股價沉浮背后“看不見的手”露出原形
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????如果你每天只能看到一次你所關(guān)注股票的價格，而其它關(guān)注同樣一只股票的投資者卻能實時看到它價格的變化情況，那將會是怎樣一種情形？ ????總的來說，這正是2007年（美國證交所創(chuàng)建全美市場體系）至2013年12月9日間美國股市的真實寫照。自12月9日起，美國納斯達(dá)克和紐約證券交易所開始向?qū)Υ蟊姽_股價數(shù)據(jù)流——“證券買賣匯總記錄”，報告每筆不足100股的零散交易。 ????這個變化看似微不足道，對大多數(shù)股票而言，或許確實如此。據(jù)路透社（Reuters）報道，雖然所謂的零散交易在過去20年增長了4倍，但它們?nèi)匀恢徽济绹善苯灰卓傤~的5%。 ????但對于蘋果（Apple）等高價股票而言，零散交易仍然是數(shù)額巨大的買賣。就在本周一，有大量數(shù)額為100股的蘋果股票被賣出，每次交易額均超過56000美元。對于普通投資者，56000美元絕不是一個可以輕松負(fù)擔(dān)的數(shù)字。金融研究機構(gòu)Nanex 首席執(zhí)行官埃里克?亨賽德表示，45%的蘋果股票交易額均少于100股。在現(xiàn)有金融體系下，大眾投資者根本無法獲悉。 ????這種情況會產(chǎn)生什么影響？首先，它意味著多年以來，蘋果股票的交易數(shù)量一直計算得不準(zhǔn)確，而這會導(dǎo)致它的股價被錯誤估值。而且，這樣的金融體系讓某些交易者占盡先機。 ????2011年，康奈爾大學(xué)（Cornell University）的一份研究報告指出，某些計算機算法被應(yīng)用于零散股票交易，研究者稱其為“價格發(fā)現(xiàn)”算法。這種算法使用大量零散交易試探市場，一方面可以掩蓋交易者的真實意圖，另一方面還可以發(fā)現(xiàn)大型機構(gòu)拉高或打壓某只股票的真實意圖。過去六年，只有那些與證券交易所直連的高頻電腦能夠發(fā)現(xiàn)零散交易。而大眾投資者直到上周才知道這種交易的真實情況。 |
????What if you could see the prices of the stocks you're following only once a day, but other investors following the same stocks could see the prices as they changed? ????That, in broad strokes, was the situation from 2007 (when the Securities Exchange Commission created a national market system) until last Monday, Dec. 9, when NASDAQ and the NYSE began reporting small trades of less than 100 shares to the "consolidated tape" -- the stream of prices visible to the public. ????That might seem like a minor change, and for most stocks it probably is. Although trade in so-called "odd lots" has increased five fold in the past 20 years, according to Reuters, it still only accounts for 5% of total U.S. equity volume. ????But for a high-priced stock like Apple (AAPL), which was selling in lots of 100 for more than $56,000 Monday, odd lots are a very big deal. Most investors can't afford to drop $56,000 in a single trade. According Nanex CEO Eric Hunsader, 45% of all trades in Apple are in lots of less than 100 shares, and therefore invisible to the public under the old regime. ????Why does this matter? For one thing it means that for years, trading volume in Apple was being misreported -- a situation that can lead to a stock being mis-priced. The system also advantaged one kind of trader over another. ????A 2011 study out of Cornell University found that computer algorithms were using odd lot trades for what the researchers called "price discovery" -- pinging the market with thousands of tiny orders designed to both disguise their intentions and to smoke out the big institutional orders than can push a stock up or down. For the past six years, high-frequency trading computers -- wired directly to the stock exchanges -- could see this information. The public -- until last week -- could not. |
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