An Empirical Study Of The Relationship Between Order Flow And Stock Yield In Order-Driven Market

In the market microstructure,the trading model is an important mechanism factor affecting the formation of prices.Foreign scholars' research on trading behavior and price changes is mainly based on the quotation-driven model,and its research framework is based on the analysis of market maker behavior;domestic scholars' research on this issue is mainly based on the order-driven model represented by China's securities market,but The research framework of most domestic scholars focuses on empirical testing and lacks the description and analysis of the market operation logic of the order-driven model.Based on this,this paper takes the trading mode as the starting point,and describes the price forming process of the order-driven mode and the quotation-driven mode,highlighting the market operation characteristics of the bidders' bidding in the orderdriven mode;then,using the order flow as the proxy variable of the trading behavior,According to the market operation logic,the mechanism of the influence of the order flow on the price is sorted out,which provides a powerful theoretical basis for the relationship between the order flow and the yield in the order-driven mode.Further,the sample data of different frequencies is used to pass the multivariate linear model and the vector error correction model to test and analyze the relationship between the two.According to the empirical test,the following conclusions are drawn: First,in the order-driven market represented by China's securities market,the imbalance of market order flow is positively correlated with the current rate of return,and the market price of purchase orders is more disparity.The stronger the positive correlation relationship;secondly,the market price buying behavior and the market price selling behavior have asymmetrical influence on the current yield rate.Specifically,the market price buy order has a greater effect on the yield than the market price sell order;third,in the high Under the frequency data,the imbalance of market order flow has a predictive effect on the future yield,but its prediction effect is not obvious under low frequency data.Fourth,under high frequency data,the buyer of the limit order book is positively correlated with the current rate of return.The length of the seller is negatively related to the rate of return,but under the low frequency data,the relationship between the length of the buyer and the seller and the current rate of return is random;fifth,the price of the seller of the limit order is slightly higher than the price of the buyer,and the buyer is quoted.The information content of the party quotation is related to the unbalanced direction of the market order flow.The conclusions obtained in this paper have certain reference value for understanding the relationship between trading behavior and price changes in the order-driven market.The second conclusion provides a certain auxiliary role for understanding the role of the securities lending and securities lending mechanism in China's securities market.