上证180指数流动性效应的实证研究

Research for Liquidity Effect of SSE-180 Index

本文从实证的角度探讨了上证180指数创立事件对其成份股流动性的影响以及进一步改善的方法。上证180指数的成立事件一方面促进了成份股价差水平和交易信息对称程度的改善,另一方面又促使交易深度水平和交易活跃性的降低。这些流动性效应是由于机构投资者对180成份股偏好所造成的:机构投资者增加了180成份股的需求同时减少了供给,就导致了交易深度和活跃性的降低;机构投资者作为相对知情交易者,它们的偏好增加了市场的需求竞争程度,从而降低了交易者之间的信息不对称程度以及改善了市场价差水平。根据国外的经验,ETF可以有效地增强市场交易深度,因此本文建议创立上证180指数ETF弥补180指数对深度方面的负面影响。

This article discusses the effect that SH-180 index impacts the component liquidity and how to improve their liquidity. The establishment of SSE-180 index has the different effect to different liquidity indicators: on one side, the component spread and trading information are improved, on the other side, the depth and trading activity become low. These effect is caused by the preference of institutors to 180-index component. They increase the need for 180-index component and decrease the supply and so deduce the trading depth and activity; institutors' preference increases the market competition and decreases the information asymmetry, as they are informed trader relatively. We subject SSE establish 180-index ETF, because ETF can enhance the market trading depth and offset the negative effect according U. S. experience.