市场分割、流动性供求匹配与新三板做市效果之谜

Market Segmentation, the Match Degree of the Demand and Supply of Stock Liquidity, and the Puzzle of the Effect of Market Making in the NEEQ Market

本文以2014年7月1日至2017年12月31日的新三板挂牌公司为样本,从市场分割和流动性供求匹配的视角出发,研究了新三板做市效果之谜。研究发现:采用做市转让方式的股票的及时性更强、宽度更大,但深度却更小;市场分割是影响新三板做市效果的重要因素,流动性供求匹配度越高,做市商的做市效果越好;公司规模不是影响这些关系的关键替代性解释;使用倍差法模型(DID)和倾向性得分匹配模型(PSM)进行稳健性检验不改变研究结论。

On the basis of the data of listed companies in the NEEQ market from Jul. 1st 2014 to Dec. 31st 2017, the paper explores "the puzzle of the effect of market making in the NEEQ market" from the perspectives of the market segmentation and the match degree of demand and supply of stock liquidity. The paper finds that the immediacy and the breadth are better, while the depth is worse in the stocks that using market making transferring mechanism;market segmentation is an important factor that affect the effect of market making transferring mechanism, the higher the match degree of demand and supply of stock liquidity, the better the effect of market making transferring mechanism;firm size is not an alternative explanation;these results do not change when we use different methods such as DID and PSM.