中文摘要：

价格冲击成本是影响机构投资者投资绩效的重要因素，对价格冲击成本的研究具有重要意义。本文扩展了Cont等（2011）模型，将价格冲击细分为卖出与买入价格冲击，并结合沪市限价指令簿观测对所建模型进行了估计。实证结果表明：（1）价格变动与指令流非平衡之间存在显著的非线性关系；（2）指令流的价格冲击效应总体上未呈现出非对称性；（3）价格冲击成本除在连续竞价的前半个小时内较高外，并无明显的日内模式。经检验本文的实证结果是稳健的。

英文摘要：

Price impact cost has a large influence on institutional investors＇ investing performance and thus it is of practical im- portance to explore its mechanics. This paper proposes asymmetric price impact models by extending Cont et al. （2011） model. We estimate our models by employing the transaction-level data of 15 components of Shanghai 50 index in August, 2010. Our empirical results indicate that, there is significant nonlinear relation between price change and order flow imbalance and there- by varying marginal impact of order flow imbalance on price change, the price impact of order flow imbalance for most sam- ple stocks exhibits no asymmetry, and that there is no significant intraday pattern of marginal price impact except the peak at the first half-hour continuous trading period. Our empirical results are robust to market volatility, choice of time interval over which tick-data are aggregated, and measure of price change.