交易机制对市场质量的影响

发布时间：2017-12-31 08:31

本文关键词：交易机制对市场质量的影响　出处：《天津财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：一个国家的证券市场是对于该国的经济形势的浓缩的体现,同时也是市场经济发展到较高的程度的发展形式。证券市场的市场质量是衡量一个国家证券市场健康稳定的表现的重要指标。市场微观结构理论的研究表明,交易机制对市场价格的形成、流动性、稳定性、透明度及有效性都会产生影响。随着互联网的发展,地域不再是证券发行者选择某一证券交易所进行融资的最重要因素,因此各国交易所之间的竞争愈发的激烈。交易所开始更加的关注市场结构的构架本身。一个更能符合市场投资者利益的交易所才能够在竞争中最终取得成功。因此,我国的证券交易所也应当迫切的需要加强自身结构的优化改革。只有加强交易所的优化改革,选择最有利于市场质量的交易机制和结构设计才能吸引更多的投资者,使得其在未来的发展中,能够在最具竞争力的交易所中赢得一席之地。论文从金融市场微观结构理论的基础上,分析不同的交易机制对于市场质量的不同影响。同时在理论研究的基础上对市场机制对市场波动性的影响,进行了实证研究。实证具体分为两个部分内容,第一部分主要研究集合竞价机制与连续竞价机制对股票收益率的影响,从收益率序列的波动性,正态性以及市场有效性的角度进行分析比较。第二部分主要研究使用收盘集合竞价与使用收盘连续竞价对于股票收益率的波动性的影响。借由香港证券交易所引入收盘集合竞价又在实行不到一年后改回收盘连续竞价的事件作为契机,使用事件研究的方法,比较不同窗口期内的收盘收益率序列的波动性。为了对波动性进行更精确的刻画,将不同窗口期内的收益率序列分别建立GARCH模型进行研究。
[Abstract]:A country's stock market is concentrated for the country's economic situation of the development and form of development of the market economy is to a high degree. The securities market is an important indicator to measure the quality of a country's stock market healthy and stable performance. The research of market microstructure theory shows that the formation of trading mechanism the market price of the liquidity, stability, transparency and effectiveness will be affected. With the development of the Internet, is no longer the most important factor in regional issuers choose a stock exchange for financing, so the competition between exchanges is becoming more intense. Exchange began paying more attention to the market structure of a frame itself. To meet the market investors exchange can eventually succeed in the competition. Therefore, our country's stock exchange should strengthen The Optimization Reform of our own structure can only attract more investors by strengthening the Optimization Reform of the exchanges and selecting the most beneficial market quality trading mechanism and structural design, so that it can win a place in the most competitive exchanges in the future development.
From the basis of financial market microstructure theory, analysis the different effects of different trading mechanisms on market quality. At the same time on the basis of theoretical research on the effect of market mechanism on market volatility, in the empirical study. The empirical concrete is divided into two parts, the first part mainly studies the call auction and continuous auction the mechanism of the effect on the stock returns, from the volatility of return sequence, normality and market efficiency angle were analyzed and compared. The second part mainly studies the use of the closing auction and continuous auction for closing the volatility of the stock returns. By the introduction of the Hongkong Stock Exchange closing auction in practice less than a year after the recovery of disc continuous auction event as an opportunity, using the event study method, comparison of different window closing rate of return sequence Volatility. In order to describe the volatility more accurately, the GARCH model is established to study the rate of return sequences in different window periods.

【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.5;F224

【参考文献】