市场微观结构视角下卖空机制对中国股票市场价格运动的影响分析

发布时间：2018-07-02 09:25

本文选题：市场微观结构 + 股票价格运动　；参考：《广西大学》2012年硕士论文

【摘要】：本文立足于中国股票市场实际,以市场微观结构为视角,通过理论模型与实证分析试图回答：卖空机制是如何影响证券价格形成与变化的? 主要研究内容如下：第一部分详细阐述金融市场微观结构的研究背景与意义,系统地归纳总结关于价格形成以及卖空机制作用的相关研究；第二部分阐述证券市场微观结构的基本构成要素与价格发现、形成以及动态调整之间的关系,介绍不同交易制度下价格形成原理、卖空机制对价格发现的影响；第三部分构建理论模型来描述有无卖空约束的市场条件下限价指令簿状态对股票价格运动的影响,并比较两种不同市场条件下的股价运动与均衡价格；第四部分采用类似事件研究法对中国股票市场进行实证研究,在实证分析基础上,结合市场微观结构理论上述结果进行解释。研究表明,在无卖空约束的股票市场中,限价指令簿状态能够直接、迅速地反映股价运动态势,促进均衡价格形成。因此,建议从着重市场微观结构着手,采取综合措施提高市场的流动性、透明性与稳定性,使限价指令簿真正成为股票价格运动的风向标。
[Abstract]:Based on the reality of China's stock market and from the perspective of market microstructure, this paper tries to answer the question through theoretical model and empirical analysis: how does the short selling mechanism affect the formation and change of securities price? The main research contents are as follows: the first part elaborates the research background and significance of financial market microstructure systematically summarizes the related research on price formation and the role of short selling mechanism; The second part describes the basic elements of the microstructure of the securities market and the price discovery, formation and dynamic adjustment of the relationship between the introduction of different trading systems under the principle of price formation, short selling mechanism on the impact of price discovery; In the third part, a theoretical model is built to describe the influence of the price limit order book state on the stock price movement under the market condition with or without short selling constraints, and to compare the stock price movement and the equilibrium price under two different market conditions. The fourth part uses the similar event research method to carry on the empirical research to the Chinese stock market, on the basis of the empirical analysis, unifies the market microscopic structure theory above result to carry on the explanation. The research shows that in the stock market without short selling constraints, the price limit book state can directly and rapidly reflect the movement of stock price and promote the formation of equilibrium price. Therefore, it is suggested that we should take comprehensive measures to improve the liquidity, transparency and stability of the market by focusing on the microstructure of the market, so that the price limit instruction book can really become the vane of the stock price movement.
【学位授予单位】：广西大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51

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