回转交易制度对股票市场质量的影响

发布时间：2018-03-12 06:34

本文选题：计算金融　切入点：回转交易　出处：《系统工程理论与实践》2011年08期 　论文类型：期刊论文

【摘要】：以中国股票市场的实际交易机制为参数,构造了一个含有集合竞价和连续竞价的人工股票市场,并采用改进的交易者混合策略三因素模型和交易意愿更新模型刻画了有限理性异质交易者的投资行为.通过对不同市场状态下的重复仿真实验的统计和计量分析,探讨不同回转交易制度对市场质量的影响.研究发现,在我国股市现有交易机制和投资者结构下,当日回转交易机制的引入带来的市场流动性的提高是以波动性的增加为代价的;稳定市场中的当日回转交易显著增加了单位波动下的流动性和市场效率,从而改善了市场质量;而增长或衰落市场中充斥着非理性当日回转交易行为,加剧了波动性,降低了定价效率,从而使市场质量恶化.因此,建议应首先着力引导理性投资行为,在理性市场中逐步放开回转交易制度才能有效提高市场质量.
[Abstract]:Based on the actual trading mechanism of Chinese stock market, an artificial stock market with aggregate bidding and continuous bidding is constructed. The investment behavior of finite rational heterogeneous traders is described by using the improved mixed strategy three-factor model and the updated trading intention model. The statistical and quantitative analysis of repeated simulation experiments under different market conditions is carried out. This paper discusses the influence of different trading systems on market quality. It is found that under the existing trading mechanism and investor structure of China's stock market, The increase of market liquidity brought about by the introduction of the daily turnover mechanism is at the expense of the increase of volatility, and the liquidity and market efficiency under the unit fluctuation are significantly increased in the stable market, thus the market quality is improved. However, the growth or decline market is filled with irrational day-round trading behavior, which increases volatility, reduces pricing efficiency, and thus deteriorates market quality. Therefore, it is suggested that rational investment behavior should be guided first. In the rational market, we can effectively improve the quality of the market by gradually liberalizing the trading system.
【作者单位】：北京航空航天大学经济管理学院;
【基金】：国家自然科学基金(71071010,70871002,70701001)
【分类号】：F832.51;F224

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