基于市场微观结构视角的中国证券市场价格发现效率研究

发布时间：2018-01-04 06:04

本文关键词：基于市场微观结构视角的中国证券市场价格发现效率研究　出处：《贵州财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：市场微观结构理论是近些年来获得巨大发展的一个金融学研究新的分支,主要研究交易制度对交易价格的影响和市场结构设计。与传统的研究市场效率模型不同之处在于,该理论关注的是市场的内部结构和框架以及市场参与者类型,通过综合或者单独分析这几个部分,重点研究价格是如何形成以及价格是否合理有效。国外的研究已经取得了一定进展,并且在实践中的到了非常重要的运用,但是大量的研究都是建立在做市商市场的条件下。国内的研究目前还处于初级阶段,鉴于我国证券市场在飞速发展的同时多种问题并存,因此对我国证券市场微观结构的研究非常有必要而且具备理论与实践意义。本文在分析中国证券市场交易制度基础之上,研究我国上海、深圳两个市场的价格发现效率。文章首先阐述我国证券市场交易模式以及国内外主要证券市场交易模式,我国平目前主要采用的是集合竞价和连续竞价方式。其次,在实证研究部分,首先通过对集合竞价方式和连续竞价方式下两种具有代表性的市场指数收益率进行正态分析,证明了交易机制的确会对收益率产生影响,因此说明交易机制的不同会使得股票价格行为发生变化。接着,又基于我国证券市场既定的交易模式下,借鉴国内外市场微观结构研究的理论并选择价格调节因素模型和方法对我国上海、深圳两个市场价格发现效率进行研究。研究结论表明我国证券市场对系统信息存在过度反应,上海交易所过度反应程度高于深圳交易所。同时,文章还进一步的对交易制度的另外一个组成部分—交易成本进行了讨论,将我国证券市场交易成本的显性成本部分——佣金和税费同国际市场进行比较分析,探讨了国际上主要的证券交易市场佣金改革趋势。最后,文章通过分析市场微观结构运行绩效的评定标准：有效性、流动性、波动性和透明度展开,对我国证券市场结构设计作出评判和展望。
[Abstract]:The theory of market microstructure is a new branch of financial research which has made great progress in recent years. Different from the traditional market efficiency model, the theory focuses on the internal structure and framework of the market and the types of market participants. Through comprehensive or separate analysis of these parts, the emphasis is on how the price is formed and whether the price is reasonable and effective. Foreign research has made some progress, and in practice to a very important application. However, a large number of studies are based on the market maker market conditions. Domestic research is still in the initial stage, in view of the rapid development of our securities market at the same time many problems coexist. Therefore, the study of the microstructure of China's securities market is very necessary and has theoretical and practical significance. Based on the analysis of China's securities market trading system, this paper studies Shanghai, China. Price discovery efficiency in two markets in Shenzhen. This paper first describes the trading model of China's securities market as well as the main domestic and foreign securities market trading mode. At present, our country mainly adopts collective bidding and continuous bidding. Secondly, in the empirical research part. Firstly, through the normal analysis of the two representative market index returns under the collective bidding and the continuous bidding, it is proved that the trading mechanism does have an impact on the return rate. Therefore, it shows that the different trading mechanism will make the stock price behavior change. Then, based on the established trading model of China's securities market. Learn from the domestic and foreign market microstructure research theory and choose the price adjustment factor model and method to our country Shanghai. This paper studies the efficiency of price discovery in two markets in Shenzhen. The results show that there is overreaction to system information in China's securities market, and the degree of overreaction in Shanghai is higher than that in Shenzhen. The paper also further discusses another component of the trading system-transaction costs, and compares the overt cost part of transaction costs of China's securities market with that of the international market. Finally, the paper analyzes the performance evaluation criteria of market microstructure: validity, liquidity, volatility and transparency. The structure design of China's securities market is evaluated and prospected.
【学位授予单位】：贵州财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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