【摘要】：傳統(tǒng)的微觀市場(chǎng)結(jié)構(gòu)理論認(rèn)為集合競(jìng)價(jià)在處理股票交易時(shí)具有多方面的優(yōu)勢(shì)。如何衡量集合競(jìng)價(jià)的交易成本,如何分解買賣價(jià)差的成分,也一直成為學(xué)術(shù)界研究的重點(diǎn)。本文使用了可以與連續(xù)競(jìng)價(jià)有效價(jià)差相比較的計(jì)量集合競(jìng)價(jià)買賣價(jià)差的方法對(duì)我國(guó)集合競(jìng)價(jià)指令簿進(jìn)行研究,觀察并估計(jì)出了我國(guó)股票市場(chǎng)集合競(jìng)價(jià)買賣價(jià)差的規(guī)模。本文利用DNR模型將我國(guó)股票市場(chǎng)集合競(jìng)價(jià)買賣價(jià)差分解為指令處理成本與逆向選擇成本。 本文研究發(fā)現(xiàn),以買賣價(jià)差為衡量標(biāo)準(zhǔn)的集合競(jìng)價(jià)交易成本與訂單規(guī)模有明顯的正向關(guān)系。無(wú)論公司規(guī)模大小,隨著訂單規(guī)模的擴(kuò)大買賣價(jià)差顯著的擴(kuò)大。從公司規(guī)�？�,結(jié)果表明集合競(jìng)價(jià)的買賣價(jià)差與公司規(guī)模呈現(xiàn)負(fù)向關(guān)系。 從絕對(duì)值看,無(wú)論是哪一類型公司規(guī)模和交易規(guī)模,集合競(jìng)價(jià)的買賣價(jià)差中的指令處理成本和逆向選擇成本均大于連續(xù)競(jìng)價(jià)。從對(duì)買賣價(jià)差進(jìn)行分解的相對(duì)值來(lái)看,集合競(jìng)價(jià)機(jī)制中的逆向選擇成本占總價(jià)差的比重高于連續(xù)競(jìng)價(jià)。這些結(jié)果與傳統(tǒng)的微觀市場(chǎng)結(jié)構(gòu)理論并不符合。究其原因,本文認(rèn)為是由于我國(guó)股票市場(chǎng)中信息不對(duì)稱嚴(yán)重,集合競(jìng)價(jià)的參與度不高。根據(jù)本文實(shí)證研究結(jié)果,我認(rèn)為金融監(jiān)管當(dāng)局應(yīng)該努力實(shí)施嚴(yán)格控制內(nèi)幕信息、延長(zhǎng)集合競(jìng)價(jià)接受訂單時(shí)間、提高入市門檻、發(fā)展機(jī)構(gòu)投資者、加強(qiáng)投資者教育等政策。 本文第一章為導(dǎo)論,主要介紹文章研究目的和意義,回顧以往文獻(xiàn)。本文第二章研究隱性交易成本來(lái)源的本質(zhì),從理論上對(duì)隱性成本加以研究。第三章的內(nèi)容是估算我國(guó)股票市場(chǎng)集合競(jìng)價(jià)買賣價(jià)差以及利用DNR模型對(duì)集合競(jìng)價(jià)買賣價(jià)差進(jìn)行分解�；诘谌碌难芯拷Y(jié)果,文章的第四部分對(duì)不同交易制度對(duì)市場(chǎng)質(zhì)量的影響加以分析。本文最后一部分是根據(jù)上述研究結(jié)果對(duì)我國(guó)監(jiān)管當(dāng)局提出的政策建議。
[Abstract]:The traditional micro market structure theory holds that collective bidding has many advantages in dealing with stock trading. How to measure the transaction cost of collective bidding and how to decompose the component of the spread have been the focus of academic research. In this paper, we use the method of measuring the price difference of collective bidding to compare with the effective price difference of continuous bidding. We study the order book of collective bidding in our country, and observe and estimate the scale of the price difference of collective bidding in stock market of our country. In this paper, the DNR model is used to decompose the price spread into command processing cost and reverse selection cost. In this paper, it is found that there is an obvious positive relationship between the transaction cost of collective bidding and the size of the order. Regardless of the size of the company, the spread between buying and selling spreads increases significantly as the size of the order increases. From the perspective of firm size, the results show that the spread of the set price is negatively related to the size of the firm. In terms of absolute value, no matter what kind of firm size and transaction scale, the order processing cost and reverse selection cost in the price spread of aggregate bidding are higher than that in continuous bidding. From the relative value of the decomposition of the price difference, the proportion of the reverse selection cost to the total price difference in the aggregate bidding mechanism is higher than that in the continuous bidding mechanism. These results do not accord with the traditional micro market structure theory. The reason is that the information asymmetry is serious in the stock market of our country, and the participation of collective bidding is not high. According to the empirical results of this paper, I think the financial regulatory authorities should strictly control the insider information, prolong the time of collective bidding to accept orders, raise the threshold of entry, develop institutional investors, and strengthen the education of investors. The first chapter is an introduction, mainly introduces the purpose and significance of the article, reviews the previous literature. The second chapter studies the essence of recessive transaction cost, and theoretically studies the recessive cost. The third chapter is to estimate the price difference of the aggregate bidding price in stock market of China and to decompose the spread of the price of the collective bidding by using DNR model. Based on the results of the third chapter, the fourth part analyzes the influence of different trading systems on market quality. The last part of this paper is based on the results of the above research to our regulatory authorities put forward policy recommendations.
【學(xué)位授予單位】：天津財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51;F224

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本文編號(hào)：2301510