证券柜台交易市场信息效率研究

发布时间：2017-12-31 17:27

本文关键词：证券柜台交易市场信息效率研究　出处：《中央财经大学》2015年博士论文　论文类型：学位论文

【摘要】：柜台交易市场是指在证券交易所以外,由证券经纪商(交易商)组织的证券交易市场。随着现代信息技术和电子交易技术的飞速发展,传统的柜台交易市场也逐步由分散的店头市场,向集中的柜台交易市场,以及场外联网柜台市场逐步演化。柜台交易市场的迅速发展对全球证券交易市场影响深远:柜台交易市场不仅是非标准化金融产品的交易平台,还在标准化金融产品的交易方面和交易所分庭抗礼,2009年通过ECN、黑池以及券商间交易系统等柜台市场完成的上市股票交易量占全美交易总量的比重超过36%随着中国经济的持续发展和转型升级,市场新格局与经济新常态下的多层次资本市场建设势在必行,但中国证券柜台交易市场的制度构建和运行机制尚未提到应有的高度。柜台市场较之场内交易所信息披露更少,交易证券的流动性更低,在这样的信息不对称情况下,柜台市场应如何提高信息效率,这将成为多层次资本市场健康发展的基础。本文从市场微观结构的角度分析柜台交易市场的信息显示和信息效率,论证和检验怎样的微观结构可提升信息效率,并由此提出提升柜台信息效率的制度构想。柜台市场的交易制度不同,信息显示机制也不同,市场的信息效率也由此不同。因而从信息效率的角度研究柜台市场的交易制度有相当理论和现实意义,一方面,能够为该市场的制度构建提供微观基础;另一方面,能为柜台市场的适用性提供经验证据,从而促进我国多层次资本市场的发展。目前我国学术界对柜台市场的研究偏重于制度介绍和定性分析,从微观结构视角分析市场信息效率的文献较少,而国外对柜台市场的研究则多从微观视角分析价格形成,少有制度演进的脉络分析,难以形成有针对性的制度建议。笔者认为这两种思路结合可为柜台市场的研究提供更深入和宽广的视角,更好把握柜台市场信息机制的本质和特征,这便是本文选题的意义所在。柜台市场是非标准化金融产品的交易平台,其因承担更高的金融风险,信息结构具有天然的层级,市场天然信息不对称。信息不对称将影响市场显示信息的能力,由此影响市场配置资源的效率,因而解决柜台市场的信息不对称问题至关重要。针对这个问题,本文从以下四方面展开讨论:(1)柜台市场的信息结构和信息显示(2)柜台市场信息效率的影响因素;(3)不同微观结构下柜台市场信息效率比较;(4)提高柜台市场信息效率的构想。研究思路是考察交易制度对柜台交易市场的微观结构的改变,以及由此市场信息效率的差异,结合海外柜台市场提高信息效率的制度实践,考察特定的交易制度-微观结构对于信息显示及其效率的影响。主要的研究结论如下:1、柜台市场的信息显示具有渐进性的特点,柜台市场的私人信息逐渐显示,但仅在理性预期的条件下信息才能完全显示;柜台市场的信息显示还具有复杂性的特点,市场在完全显示信息和完全不显示信息之间有多种结果,市场有效仅是信息显示的一种经济后果,在半强有效与强有效市场之间,还存在许多中间的市场有效;因而可从信息显示的充分度和速度方面衡量柜台市场的信息效率。2、市场微观结构影响柜台市场的信息效率。不同微观结构下,柜台交易市场发挥多重博弈和信息显示的功能,可能产生三种类型均衡:信息完全显示的分离均衡,信息部分显示的准分离均衡和信息完全无法显示的混同均衡。而影响信息效率的主要因素包括:交易机制影响指令提交的时间和方式;交易组织通过影响交易策略,继而影响信息显示充分度;交易透明度影响交易者学习,继而影响信息显示速率。3、柜台交易制度作为一个信息系统,可通过改变市场微观结构影响市场信息效率。交易制度是博弈规则,它影响交易者的获得信息的能力和动力,也影响交易者的博弈策略,最终会影响信息效率,主要机制包括:设置做市商报价机制逐步显示私人信息;设置多边柜台交易网络,其较之单个柜台的信息显示更充分;设置柜台非公开交易平台,较之仅设置公开交易平台,其信息显示速率更快。4、我国证券柜台交易市场应以交易制度的建设提升市场的信息效率,建立基于柜台的交易商市场,机构间市场和非公开交易平台。主要配套制度包括:建立有限监管理念,推动行业自律;建立以做市商交易机制为主的混合交易机制;建立合格投资者制度;进一步完善证券非公开发行和交易制度;鼓励柜台市场产品创新,推动金融产品多样化。本文主要贡献有:1、从制度经济学和市场微观结构交叉学科的角度来分析柜台市场的信息效率。从制度经济学角度分析了柜台交易市场的产生、发展与功能定位,分析了柜台交易市场的特征与运行机制,提出制度创新对提升柜台市场信息效率的重要性;从市场微观结构角度分析了柜台交易市场的微观结构和信息显示,以及影响柜台市场信息效率的因素。将两个学科统一到对柜台市场“信息显示”的研究上,以此探讨柜台市场信息机制的本质和特征,认为柜台市场信息机制的本质是解决不对称信息下的信息生产和信息显示问题,外在表现是交易制度的创新,内在价值是市场微观结构的改变,实质是市场信息效率的提升,继而推动市场资源配置功能的实现。2、扩展Fama(1965)的市场有效性的定义,用信息显示的充分度和速度衡量柜台市场的信息效率;引入交易者报价的价格方差来衡量信息显示的充分度,交易者后验信念的收敛速率衡量信息显示的速率;3、以Madhavan(1992)同质偏好模型为基础,建立做市商交易机制下的柜台信息显示模型,衡量做市商机制下柜台市场信息显示的难度,做市商动态调整报价以显示市场最新信息,λi表示完全信息显示所需的报价调整幅度,λi越大,也即信息显示越难。做市商机制的实质是构建了一个柜台信息网络,而市场信息效率不仅受交易机制的约束,还受到投资者交易策略及信息分布的影响.;因而柜台市场的信息效率是交易机制与其它因素的综合作用的结果;4、以Holden和Subramhanyam(1992)多时期序贯拍卖模型为基础,建立柜台市场单边-多边交易的信息显示模型,衡量和比较不同交易组织下柜台市场信息显示的充分度;模型显示多边交易网络的建立使得知情交易者增加,其交易策略更具竞争性,交易方后验信念的方差∑_n更快的趋向于零,也即报价越快趋向资产真实价值,私人信息显示得更快更充分。这从理论上验证了多边柜台交易网络对信息效率的提升;5、扩展Duffie,malamud,和Manso(2009)柜台市场的信息传递模型,建立柜台市场公开-非公开交易的信息显示模型,衡量和比较不同交易透明度下柜台市场信息显示的速率。模型假设信息显示过程服从泊松分布,且交易方的后验信念收敛至完全信息显示,当非公开和公开信息渠道共存时,交易方后验信念的收敛速率是公开信息和私人信息显示过程的强度之和;但如仅有公共信息渠道,收敛速率将降低,由此公开和非公开信息渠道共存时,信息显示速率比仅有公开信息渠道时更快。这个模型具有明确的经济含义,信息透明度的分层将影响信息效率,建立柜台非公开交易平台可提升信息效率;6、实证检验不同交易制度下柜台市场的信息效率,选取美国TRF场外交易汇总代表多边柜台交易网络,其采用做市商交易机制,并设置多边交易组织和分层交易透明度(拥有非公开交易渠道);中国的银行间债券市场代表集中柜台交易市场,其引入统一报价分散成交的做市商交易机制;新三板市场代表分散柜台交易市场,未改版前其尚未引入做市商制度。实证检验显示:多边柜台交易网络的信息效率不弱于交易所市场;集中柜台交易市场做市商报价对成交价的引导有一定作用,但不显著;分散柜台交易市场尚未达弱式有效;因而验证本文的理论:交易制度的创新可改变柜台交易市场的微观结构,由此影响市场信息效率。
[Abstract]:OTCBB refers to the stock exchange, the securities brokers (dealers) organization of the securities trading market. With the rapid development of modern information technology and e-commerce technology, the counter market gradually from the OTC market decentralized, centralized to the counter trading market, and the OTC network counter market gradually evolved. The rapid development of OTC market has profound influence on the global stock markets: the OTC market is not only non standardized financial products trading platform, trading in the standardization of financial products and exchange in 2009 by ECN, meet as equals, the listed stock trading volume counter