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在对投资者订单主动性科学定义的基础上,本文通过分析上海证券交易所180指数的180只成份股票在2003年10月初到2004年3月末六个月共117个交易日的逐笔申报和成交数据,对我国上海股票市场中个人与机构投资者的订单主动性进行了深入分析和研究。结果表明:个人投资者的平均订单主动性为负值,说明大多数的个人投资者提交的订单给市场提供了流动性,而机构投资者的平均订单主动性为正值,为证券市场中流动性的需要者;交易价格变化,价差、订单的不平衡、订单规模这四个因素都对订单的主动性有显著影响,但是对个人和机构投资者订单主动性的影响不同。
Based on the scientific definition of investor order initiative, this article analyzes the stock returns of 180 constituent stocks of the Shanghai Stock Exchange 180 Index in 117 transaction days from the beginning of October, 2003 to the end of March, 2004, Transaction data, the individual stock and institutional investors in China’s Shanghai stock market order initiative conducted in-depth analysis and research. The results show that the average order initiative of individual investors is negative, indicating that the orders submitted by most individual investors provide the market with liquidity, whereas the average order initiative of institutional investors is positive, which is the result of the liquidity in the securities market The four factors of transaction price change, price difference, order imbalance and order size all have significant influence on order initiative, but have different impact on order initiative of individual and institutional investors.