中国股票市场透明度改革效果的理论与检验
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财经研究 2008 年 第 34 卷第 06 期, 页码：63 - 74
摘要
参考文献
摘要
文章通过观察我国股票市场微观结构特征,在理性预期的分析框架内,用贝叶斯模型解释交易成本、信息不对称和价格发现效率,给出交易前透明度增加对市场微观结构产生影响的三个假设。在此基础上,选择沪深300指数样本股票,采用三种不同检验方法对假设进行实证检验。检验结果表明:交易前透明度的增加,减少了交易成本,降低了股票交易中的信息不对称,提高了市场的价格发现效率。
[1]参考上海股票交易所网站www.sse.com.cn和深圳股票交易所网站www.sse.org.cn。
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[1]董峰,韩立岩.中国股市透明度提高对市场质量影响的实证分析[J].经济研究,2006,(5):87-96.
[2]屈文洲,吴世农.中国股票市场微观结构的特征分析[J].经济研究,2002,(1):56-63.
[3]王茂斌,孔东民.市场透明度改变影响交易者行为吗?[J].证券市场导报,2007,(11):11-19.
[4]Baruch S.Who benefits from an open li mit-order book?[J].Journal of Business,2005,78:1267-1306.
[5]Beverage S,C Nelson.Anewapproachto the decomposition of economic ti me series in-to permanent and transitory components with particular attention to the measurement of the‘business cycle’[J].Journal of Monetary Economics,1981,7:151-174.
[6]Bloomfield R,M O’Hara.Market transparency:Who wins and who loses?[J].Re-viewof Financial Studies,1999,12:5-35.
[7]Boehmer E,G Saar,L Yu.Lifting the veil:An analysis of pre-trade transparency at the NYSE[J].The Journal of Finance,2005,60:783-815.
[8]Flood M,R Huisman,K G Koedijk,R Mahieu.Quote disclosure and price discovery in multiple-dealer financial markets[J].Reviewof Financial Studies,1999,12:37-59.
[9]Hamilton J.Ti me series analysis[M].Princeton University Press,1994.
[10]Hasbrouck J.Assessing the quality of a security market:Anewapproachto tansaction-cost measurement[J].The Reviewof Financial Studies,1993,6:191-212.
[11]Hee-Joon Ahn,Jun Cai,Yasushi Hamao,Richard Y K Ho.The components of the bid-ask spread in ali mit order market:Evidence fromthe Tokyo stock exchange[J].Journal of empirical finance,2002,9:399-430.
[12]Madhavan A,M Richardson,MRoomans.Why do security prices change?Atransac-tion-level analysis of NYSWstocks[J].The Review of Financial Studies,1997,10:1035-1064.
[13]O’Hara M.Market microstructure theory[M].Blackwell Publishers,Cambridge,Mass,1995.
[14]Pagano M,R ell.Transparency and liquidity:A comparison of auction and dealer markets withinformed trading[J].Journal of Finance,1996,51:579-611.
引用本文
沈根祥, 李春琦. 中国股票市场透明度改革效果的理论与检验[J]. 财经研究, 2008, 34(6): 63–74.
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