中国证券市场非对称性与交易机制设计
发布时间：2018-09-14 20:08
【摘要】：行为金融学理论告诉我们,证券市场投资者无论是对信息的反应还是对结果的处理均具有非对称性的特征,投资者行为的非对称性必然导致股票市场收益率的非对称,这一结论也被大量的实证研究所证实。然而,理论分析又同时表明,股票市场收益率对称分布是市场有效的必要条件,收益率分布非对称又会导致市场无效,从而遭致效率损失。因此,改善收益率的对称性就成为提升资本市场运行效率的基础,寻求改善收益率分布对称性特征的现实路径也就成为资本市场运行研究的重大理论问题。从实践上看,虽然中国资本市场的创建起步较晚,但发展却极其迅速,无论在规模还是在资本市场体系基本架构上,我们用不到二十年的时间走完了成熟市场上百年的发展历程。截止至本世纪初,中国股票市场规模已位居全球各国股票市场的前列,近些年来,随着0cT市场的试点,一个以主板市场、中小企业板市场、创业板市场和场外交易市场为基点的完善的多层资本市场体系架构初步形成。另一方面,中国股票市场规模的迅速扩张与多层资本市场体系的形成,资本市场运行过程中的一些问题不仅充分暴露,而且渐近变得愈来愈突出,资本市场也面临着重大的“结构升级”问题,即资本市场“粗放型”发展已不再适合中国经济发展和金融发展的基本格局,资本市场的发展必须转向“精细化”的发展格局,而资本市场“精细化”的问题实质上是市场各种规则的科学化设计；此外,从现行统一的多层资本市场体系限价性交易制度上看,完全统一的限价性交易制度显然既没能体现多层资本市场体系的层次性,也与各层资本市场本身的收益与风险特征不相适应。因此,从制度设计的角度去探讨中国资本市场的健康与可持续发展,就成为我们当前所面临的重大的现实问题。本文以限价性交易制度为切入点,在对限价性交易制度合理性讨论的基础上,通过对收益率分布特征与市场有效性相互关系的考察,探讨了限价性交易制度对收益率分布的影响作用及其效应,同时结合行为金融学中有关投资者行为非对称的相关理论与实践,提出了非对称性限价交易制度的制度设计理念,并从实证分析的角度对中国主板市场和多层资本市场的限价性交易制度效应进行了分析,在模拟分析的基础上,构建了中国主板市场、中小企业板市场和创业板市场非对称性限价交易制度的具体优化方案。全文由八章组成：第一章为导论,分别对本研究的选题背景、研究意义以及本文运用的研究方法与结构等方面进行了分析、论述。此外,还梳理回顾了国内外对这一问题的研究现状,理清了文章的脉络,概括了研究框架,设定了研究内容,发掘出研究以资借鉴的具体方法,思考了需深入研究的相关问题。第二章从有效市场理论入手,通过对有效市场的理论分析,说明收益率分布与有效市场以及市场效率的关系,通过理论分析可知,有效市场是帕累托有效的,收益率对称性分布是有效市场的必要条件,而收益率非对称性将导致市场无效,进而带来效率损失。第三章对中国多层资本市场在资源配置层面以及风险配置层面进行了理论性帕累托有效性的分析,然后通过对有效市场的基本条件的剖析论证了非对称性的波动特征必然会破坏市场的有效性,从而无法实现资源配置与风险配置的帕累托最优,结果遭致多层资本市场效率的损失。第四章利用行为金融的相关理论,探讨投资者的投资心理是非对称性的,进而导致交易行为的非对称性,反映到整个市场上就是收益率的非对称性,显然这与现在实行的对称性交易机制是不相符的,当前实行的对称性涨跌幅不但没有对投资者投资行为非对称行为进行疏解,反而对非对称性波动产生了加剧的作用。第五章首先从波动视角深入的探讨中国证券市场的发展历程,进而分析了多层资本市场在收益率方面的基本特征,检验了其稳定性；接下来分析了市场的回归性；为后续检验市场体系内部的联动性和一致性奠定基础。第六章深入分析对称性交易机制运行时出现的问题,通过构建VF-EGARcH-M模型,这一模型的构建是建立在价值函数理论基础之上的,来集中探讨中国主板市场非对称限价交易制度的设计。此外结合实证主义的研究手段对中国资本市场涨停限价制度的非对称性效应进行了深入的分析,并且在与极值理论进行密切结合的基础之上,对涨跌幅进行了最优的设计,蒙特卡洛模拟技术分析与检验的结果表明,中国主板市场的最优涨跌幅限价交易应调整为,以跌幅10%为基准的涨幅13%。第七章依据上一章有关主板市场非对称性限价交易制度设计的分析与结果,结合前述有关多层资本市场体系的相关研究结论,重点探讨了中国多层资本市场体系的非对称限价交易机制设计方案,研究结果显示,在主板市场非对称限价交易制度选择为(-10%,+13%)的前提下,中小企业板和创业板的非对称限价交易制度应分别设定为(-11.3%,+17%)和(-14.3%,+23%)。第八章,总结全文,依据对中国资本市场实行非对称机制的创设提出了相应的建议,反思了本研究的局限性,展望了本课题在未来的研究方向。通过分析与深入研究,本文得到了一些有价值的结论,并在以下几个方面做了一些有创新性的工作。(1)借助经济学分析工具,从理论上探讨了有效市场与帕累托有效的关系,有效市场与收益率分布特征的关系,以及收益率分布特征与帕累托有效的关系；(2)对多层资本市场从资源配置和风险配置两层面分别进行了帕累托有效性分析,论证了收益率对称性是达到帕累托有效的必要条件；(3)运用前景理论对股市收益率非对称性波动特征与对称性交易机制之间的关系进行了分析；(4)构建了VF-EGARCH-M这一建立在价值函数基础之上的模型,运用实证研究的手段分析了中国资本市场对称性的涨跌限价体制之非对称性的效应,提出了主板市场和多层资本市场体系非对称性限价交易制度的最优设计方案,并且借助蒙特卡洛模拟技术对设计方案做出了有效性的检验。
[Abstract]:Behavioral finance theory tells us that investors in the securities market are asymmetrical both in response to information and in dealing with results. The asymmetrical behavior of investors will inevitably lead to asymmetrical returns in the stock market. This conclusion is also confirmed by a large number of empirical studies. The symmetrical distribution of stock market returns is a necessary condition for the market to be effective, and the asymmetrical distribution of returns will lead to inefficiency of the market, resulting in loss of efficiency. In practice, although the establishment of China's capital market started late, its development has been extremely rapid. In terms of scale and the basic structure of the capital market system, it will not take us more than 20 years to complete the 100-year development of the mature market. In recent years, with the pilot of 0ct market, a perfect multi-tier capital market system based on the main board market, SME board market, GEM market and OTC market has been formed. On the other hand, the rapid expansion of China's stock market and multi-tier capital market have taken shape. The formation of the market system and some problems in the operation of the capital market have not only been fully exposed, but also become increasingly prominent. The capital market is also facing a major "structural upgrading" problem, that is, the "extensive" development of the capital market is no longer suitable for the basic pattern of China's economic and financial development, and the development of the capital market. We must turn to the development pattern of "refinement", and the problem of "refinement" of the capital market is essentially the scientific design of market rules; furthermore, from the current unified multi-tier capital market system, Price-Limiting trading system, a fully unified Price-Limiting trading system obviously can not reflect the multi-tier capital market system. Therefore, to discuss the