market completion and Blackpool broker between trading systems accounted for America more than 36% of total transactions with the sustained development of Chinese economic transformation and upgrading, multi-level capital market and the new pattern of economy under the new normal The construction is imperative, but the construction of China securities OTC market system and operation mechanism has not been mentioned in the proper height. The counter market is the exchange of information disclosure less, lower liquidity in stock exchange, information asymmetry in such a situation, how to improve the efficiency of the counter market information, which will become the basis for the healthy development of multi-level capital market analysis of OTC market. In this paper, information display and information efficiency from the perspective of market microstructure, microstructure demonstration and testing how can improve the efficiency of information system, and puts forward some ideas of improving the efficiency of the counter information. Different counter market trading system, information display mechanism is different, the efficiency of market information is also different. Thus a considerable theoretical and practical significance, research the counter market information from the efficiency point of the trading system on the one hand, can be the The construction of market system provides micro foundation; on the other hand, applicability can provide empirical evidence for OTC market, so as to promote the development of multi-level capital market in China. The current research on the counter market in Chinese academic circles on the system introduction and qualitative analysis, from the micro structure analysis of market information efficiency from the perspective of literature study on the counter market, and foreign countries is more from the micro perspective analysis of price formation, less analysis system evolution, it is difficult to form a system for suggestions. The author thinks that provide deeper and broader perspective of these two ideas can be combined with the counter market, to better grasp the essence and characteristics of information counter market mechanism and this is the meaning of this article. The counter market is non standardized financial products trading platform, due to bear higher financial risk, the information structure has a natural hierarchy Asymmetric information, market natural. Information asymmetry will affect the market display information, thus affecting the efficiency of market allocation of resources, so it is crucial to solve the problem of asymmetric information counter market. Aiming at this problem, this paper from the following four aspects: (1) the information structure and information display counter market (2) factors affecting the counter market the efficiency of information; (3) comparison information counter market microstructure under different efficiency; (4) improve the concept of counter market information efficiency. The research is on the microstructure of OTC market investigation trading system changes, and thus differences in efficiency of market information, combined with the practice of overseas counter market improving the efficiency of information system, study the trading system - specific micro structure impact for information display and its efficiency. The main conclusions are as follows: 1, the counter market information has gradually In the private information counter market gradually, but only in the rational expectations under the condition of information to fully display; counter market information display also has the characteristic of complexity in the market, fully display information and complete display has a variety of results between information, market effectively is only a kind of economic