摘要
交易机制会对市场的价格发现功能造成影响。本文基于银行阃债券市场的高频数据,利用VAR模型和脉冲响应,对做市商市场的运行情况进行检验,发现:存货效应和信息不对称对价格发现均有显著影响,而后者的影响更大;交易行为显著正相关,但对价格水平无任何影响;交易价格对新信息的反应速度较快。不存在滞后调整。总体来看,《全国银行间债券市场做市商规定》的出台前后,市场质量无明显改善,这与现行的做市商制度有很大关系。
Abstract：The transaction mechanism affects price discovery process. In this paper, the author utilizes high-frequency data in inter-bank bond market, resorts to VAR model and cumulative impulse function, and examines the operation of market-maker market. The result shows that, first, the inventory level and information asymmetry both have significant effects on price discovery, and the latter effect is greater; second, transaction behavior is positively correlated, but it has no effect on transaction price; third, there is no lag in price adjustments to new information. In a word, since the deficiency in market-maker market mechanism, the new regulative legislation has not significantly improved the market.
出处
《上海金融》
CSSCI
北大核心
2008年第4期28-32,共5页
Shanghai Finance
关键词
价格发现
向量自回归
存货
信息不对称
Price Discovery
Vector Autoregressive Model
Inventory
Information Asymmetry
