摘要翻译：
本文研究了2003年中国股票市场32只流动性股票的非对称价格效应。我们分析了价格连续正负日变化的涨跌趋势对价格的影响，并检验了价格影响不对称性对市场状况的依赖关系。对于大多数股票来说，机构卖出比机构买入具有更大的价格影响，而且机构买入的较大影响只存在于少数具有主要增长趋势的股票中。我们进一步研究了围绕制度交易的交易的平均收益，发现制度交易前后也存在非对称行为。提出了一个新的变量来考察订单簿结构，并能部分解释机构交易的价格影响。对机构交易价格影响的线性回归进一步证实了我们的发现，即在2003年看跌时，机构销售主要比机构购买具有更大的价格影响。
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英文标题：
《Price impact asymmetry of institutional trading in Chinese stock market》
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作者：
Fei Ren and Li-Xin Zhong
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最新提交年份：
2011
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Trading and Market Microstructure        交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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英文摘要：
  The asymmetric price impact between the institutional purchases and sales of 32 liquid stocks in Chinese stock markets in year 2003 is carefully studied. We analyze the price impact in both drawup and drawdown trends with consecutive positive and negative daily price changes, and test the dependence of the price impact asymmetry on the market condition. For most of the stocks institutional sales have a larger price impact than institutional purchases, and larger impact of institutional purchases only exists in few stocks with primarily increasing tendencies. We further study the mean return of trades surrounding institutional transactions, and find the asymmetric behavior also exists before and after institutional transactions. A new variable is proposed to investigate the order book structure, and it can partially explain the price impact of institutional transactions. A linear regression for the price impact of institutional transactions further confirms our finding that institutional sales primarily have a larger price impact than institutional purchases in the bearish year 2003.
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PDF链接：
https://arxiv.org/pdf/1110.3133