中国新三板市场阶段性集合竞价制度的价格发现研究

doi:10.12005/orms.2020.0052

运筹与管理 ›› 2020, Vol. 29 ›› Issue (2): 195-204.DOI: 10.12005/orms.2020.0052

中国新三板市场阶段性集合竞价制度的价格发现研究

向健凯¹, 王春峰¹, 李洋¹, 房振明²

1. 天津大学管理与经济学部,天津 300072;
2. 天津大学金融工程研究中心,天津 300072

收稿日期:2018-06-28 出版日期:2020-02-25
作者简介:向健凯(1993-), 男, 湖北天门人, 博士, 研究方向:金融工程与资本市场理论;王春峰(1966-), 男, 河北邢台人, 教授, 博士生导师, 研究方向:金融工程与资本市场理论;李洋(1991-), 女, 蒙古族, 黑龙江齐齐哈尔人, 博士研究生, 研究方向:公司金融与资本市场理论;房振明(1976-), 男, 辽宁锦州人, 副教授, 研究方向:资本市场理论与实践。
基金资助:
国家自然科学基金资助项目(71671122)

Price Discovery of the Periodic Auction Mechanism in the Chinese New Three Board

XIANG Jian-kai¹, WANG Chun-feng¹, LI Yang¹, FANG Zhen-ming²

1. College of Management and Economics, Tianjin University, Tianjin 300072, China;
2. Research Center of Financial Engineering, Tianjin University, Tianjin 300072, China

Received:2018-06-28 Online:2020-02-25

摘要/Abstract

摘要： 市场微观结构理论表明交易机制对资产价格的形成过程具有重要影响。本文以中国新三板交易机制改革为背景,从理论上分析了阶段性集合竞价制度的市场出清过程。阶段性集合竞价制度的核心在于市场出清时间间隔的设定。本文构建了一个存在信息摩擦和知情交易者学习机制的集合竞价市场出清模型,讨论了市场出清时间间隔对价格发现效率、资产价值不确定性和流动性风险的影响。研究发现:(1)在完美信息条件下,如果对市场规模较大和价值波动率较高的资产设定较短的市场出清时间间隔,将会降低投资者的流动性风险,提升市场质量;(2)在不完美信息条件下,除市场规模和资产价值波动率之外,信息不对称程度和知情交易者比例也是影响最优市场出清频率的重要因素;(3)在不完美信息条件下,对价值波动率较低的资产缩短市场出清时间间隔才能降低流动性风险,这与完美信息条件下的结论相反。

关键词: 阶段性集合竞价, 市场出清, 价格发现效率, 流动性风险

Abstract: The theory of market microstructure indicates that the transaction mechanism has an important influence on the formation process of asset price. In this paper, we explore how periodic auction affects price discovery process against the backdrop of transaction mechanism reform of the Chinese New Three Board. The key of the periodic auction system lies in the setting of market clearing time interval. We develop a theoretical model to study how clearing frequency affect the liquidity risk, the price discovery efficiency and the uncertainty of asset value considering information friction and Bayesian learning process of informed traders. We find that: (1)Under the condition of perfect information, setting a short market clearing time interval would reduce the liquidity risk of investors and improve the quality of the market when the market scale is larger or the volatility of asset value is higher. (2)Under the condition of imperfect information condition, the optimal clearing frequency depends on the degree of information asymmetry and the ratio of informed traders except for market scale and volatility of asset value. (3)Under the condition of imperfect information condition, setting a short market clearing time interval would reduce the liquidity risk of investors when the volatility of asset value is lower, which is in contrast with the condition of perfect information.

Key words: periodic auction, market clearing, price discovery efficiency, liquidity risk

中图分类号:

F830.91

向健凯, 王春峰, 李洋, 房振明. 中国新三板市场阶段性集合竞价制度的价格发现研究[J]. 运筹与管理, 2020, 29(2): 195-204.

XIANG Jian-kai, WANG Chun-feng, LI Yang, FANG Zhen-ming. Price Discovery of the Periodic Auction Mechanism in the Chinese New Three Board[J]. Operations Research and Management Science, 2020, 29(2): 195-204.

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中国新三板市场阶段性集合竞价制度的价格发现研究

Price Discovery of the Periodic Auction Mechanism in the Chinese New Three Board

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