healthy and sustainable development of China's capital market from the perspective of institutional design has become a major practical problem we are facing. This paper takes the price-limited trading system as the breakthrough point to discuss the rationality of the price-limited trading system. On the basis of the theory, through the investigation of the relationship between the characteristics of yield distribution and the efficiency of market, this paper discusses the effect of Price-Limiting trading system on the distribution of yield and its effect. At the same time, combining with the relevant theories and practices of Behavioral Finance on the asymmetry of investors'behavior, it puts forward the system design of asymmetric Price-Limiting trading system. Based on the simulation analysis, this paper constructs the specific optimization scheme of the asymmetric Price-limit trading system in the Chinese mainboard market, SME board market and GEM market. The first chapter is the introduction, which analyzes the background, significance, methods and structure of this study. In addition, it reviews the research status of this issue at home and abroad, clarifies the context of the article, summarizes the research framework, sets the research content, and excavates the research for reference. The second chapter begins with the efficient market theory, and through the theoretical analysis of the efficient market, explains the relationship between the yield distribution and the efficient market as well as the market efficiency. Necessary conditions, and asymmetric returns will lead to inefficiency of the market, which will lead to efficiency losses. Chapter 3 analyzes the theoretical Pareto effectiveness of China's multi-level capital market at the level of resource allocation and risk allocation, and then demonstrates the volatility characteristics of asymmetry through the analysis of the basic conditions of the efficient market. However, it will destroy the effectiveness of the market, so that the Pareto optimality of resource allocation and risk allocation can not be realized, resulting in the loss of efficiency of the multi-tier capital market. It is obvious that the asymmetry of returns is not consistent with the symmetrical trading mechanism currently implemented. The current symmetrical fluctuation does not alleviate the asymmetrical behavior of investors'investment behavior, but exacerbates the asymmetrical volatility. The development process of the securities market, and then analyzes the basic characteristics of the multi-level capital market in terms of yield, testing its stability; then analyzes the regression of the market; for the follow-up test of the market system linkages and consistency to lay the foundation. This paper constructs the VF-EGARcH-M model, which is based on the theory of value function to discuss the design of asymmetric limit trading system in Chinese mainboard market. In addition, the asymmetric effect of the limit trading system in Chinese capital market is analyzed in depth by means of empirical research. On the basis of the extreme value theory, the paper designs the optimum range of rise and fall. The results of Monte Carlo simulation show that the optimum range of rise and fall should be adjusted to a 13% increase based on a 10% drop. Chapter 7 is based on the asymmetric limit trading of the previous chapter. Based on the analysis and results of the institutional design and the related research conclusions of the above-mentioned multi-tier capital market system, this paper mainly discusses the design scheme of the asymmetric Price-Limiting trading mechanism in China's multi-tier capital market system. The results show that the SMEs board and the venture capital market are created under the premise that the asymmetric Price-Limiting trading system in the main board market is (-10%, +13%). Chapter 8 summarizes the full text, puts forward corresponding suggestions based on the establishment of asymmetric mechanism in China's capital market, reflects on the limitations of this study, and looks forward to the future research direction of this topic. Some valuable conclusions have been drawn and some innovative work has been done in the following aspects: (1) The relationship between efficient market and Pareto efficiency, the relationship between efficient