交叉网络外部性在证券交易所定价中的应用分析

Research on the application of cross-group externalities on stock exchanges' pricing

本文利用双边市场理论对证券交易所进行实证检验和模型研究,采用格兰特因果检验方法对上海交易所数据进行了实证分析,研究结果表明相比上市公司而言,投资者是"鸡蛋相生"问题的关键点,因此根据实证结果提出扩大投资者规模是证券市场发展的关键所在。然后针对上市公司和投资者的自网络外部性特征及投资者内部之间交易的特点,采用模型研究得出较强的负自网络外部性使得交易所会降低上市公司的注册费来吸引公司;当注册费太高时,交易所会降低交易费来保留住投资者,反之亦然。

This paper uses the theory of two-sided markets to do demonstration tests about stock exchanges and design a model for stock exchanges＇ pricing. By using Granger causality test to analyze the data of Shanghai stock exchange, we come to the conclusion that compared to listed companies, investors are the key to the scale of a stock exchange. Then based on the conclusion, a practical suggestion is put forth that it＇s very important to expand the scale of investors in order to develop a stock exchange. According to characteristics of same-sided externalities of investors and listed companies and of transactions between investors, we set a model from which a conclusion that strong negative same-sided externalities can lead stock exchanges to attract companies by reducing entry fee and higher entry fee can lead stock exchanges to keep investors by reducing transaction fee, and vice versa.