consequences of information display in between, semi strong and strong efficient market, there are still many middle market information efficiency can thus be effective;.2 measure the counter market from the aspects of information display the full degree of speed and efficiency of information counter market impact of market microstructure. The different microstructure under the counter market to play multiple games and information display the function, may have three types of equilibrium: separating equilibrium complete information display, separating equilibrium and pooling equilibrium quasi information show completely unable to display. And the influence of the letter The main factors include information efficiency: time and transaction mechanism of order submission; transaction organization by influencing the trading strategy, then the impact of information display full indexing; the transparency of transactions affecting traders learning, then the impact of information display rate of.3, the counter trading system as an information system, according to the changes of market microstructure affects the market information efficiency. Trading system is the game rules, it affects trader's ability and dynamic information, also affect the game strategy of traders, will ultimately affect the efficiency of information, mainly including: the establishment of mechanism of market maker mechanism gradually display personal information; setting the counter multilateral trading network, compared with the single counter display information more fully set counter; non public trading platform, is only set to open trading platform, the information display rate faster.4, China's securities market should take over the counter Building system improve the efficiency of market information, establish the counter dealer market based on the inter agency market and non publicly traded platform. Including the main supporting system: the establishment of limited regulatory philosophy, to promote industry self-regulation; the establishment of mixed trading mechanism in the market maker mechanism; establish a system of qualified investors; to further improve the non-public offering of securities and the counter market trading system; encourage product innovation, promote the diversification of financial products. The main contributions of this paper are: 1, to analyze the efficiency of information counter market from institutional economics and market microstructure interdisciplinary perspective. From the perspective of institutional economics analysis of the OTC market, development and function, analyzes the characteristics of OTC market the operation mechanism and system innovation, and puts forward the importance of enhancing the counter market information efficiency; from the perspective of market microstructure analysis of the cabinet The micro structure and information exchange market, and the influencing factors of the counter market information efficiency. Two a unified discipline to the study of counter market "information", in order to explore the essence and characteristics of information counter market mechanism, information mechanism that the nature of counter market is to solve the asymmetric information of information production and information display problem manifestation is the innovation of trading system, the intrinsic value is the market microstructure change, is the essence of market information to improve the efficiency of implementation of.2, then promote the market resource allocation function, extended Fama (1965) of the definition of market efficiency, information efficiency measure counter market with sufficient precision and speed of information display adequacy of price variance; introduced to measure the traders offer information display, convergence rate of