panel data model to investigate the factors which may positively or negatively affect the relative contribution of ask-bid quotes to price discovery.Next,started with the price impact of superior dividend policy,we make an event study,combing the research methods of price discovery,proposing to make a thorough inquiry of the attributes of relative contribution in the event window period.