本文關鍵詞：基于市場微觀結構視角的中國證券市場價格發(fā)現(xiàn)效率研究　出處：《貴州財經(jīng)大學》2013年碩士論文　論文類型：學位論文

  更多相關文章： 市場微觀結構 交易制度 價格調節(jié)因素模型 價格發(fā)現(xiàn)效率

【摘要】：市場微觀結構理論是近些年來獲得巨大發(fā)展的一個金融學研究新的分支,主要研究交易制度對交易價格的影響和市場結構設計。與傳統(tǒng)的研究市場效率模型不同之處在于,該理論關注的是市場的內(nèi)部結構和框架以及市場參與者類型,通過綜合或者單獨分析這幾個部分,重點研究價格是如何形成以及價格是否合理有效。國外的研究已經(jīng)取得了一定進展,并且在實踐中的到了非常重要的運用,但是大量的研究都是建立在做市商市場的條件下。國內(nèi)的研究目前還處于初級階段,鑒于我國證券市場在飛速發(fā)展的同時多種問題并存,因此對我國證券市場微觀結構的研究非常有必要而且具備理論與實踐意義。本文在分析中國證券市場交易制度基礎之上,研究我國上海、深圳兩個市場的價格發(fā)現(xiàn)效率。 文章首先闡述我國證券市場交易模式以及國內(nèi)外主要證券市場交易模式,我國平目前主要采用的是集合競價和連續(xù)競價方式。其次,在實證研究部分,首先通過對集合競價方式和連續(xù)競價方式下兩種具有代表性的市場指數(shù)收益率進行正態(tài)分析,證明了交易機制的確會對收益率產(chǎn)生影響,因此說明交易機制的不同會使得股票價格行為發(fā)生變化。接著,又基于我國證券市場既定的交易模式下,借鑒國內(nèi)外市場微觀結構研究的理論并選擇價格調節(jié)因素模型和方法對我國上海、深圳兩個市場價格發(fā)現(xiàn)效率進行研究。研究結論表明我國證券市場對系統(tǒng)信息存在過度反應,上海交易所過度反應程度高于深圳交易所。同時,文章還進一步的對交易制度的另外一個組成部分—交易成本進行了討論,將我國證券市場交易成本的顯性成本部分——傭金和稅費同國際市場進行比較分析,探討了國際上主要的證券交易市場傭金改革趨勢。最后,文章通過分析市場微觀結構運行績效的評定標準：有效性、流動性、波動性和透明度展開,對我國證券市場結構設計作出評判和展望。
[Abstract]:The theory of market microstructure is a new branch of financial research which has made great progress in recent years. Different from the traditional market efficiency model, the theory focuses on the internal structure and framework of the market and the types of market participants. Through comprehensive or separate analysis of these parts, the emphasis is on how the price is formed and whether the price is reasonable and effective. Foreign research has made some progress, and in practice to a very important application. However, a large number of studies are based on the market maker market conditions. Domestic research is still in the initial stage, in view of the rapid development of our securities market at the same time many problems coexist. Therefore, the study of the microstructure of China's securities market is very necessary and has theoretical and practical significance. Based on the analysis of China's securities market trading system, this paper studies Shanghai, China. Price discovery efficiency in two markets in Shenzhen. This paper first describes the trading model of China's securities market as well as the main domestic and foreign securities market trading mode. At present, our country mainly adopts collective bidding and continuous bidding. Secondly, in the empirical research part. Firstly, through the normal analysis of the two representative market index returns under the collective bidding and the continuous bidding, it is proved that the trading mechanism does have an impact on the return rate. Therefore, it shows that the different trading mechanism will make the stock price behavior change. Then, based on the established trading model of China's securities market. Learn from the domestic and foreign market microstructure research theory and choose the price adjustment factor model and method to our country Shanghai. This paper studies the efficiency of price discovery in two markets in Shenzhen. The results show that there is overreaction to system information in China's securities market, and the degree of overreaction in Shanghai is higher than that in Shenzhen. The paper also further discusses another component of the trading system-transaction costs, and compares the overt cost part of transaction costs of China's securities market with that of the international market. Finally, the paper analyzes the performance evaluation criteria of market microstructure: validity, liquidity, volatility and transparency. The structure design of China's securities market is evaluated and prospected.
【學位授予單位】：貴州財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51;F224

【參考文獻】

相關期刊論文 前2條

1 紀路,陳偉忠;市場微觀結構及其對市場流動性的影響分析[J];財經(jīng)問題研究;2000年09期

2 吳沖鋒,王承煒,吳文鋒;交易量和交易量驅動的股價動力學分析方法[J];管理科學學報;2002年01期

，

本文編號：1377339