Abstract: This paper studies the relationship between order flow and stock return, as well as the effect of order flow on different plates in stock market. It is found that there exists a positive serial correlation in order flow. However, the impact will be different in different sectors of the market, and the positive correlation in the second board is more intense. A study of the relationship among the return rate of the main board market, the second board market, and the order flow, it is found that the main board market plays a strong leading role compared to the second board market. However, a study of the information content of the order flow across the market of the two boards, it is found that there is a certain process of investment transfer between the main board and the second board market. Besides, this paper further explains the direction of transfer and its influencing factors in order to provide reference for portfolio investment and market share allocation.

Key words: order flow, price discovery, cross-market, investment diversion

摘要： 以定单流作为主要研究对象，对定单流与股票收益之间的关系进行实证检验分析，发现定单流对于股票收益存在一定的正相关性影响，但这种影响会由于板块市场的不同而存在差异，创业板市场的正相关性更加强烈。此外，对于主板市场与创业板市场的收益率以及定单流之间的关系的研究中发现，主板市场对创业板市场有着较强的引领作用；而针对两板的定单流跨市场信息含量的研究中发现，主板与创业板市场间存在一定的投资转移过程，并对转移方向以及影响因素作了进一步说明。以期对投资组合以及板块市场比例分配提供借鉴意见。

关键词: 定单流, 价格发现, 跨市场, 投资转移