本文關(guān)鍵詞：證券柜臺交易市場信息效率研究　出處：《中央財經(jīng)大學》2015年博士論文　論文類型：學位論文

  更多相關(guān)文章： 證券柜臺交易市場 信息效率 信息顯示 交易機制 交易組織 交易透明度

【摘要】：柜臺交易市場是指在證券交易所以外,由證券經(jīng)紀商(交易商)組織的證券交易市場。隨著現(xiàn)代信息技術(shù)和電子交易技術(shù)的飛速發(fā)展,傳統(tǒng)的柜臺交易市場也逐步由分散的店頭市場,向集中的柜臺交易市場,以及場外聯(lián)網(wǎng)柜臺市場逐步演化。柜臺交易市場的迅速發(fā)展對全球證券交易市場影響深遠:柜臺交易市場不僅是非標準化金融產(chǎn)品的交易平臺,還在標準化金融產(chǎn)品的交易方面和交易所分庭抗禮,2009年通過ECN、黑池以及券商間交易系統(tǒng)等柜臺市場完成的上市股票交易量占全美交易總量的比重超過36%隨著中國經(jīng)濟的持續(xù)發(fā)展和轉(zhuǎn)型升級,市場新格局與經(jīng)濟新常態(tài)下的多層次資本市場建設(shè)勢在必行,但中國證券柜臺交易市場的制度構(gòu)建和運行機制尚未提到應有的高度。柜臺市場較之場內(nèi)交易所信息披露更少,交易證券的流動性更低,在這樣的信息不對稱情況下,柜臺市場應如何提高信息效率,這將成為多層次資本市場健康發(fā)展的基礎(chǔ)。本文從市場微觀結(jié)構(gòu)的角度分析柜臺交易市場的信息顯示和信息效率,論證和檢驗怎樣的微觀結(jié)構(gòu)可提升信息效率,并由此提出提升柜臺信息效率的制度構(gòu)想。柜臺市場的交易制度不同,信息顯示機制也不同,市場的信息效率也由此不同。因而從信息效率的角度研究柜臺市場的交易制度有相當理論和現(xiàn)實意義,一方面,能夠為該市場的制度構(gòu)建提供微觀基礎(chǔ);另一方面,能為柜臺市場的適用性提供經(jīng)驗證據(jù),從而促進我國多層次資本市場的發(fā)展。目前我國學術(shù)界對柜臺市場的研究偏重于制度介紹和定性分析,從微觀結(jié)構(gòu)視角分析市場信息效率的文獻較少,而國外對柜臺市場的研究則多從微觀視角分析價格形成,少有制度演進的脈絡分析,難以形成有針對性的制度建議。筆者認為這兩種思路結(jié)合可為柜臺市場的研究提供更深入和寬廣的視角,更好把握柜臺市場信息機制的本質(zhì)和特征,這便是本文選題的意義所在。柜臺市場是非標準化金融產(chǎn)品的交易平臺,其因承擔更高的金融風險,信息結(jié)構(gòu)具有天然的層級,市場天然信息不對稱。信息不對稱將影響市場顯示信息的能力,由此影響市場配置資源的效率,因而解決柜臺市場的信息不對稱問題至關(guān)重要。針對這個問題,本文從以下四方面展開討論:(1)柜臺市場的信息結(jié)構(gòu)和信息顯示(2)柜臺市場信息效率的影響因素;(3)不同微觀結(jié)構(gòu)下柜臺市場信息效率比較;(4)提高柜臺市場信息效率的構(gòu)想。研究思路是考察交易制度對柜臺交易市場的微觀結(jié)構(gòu)的改變,以及由此市場信息效率的差異,結(jié)合海外柜臺市場提高信息效率的制度實踐,考察特定的交易制度-微觀結(jié)構(gòu)對于信息顯示及其效率的影響。主要的研究結(jié)論如下:1、柜臺市場的信息顯示具有漸進性的特點,柜臺市場的私人信息逐漸顯示,但僅在理性預期的條件下信息才能完全顯示;柜臺市場的信息顯示還具有復雜性的特點,市場在完全顯示信息和完全不顯示信息之間有多種結(jié)果,市場有效僅是信息顯示的一種經(jīng)濟后果,在半強有效與強有效市場之間,還存在許多中間的市場有效;因而可從信息顯示的充分度和速度方面衡量柜臺市場的信息效率。2、市場微觀結(jié)構(gòu)影響柜臺市場的信息效率。不同微觀結(jié)構(gòu)下,柜臺交易市場發(fā)揮多重博弈和信息顯示的功能,可能產(chǎn)生三種類型均衡:信息完全顯示的分離均衡,信息部分顯示的準分離均衡和信息完全無法顯示的混同均衡。而影響信息效率的主要因素包括:交易機制影響指令提交的時間和方式;交易組織通過影響交易策略,繼而影響信息顯示充分度;交易透明度影響交易者學習,繼而影響信息顯示速率。3、柜臺交易制度作為一個信息系統(tǒng),可通過改變市場微觀結(jié)構(gòu)影響市場信息效率。交易制度是博弈規(guī)則,它影響交易者的獲得信息的能力和動力,也影響交易者的博弈策略,最終會影響信息效率,主要機制包括:設(shè)置做市商報價機制逐步顯示私人信息;設(shè)置多邊柜臺交易網(wǎng)絡,其較之單個柜臺的信息顯示更充分;設(shè)置柜臺非公開交易平臺,較之僅設(shè)置公開交易平臺,其信息顯示速率更快。