电子交易背景下的双向拍卖制度及其变式的比较研究

发布时间：2018-02-13 08:18

本文关键词： 双向拍卖泡沫公平性交易行为　出处：《南京大学》2014年硕士论文　论文类型：学位论文

【摘要】：作为世界上最古老的价格发现与交易机制之一,拍卖具有悠久的历史。传统的单向拍卖方式中,由于交易结构的特点,买卖双方各自优势差异大。而在双向拍卖活动中,由于买方和卖方的数量都不止一个,买卖双方同时失去了原本双方在单向拍卖中所占据的相对优势。整个交易结构转变为网状交流结构。即便市场中只有很少的交易对手,双向拍卖交易市场也能在较短的时间内实现竞争均衡。由于双向拍卖的独特优势,这个交易机制成为了许多交易平台的核心。随着计算机技术以及互联网的发展,电子交易背景下的拍卖制度也迎来了新的发展。相对于传统的拍卖环境,电子交易背景下的拍卖活动不仅突破了以往交易活动的时空局限性,还可以通过利用现有技术条件对现有制度进行大量改进。中国股市使用多年的卖出限制的双向拍卖制度也是其中一种重大改进。然而以往的研究对此种制度的重大改进的研究进行较少。因此本文基于以往研究成熟的实验方法比较一般双向拍卖制度与卖出限制的双向拍卖制度,研究其风险性、公平性以及交易者行为差异。研究表明,虽然一般双向拍卖市场与卖出限制的双向拍卖市场的流动性呈显著差异,但是一般双向拍卖市场的泡沫程度并没有显著高于卖出限制的双向拍卖市场。虽然泡沫程度没有显著差异,但是一般双向拍卖实验市场中的散户大户收益差与卖出限制的双向拍卖市场的散户大户收益差存在显著差异。大户在卖出限制的双向拍卖市场的表现比散户要好。而在一般双向拍卖市场中,相对于卖出限制的双向拍卖市场而言,散户存在表现更好的可能性。另外,交易者表现在不同市场还存在显著差异。在一般双向拍卖市场中,个体的收益率与其风险规避程度以及损失规避程度负相关,表明风险偏好的人群有更大机会在这个市场获得更多好处。除了这些差异之外,无论在哪种市场,市场景气度直接影响着交易者的收益。另外,具有乐透经验的交易者也更容易获得较好收益。研究结果表明卖出限制的双向拍卖市场更有利于大户,而一般双向拍卖市场则对散户相对有利,这对交易市场以及交易者选择制度方式具有一定的指导作用。
[Abstract]:As one of the oldest price discovery and trading mechanisms in the world, auction has a long history. In the traditional one-way auction, due to the characteristics of the trading structure, the buyers and sellers have different advantages. Since the number of buyers and sellers is more than one, the buyer and seller also lose their comparative advantage in one-way auctions. The entire structure of the transaction is transformed into a mesh structure, even if there are only a few counterparties in the market. The two-way auction market can also achieve competitive equilibrium in a relatively short period of time. Due to the unique advantages of two-way auction, this trading mechanism has become the core of many trading platforms. With the development of computer technology and the Internet, The auction system under the background of electronic trading has also ushered in a new development. Compared with the traditional auction environment, the auction activities under the background of electronic transactions not only break through the time and space limitations of the past trading activities, The existing system can also be greatly improved through the use of existing technical conditions. The two-way auction system, which has been used for many years in the Chinese stock market, is also a major improvement. However, previous studies have placed great emphasis on such a system. Therefore, based on the mature experimental methods of previous studies, this paper compares the general two-way auction system with the two-way auction system with the limit of sale. The risk, fairness and behavior of traders are studied. The results show that, although there are significant differences in liquidity between the general two-way auction market and the two-way auction market with selling restriction, However, the bubble level of the general two-way auction market is not significantly higher than that of the two-way auction market where the selling limit is limited. Although there is no significant difference in the bubble level, However, there is a significant difference between the large retail income difference in the general bidirectional auction experimental market and that in the bidirectional auction market where the selling limit is limited. The performance of large investors in the bidirectional auction market with sale restriction is better than that in retail auction market. And in the general bidirectional auction market, Retail investors are more likely to perform better than bidirectional auction markets with restricted selling limits. In general, there are significant differences in the performance of traders in different markets. The rate of return of an individual is negatively correlated with its degree of risk aversion and loss aversion, suggesting that risk appetite groups have a better chance of gaining more benefits in this market. Market outlook has a direct impact on traders' earnings. In addition, traders with lotto experience are also more likely to make better returns. The general two-way auction market is relatively beneficial to retail investors, which has a certain guiding effect on the trading market and traders' choice system.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F724.59

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