摘要
本文利用银行间双边报价债券市场逐笔交易高频数据对做市商报价行为进行实证研究。运用做市商报价调整的误差修正模型,并对报价与成交净价之间进行Granger非因果检验发现,做市商双边报价机制具有迅速纠错的功能和信息传导的功能,竞争性做市商制度具有更高市场效率。本文试图从全新的角度证明做市商双边报价机制的优越性,并提出相应的机制优化设计建议。
This article made use of the high frequency data of two-way quote in interbank bond market to de an empirical analysis on the market maker behavior and the market effect with the help of proper econometric methods. By Error Correction Model （ECM） and Granger Noncausality Test, we got the conclusions： the two-quote mechanism has the function of rapid error correction and information transmission; competitive market maker system promotes the efficiency of the market. The market maker mechanism maybe have an edge over present mechanism in stock market, and should be the orientation for further development and the optimization of our market.
出处
《证券市场导报》
CSSCI
北大核心
2009年第4期25-31,共7页
Securities Market Herald
基金
社科基金项目(编号:05BJL027)的阶段性成果
