流动性补偿、信息不对称与市场预期:央票发行对央票交易成本的影响分析

发布时间：2018-01-20 05:02

本文关键词： 交易成本信息不对称成本流动性补偿成本市场预期　出处：《当代财经》2010年02期 　论文类型：期刊论文

【摘要】：基于对经济正常波动时期与金融危机时期央票发行对央票交易成本的影响分析,结论表明央票交易成本中流动性成本显著高于信息不对称成本。在经济正常波动时期,央票发行顺应市场预期,央票发行并未引起流动性成本和信息不对称成本的显著变化;在金融危机时期,央票发行出乎市场预期,央票发行引起信息不对称成本显著增加,指令流自相关系数显著降低。而央票市场的信息不对称成本,主要来源于机构投资者对公开信息的解读不同。
[Abstract]:Based on the analysis of the impact on the transaction cost of central ticket issuance during the period of normal economic fluctuation and financial crisis. The conclusion shows that the cost of liquidity is significantly higher than the cost of asymmetric information in the transaction cost of central ticket. In the period of normal economic fluctuation, the issuance of central ticket conforms to the market expectations. The issuance of central bills does not cause significant changes in the cost of liquidity and asymmetric information; In the period of financial crisis, the issuance of central ticket exceeded the market expectations, resulting in a significant increase in asymmetric information costs, and a significant decrease in the autocorrelation coefficient of instruction flow, while the asymmetric cost of information in the central ticket market. It comes mainly from the different interpretation of public information by institutional investors.
【作者单位】：厦门大学金融系;
【基金】：国家自然科学基金面上项目(70971114) 教育部应急项目(2009JYJR051) 福建省自然科学基金项目(2009J01316)
【分类号】：F822;F224
【正文快照】： 一、导言Glosten和Milgron(1985)以及Kyle(1985)首先提出,当一些投资者拥有某一证券价值的私有信息时,他们的交易指令往往向市场泄漏了这一信息。[1-2]而市场的交易价格对指令流的敏感程度,则往往取决于市场信息不对称的程度。许多学者已从中国的股票市场中论证了这一点(穆启

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