market and yield distribution characteristics, and the relationship between yield distribution characteristics and Pareto efficiency have been discussed theoretically with the aid of economic analysis tools; (2) The relationship between efficient market and Pareto efficiency has been studied for multi-layers. The capital market has carried on the Pareto validity analysis separately from the resources allocation and the risk allocation two stratification planes, has demonstrated that the yield symmetry is achieves the Pareto validity the essential condition; (3) has used the prospect theory to analyze the stock market return Asymmetry Volatility characteristic and the symmetry transaction mechanism relations; (4) has constructed the VF-EGAR. CH-M, a model based on value function, uses empirical research to analyze the asymmetric effect of price-fixing system with symmetry in China's capital market, and proposes the optimal design scheme of asymmetric price-fixing system with the help of Monte Carlo simulation technology. The effectiveness of the design is verified.
【学位授予单位】：天津财经大学
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F832.51
[Abstract]:Behavioral finance theory tells us that investors in the securities market are asymmetrical both in response to information and in dealing with results. The asymmetrical behavior of investors will inevitably lead to asymmetrical returns in the stock market. This conclusion is also confirmed by a large number of empirical studies. The symmetrical distribution of stock market returns is a necessary condition for the market to be effective, and the asymmetrical distribution of returns will lead to inefficiency of the market, resulting in loss of efficiency. In practice, although the establishment of China's capital market started late, its development has been extremely rapid. In terms of scale and the basic structure of the capital market system, it will not take us more than 20 years to complete the 100-year development of the mature market. In recent years, with the pilot of 0ct market, a perfect multi-tier capital market system based on the main board market, SME board market, GEM market and OTC market has been formed. On the other hand, the rapid expansion of China's stock market and multi-tier capital market have taken shape. The formation of the market system and some problems in the operation of the capital market have not only been fully exposed, but also become increasingly prominent. The capital market is also facing a major "structural upgrading" problem, that is, the "extensive" development of the capital market is no longer suitable for the basic pattern of China's economic and financial development, and the development of the capital market. We must turn to the development pattern of "refinement", and the problem of "refinement" of the capital market is essentially the scientific design of market rules; furthermore, from the current unified multi-tier capital market system, Price-Limiting trading system, a fully unified Price-Limiting trading system obviously can not reflect the multi-tier capital market system. Therefore, to discuss the healthy and sustainable development of China's capital market from the perspective of institutional design has become a major practical problem we are facing. This paper takes the price-limited trading system as the breakthrough point to discuss the rationality of the price-limited trading system. On the basis of the theory, through the investigation of the relationship between the characteristics of yield distribution and the efficiency of market, this paper discusses the effect of Price-Limiting trading system on the distribution of yield and its effect. At the same time, combining with the relevant theories and practices of Behavioral Finance on the asymmetry of investors'behavior, it puts forward the system design of asymmetric Price-Limiting trading system. Based on the simulation analysis, this paper constructs the specific optimization scheme of the asymmetric Price-limit trading system in the Chinese mainboard market, SME board market and GEM market. The first chapter is the introduction, which analyzes the background, significance, methods and structure of this study. In addition, it reviews the research status of this issue at home and abroad, clarifies the context of the article, summarizes