信息不对称视角的我国证券柜台市场效率研究

发布时间：2018-06-27 13:33

本文选题：资本市场效率 + 信息不对称　；参考：《太原理工大学》2012年硕士论文

【摘要】：证券柜台市场作为多层次资本市场的基础市场,是众多非上市公众公司筹资和股权交易的平台,其核心功能就是要通过这个市场的运行,起到优化资本配置的作用,使资本流向优秀的企业或高效的行业。证券柜台市场效率就是衡量其优化资源配置功能的实现程度。资本市场的半强式效率是许多现代经济理论成立的基石。例如著名的MM模型,资本资产定价模型以及衍生品定价的基本模型都是在半强型资本市场才具有较强的适用性。当资本市场达到半强势有效,而市场的法规制度又能有效的排除内幕交易时,资本市场交易价格就能够有效的反映市场信息,为有效配置资源提供前提条件。因而,对我国证券柜台市场效率状况进行深入的理论分析和实证研究有着重要的意义。我国证券柜台市场经历了二十多年的发展,从运行状况看,其市场规模过小、流动性严重不足；从制度设计层面来看,信息披露制度的层级低、针对性不足且披露渠道窄,交易制度也与柜台市场特征不相适应。这些问题共同导致我国证券柜台市场存在着严重的信息不对称,造成市场优化资源配置功能的无法很好的实现,即市场效率的损失。关于信息不对称对市场效率产生的损失效应,本文通过在非合作框架下对市场收益模型的博弈分析中得到了证实：即信息不对称对柜台市场效率产生非常消极的影响。文章还基于“股价信息含量法”对我国证券柜台市场的效率水平进行了分析,结果表明目前该市场还不具备“半强式”效率水平,即市场尚处于无效或弱式有效的低效率水平阶段。针对市场低效率水平的现状,以降低市场信息不对称水平、提升市场效率为出发点,提出了相应的对策：在交易模式上应采用以做市商制度为主、集中竞价为辅的混合型交易制度,并建立对做市商的监管制度；在信息披露制度上,将柜台市场挂牌公司信息披露行为纳入《证券法》监管范围,在具体做法上应执行差异化信息披露规则,并针对柜台市场挂牌公司成长性不稳定、风险大等特点,增加预测性财务信息、公司信用报告等有利于投资者全面了解公司经营状况的信息。
[Abstract]:As the basic market of the multi-level capital market, the securities over-the-counter market is the platform for the financing and equity trading of many unlisted public companies. Its core function is to optimize the allocation of capital through the operation of this market. To direct capital to a good enterprise or an efficient industry. The efficiency of securities counter market is to measure the realization degree of the function of optimizing resource allocation. The semi-strong efficiency of capital market is the foundation of many modern economic theories. For example, the famous MM model, the capital asset pricing model and the derivative pricing model all have strong applicability in the semi-strong capital market. When the capital market is semi-strong and effective, and the legal system of the market can effectively exclude insider trading, the transaction price of the capital market can effectively reflect the market information and provide a prerequisite for the effective allocation of resources. Therefore, it is of great significance to make a deep theoretical analysis and empirical study on the efficiency of China's securities counter market. China's securities counter market has experienced more than 20 years of development, its market size is too small, liquidity is seriously insufficient, from the system design level, the level of information disclosure system is low, the pertinence is insufficient, and the disclosure channel is narrow. Trading system also does not adapt to the characteristics of the counter market. These problems together lead to the serious information asymmetry in China's securities counter market, which leads to the failure to realize the function of optimizing the allocation of resources, that is, the loss of market efficiency. With regard to the loss effect of information asymmetry on market efficiency, this paper proves that information asymmetry has a very negative effect on the efficiency of counter market through the game analysis of market income model under the non-cooperative framework. The paper also analyzes the efficiency level of China's securities counter market based on the "share price information content method". The results show that the market does not have a "semi-strong" efficiency level at present. That is, the market is still in the ineffective or weak efficient level of inefficiency. In view of the current situation of the low efficiency level of the market, in order to reduce the asymmetric level of market information and improve the efficiency of the market, the corresponding countermeasures are put forward: the market maker system should be adopted in the transaction mode. The mixed trading system supplemented by centralized bidding and the establishment of a regulatory system for market makers; in the information disclosure system, the disclosure of information of companies listed in the counter market shall be brought into the scope of supervision of the Securities Law, In specific practices, we should implement the differential information disclosure rules, and increase predictive financial information in view of the characteristics of unstable growth and high risk of companies listed in the over-the-counter market. The company credit report and so on is advantageous to the investor comprehensive understanding company management condition information.
【学位授予单位】：太原理工大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51

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