中国股票市场集合竞价隐性成本研究

发布时间：2018-10-31 08:25

【摘要】：传统的微观市场结构理论认为集合竞价在处理股票交易时具有多方面的优势。如何衡量集合竞价的交易成本,如何分解买卖价差的成分,也一直成为学术界研究的重点。本文使用了可以与连续竞价有效价差相比较的计量集合竞价买卖价差的方法对我国集合竞价指令簿进行研究,观察并估计出了我国股票市场集合竞价买卖价差的规模。本文利用DNR模型将我国股票市场集合竞价买卖价差分解为指令处理成本与逆向选择成本。本文研究发现,以买卖价差为衡量标准的集合竞价交易成本与订单规模有明显的正向关系。无论公司规模大小,随着订单规模的扩大买卖价差显著的扩大。从公司规模看,结果表明集合竞价的买卖价差与公司规模呈现负向关系。从绝对值看,无论是哪一类型公司规模和交易规模,集合竞价的买卖价差中的指令处理成本和逆向选择成本均大于连续竞价。从对买卖价差进行分解的相对值来看,集合竞价机制中的逆向选择成本占总价差的比重高于连续竞价。这些结果与传统的微观市场结构理论并不符合。究其原因,本文认为是由于我国股票市场中信息不对称严重,集合竞价的参与度不高。根据本文实证研究结果,我认为金融监管当局应该努力实施严格控制内幕信息、延长集合竞价接受订单时间、提高入市门槛、发展机构投资者、加强投资者教育等政策。本文第一章为导论,主要介绍文章研究目的和意义,回顾以往文献。本文第二章研究隐性交易成本来源的本质,从理论上对隐性成本加以研究。第三章的内容是估算我国股票市场集合竞价买卖价差以及利用DNR模型对集合竞价买卖价差进行分解。基于第三章的研究结果,文章的第四部分对不同交易制度对市场质量的影响加以分析。本文最后一部分是根据上述研究结果对我国监管当局提出的政策建议。
[Abstract]:The traditional micro market structure theory holds that collective bidding has many advantages in dealing with stock trading. How to measure the transaction cost of collective bidding and how to decompose the component of the spread have been the focus of academic research. In this paper, we use the method of measuring the price difference of collective bidding to compare with the effective price difference of continuous bidding. We study the order book of collective bidding in our country, and observe and estimate the scale of the price difference of collective bidding in stock market of our country. In this paper, the DNR model is used to decompose the price spread into command processing cost and reverse selection cost. In this paper, it is found that there is an obvious positive relationship between the transaction cost of collective bidding and the size of the order. Regardless of the size of the company, the spread between buying and selling spreads increases significantly as the size of the order increases. From the perspective of firm size, the results show that the spread of the set price is negatively related to the size of the firm. In terms of absolute value, no matter what kind of firm size and transaction scale, the order processing cost and reverse selection cost in the price spread of aggregate bidding are higher than that in continuous bidding. From the relative value of the decomposition of the price difference, the proportion of the reverse selection cost to the total price difference in the aggregate bidding mechanism is higher than that in the continuous bidding mechanism. These results do not accord with the traditional micro market structure theory. The reason is that the information asymmetry is serious in the stock market of our country, and the participation of collective bidding is not high. According to the empirical results of this paper, I think the financial regulatory authorities should strictly control the insider information, prolong the time of collective bidding to accept orders, raise the threshold of entry, develop institutional investors, and strengthen the education of investors. The first chapter is an introduction, mainly introduces the purpose and significance of the article, reviews the previous literature. The second chapter studies the essence of recessive transaction cost, and theoretically studies the recessive cost. The third chapter is to estimate the price difference of the aggregate bidding price in stock market of China and to decompose the spread of the price of the collective bidding by using DNR model. Based on the results of the third chapter, the fourth part analyzes the influence of different trading systems on market quality. The last part of this paper is based on the results of the above research to our regulatory authorities put forward policy recommendations.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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