traders' posterior belief measure of information display; 3, Madhavan (19 92) homogeneous model as the foundation, the establishment of a market maker trading mechanism under the counter information display model, the counter measure of market information under the market maker system shows the difficulty of dynamic adjustment of the market maker quotations to display the latest market information, a I said complete information display quotes adjustment required, lambda I increases, i.e. display information more difficult. The essence of market maker mechanism is to construct a counter information network, and the efficiency of market information, not only by the trading mechanism, but also affected by the investors' trading strategies and information distribution. So the efficiency of information; counter market is the comprehensive effect of the trading mechanism and other factors result; 4, to Holden Subramhanyam (1992) and multi period sequential auction model, the establishment of the counter market unilateral - multilateral trading information display model, adequacy measure and compare the different trading organization under the counter market information display The establishment of a multilateral trading network model; that makes informed traders increase their trading strategies more competitive, transaction posterior belief variance Sigma _n tends to zero faster, which offer faster trend of real value of assets, private information faster and more fully. It is validated the multilateral trading network of information counter efficiency in theory; 5, Malamud, Manso and Duffie expansion, (2009) the counter market information transmission model, establish the counter market open - non publicly traded information display model, and the counter measure of the rate of market information to compare the different trading transparency display. If the information model shows that the process of Poisson distribution, and the trading side of posterior beliefs converge to the complete information display, when the non public information and public channels coexist, the convergence rate of transaction posterior belief is the intensity of public information and private information display process And; but if only the public information channels, the convergence rate will be reduced, the public and non-public information channels coexist, information display rate is faster than the only public information channels. This model has clear economic implications, hierarchical information transparency will affect the information efficiency, the establishment of the counter non-public trading platform can improve the efficiency of information; 6, empirical test of information efficiency of different counter market trading system, selects the TRF OTC summary on behalf of multilateral counter trading network, the market maker mechanism, and set up multilateral trade organization and hierarchical transparency of transactions (with non publicly traded channels); China interbank bond market on behalf of the OTC market. The introduction of a unified price dispersion transaction mechanism of market maker; the new third board market on behalf of decentralized OTC market, not yet the revision before the introduction of market maker system. The empirical test shows that the information efficiency of multilateral trading network counter is not weaker than the exchange market; centralized OTC market market maker has certain effect on the price guide, but not significant; decentralized OTC market has not yet reached the weak form efficiency; thus validate the theory: micro structure innovation of trading system can change the OTC market thus, affect the efficiency of market information.

【学位授予单位】：中央财经大学
【学位级别】：博士
【学位授予年份】：2015
【分类号】：F832.51

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