4、我國證券柜臺交易市場應以交易制度的建設(shè)提升市場的信息效率,建立基于柜臺的交易商市場,機構(gòu)間市場和非公開交易平臺。主要配套制度包括:建立有限監(jiān)管理念,推動行業(yè)自律;建立以做市商交易機制為主的混合交易機制;建立合格投資者制度;進一步完善證券非公開發(fā)行和交易制度;鼓勵柜臺市場產(chǎn)品創(chuàng)新,推動金融產(chǎn)品多樣化。本文主要貢獻有:1、從制度經(jīng)濟學和市場微觀結(jié)構(gòu)交叉學科的角度來分析柜臺市場的信息效率。從制度經(jīng)濟學角度分析了柜臺交易市場的產(chǎn)生、發(fā)展與功能定位,分析了柜臺交易市場的特征與運行機制,提出制度創(chuàng)新對提升柜臺市場信息效率的重要性;從市場微觀結(jié)構(gòu)角度分析了柜臺交易市場的微觀結(jié)構(gòu)和信息顯示,以及影響柜臺市場信息效率的因素。將兩個學科統(tǒng)一到對柜臺市場“信息顯示”的研究上,以此探討柜臺市場信息機制的本質(zhì)和特征,認為柜臺市場信息機制的本質(zhì)是解決不對稱信息下的信息生產(chǎn)和信息顯示問題,外在表現(xiàn)是交易制度的創(chuàng)新,內(nèi)在價值是市場微觀結(jié)構(gòu)的改變,實質(zhì)是市場信息效率的提升,繼而推動市場資源配置功能的實現(xiàn)。2、擴展Fama(1965)的市場有效性的定義,用信息顯示的充分度和速度衡量柜臺市場的信息效率;引入交易者報價的價格方差來衡量信息顯示的充分度,交易者后驗信念的收斂速率衡量信息顯示的速率;3、以Madhavan(1992)同質(zhì)偏好模型為基礎(chǔ),建立做市商交易機制下的柜臺信息顯示模型,衡量做市商機制下柜臺市場信息顯示的難度,做市商動態(tài)調(diào)整報價以顯示市場最新信息,λi表示完全信息顯示所需的報價調(diào)整幅度,λi越大,也即信息顯示越難。做市商機制的實質(zhì)是構(gòu)建了一個柜臺信息網(wǎng)絡,而市場信息效率不僅受交易機制的約束,還受到投資者交易策略及信息分布的影響.;因而柜臺市場的信息效率是交易機制與其它因素的綜合作用的結(jié)果;4、以Holden和Subramhanyam(1992)多時期序貫拍賣模型為基礎(chǔ),建立柜臺市場單邊-多邊交易的信息顯示模型,衡量和比較不同交易組織下柜臺市場信息顯示的充分度;模型顯示多邊交易網(wǎng)絡的建立使得知情交易者增加,其交易策略更具競爭性,交易方后驗信念的方差∑_n更快的趨向于零,也即報價越快趨向資產(chǎn)真實價值,私人信息顯示得更快更充分。這從理論上驗證了多邊柜臺交易網(wǎng)絡對信息效率的提升;5、擴展Duffie,malamud,和Manso(2009)柜臺市場的信息傳遞模型,建立柜臺市場公開-非公開交易的信息顯示模型,衡量和比較不同交易透明度下柜臺市場信息顯示的速率。模型假設(shè)信息顯示過程服從泊松分布,且交易方的后驗信念收斂至完全信息顯示,當非公開和公開信息渠道共存時,交易方后驗信念的收斂速率是公開信息和私人信息顯示過程的強度之和;但如僅有公共信息渠道,收斂速率將降低,由此公開和非公開信息渠道共存時,信息顯示速率比僅有公開信息渠道時更快。這個模型具有明確的經(jīng)濟含義,信息透明度的分層將影響信息效率,建立柜臺非公開交易平臺可提升信息效率;6、實證檢驗不同交易制度下柜臺市場的信息效率,選取美國TRF場外交易匯總代表多邊柜臺交易網(wǎng)絡,其采用做市商交易機制,并設(shè)置多邊交易組織和分層交易透明度(擁有非公開交易渠道);中國的銀行間債券市場代表集中柜臺交易市場,其引入統(tǒng)一報價分散成交的做市商交易機制;新三板市場代表分散柜臺交易市場,未改版前其尚未引入做市商制度。實證檢驗顯示:多邊柜臺交易網(wǎng)絡的信息效率不弱于交易所市場;集中柜臺交易市場做市商報價對成交價的引導有一定作用,但不顯著;分散柜臺交易市場尚未達弱式有效;因而驗證本文的理論:交易制度的創(chuàng)新可改變柜臺交易市場的微觀結(jié)構(gòu),由此影響市場信息效率。
[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.

【學位授予單位】：中央財經(jīng)大學
【學位級別】：博士
【學位授予年份】：2015
【分類號】：F832.51

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