the research framework, sets the research content, and excavates the research for reference. The second chapter begins with the efficient market theory, and through the theoretical analysis of the efficient market, explains the relationship between the yield distribution and the efficient market as well as the market efficiency. Necessary conditions, and asymmetric returns will lead to inefficiency of the market, which will lead to efficiency losses. Chapter 3 analyzes the theoretical Pareto effectiveness of China's multi-level capital market at the level of resource allocation and risk allocation, and then demonstrates the volatility characteristics of asymmetry through the analysis of the basic conditions of the efficient market. However, it will destroy the effectiveness of the market, so that the Pareto optimality of resource allocation and risk allocation can not be realized, resulting in the loss of efficiency of the multi-tier capital market. It is obvious that the asymmetry of returns is not consistent with the symmetrical trading mechanism currently implemented. The current symmetrical fluctuation does not alleviate the asymmetrical behavior of investors'investment behavior, but exacerbates the asymmetrical volatility. The development process of the securities market, and then analyzes the basic characteristics of the multi-level capital market in terms of yield, testing its stability; then analyzes the regression of the market; for the follow-up test of the market system linkages and consistency to lay the foundation. This paper constructs the VF-EGARcH-M model, which is based on the theory of value function to discuss the design of asymmetric limit trading system in Chinese mainboard market. In addition, the asymmetric effect of the limit trading system in Chinese capital market is analyzed in depth by means of empirical research. On the basis of the extreme value theory, the paper designs the optimum range of rise and fall. The results of Monte Carlo simulation show that the optimum range of rise and fall should be adjusted to a 13% increase based on a 10% drop. Chapter 7 is based on the asymmetric limit trading of the previous chapter. Based on the analysis and results of the institutional design and the related research conclusions of the above-mentioned multi-tier capital market system, this paper mainly discusses the design scheme of the asymmetric Price-Limiting trading mechanism in China's multi-tier capital market system. The results show that the SMEs board and the venture capital market are created under the premise that the asymmetric Price-Limiting trading system in the main board market is (-10%, +13%). Chapter 8 summarizes the full text, puts forward corresponding suggestions based on the establishment of asymmetric mechanism in China's capital market, reflects on the limitations of this study, and looks forward to the future research direction of this topic. Some valuable conclusions have been drawn and some innovative work has been done in the following aspects: (1) The relationship between efficient market and Pareto efficiency, the relationship between efficient market and yield distribution characteristics, and the relationship between yield distribution characteristics and Pareto efficiency have been discussed theoretically with the aid of economic analysis tools; (2) The relationship between efficient market and Pareto efficiency has been studied for multi-layers. The capital market has carried on the Pareto validity analysis separately from the resources allocation and the risk allocation two stratification planes, has demonstrated that the yield symmetry is achieves the Pareto validity the essential condition; (3) has used the prospect theory to analyze the stock market return Asymmetry Volatility characteristic and the symmetry transaction mechanism relations; (4) has constructed the VF-EGAR. CH-M, a model based on value function, uses empirical research to analyze the asymmetric effect of price-fixing system with symmetry in China's capital market, and proposes the optimal design scheme of asymmetric price-fixing system with the help of Monte Carlo simulation technology. The effectiveness of the design is verified.
【学位授予单位】：天津财经大学
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F832.51
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