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SHAO · 2023年07月10日

老师,请问价格从25.22涨到25.26不算market impact吗

NO.PZ2021101401000036

问题如下:

Johnson discusses a market buy order for 5,000 shares of an illiquid stock. The order was filled in three trades, and details about the three trades are presented in Exhibit 2.


Based on Exhibit 2, the market impact relating to Trade 2, on a per share basis, is closest to:

选项:

A.

$0.02.

B.

$0.03.

C.

$0.07.

解释:

A is correct. Market impact, or price impact, is the effect of a trade on transaction prices. After the first trade (Trade 1) was executed at $25.20, Trade 2 was executed at $25.22, which is $0.02 per share higher than the trade price of Trade 1. So, the execution of Trade 1 led to a price impact of $0.02 per share on Trade 2.

老师,请问价格从25.22涨到25.26不算market impact吗

1 个答案
已采纳答案

星星_品职助教 · 2023年07月11日

同学你好,

本题特指的是“Trade 2”所导致的market impact。

从表格中可以看出,在Trade 2没有发生前,市场价格是25.20。也就是当Trade 2刚进入市场时,投资者看到的价格是25.20。

正是由于Trade 2的发生,市场价格从25.20被抬升到了25.22。也就是当Trade 2完成时,实际上是按照25.22成交的。

所以由Trade 2引发的market impact就是25.20到25.22这一步。

此后Trade 2就结束了,当Trade 3进入市场时,看到的价格是25.22,后续的价格抬升就是Trade 3造成的了,和Trade 2已经无关了。

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