中国证券市场报价制度的运行绩效——基于隐性交易成本和信息非对称程度的分析视角

The Quote System's Operational Performance in China's Stock Market:A Perspective Based on Implicit Transaction Cost and Asymmetric Information

本文基于隐性交易成本和信息非对称程度的视角研究了中国证券市场报价制度的运行绩效。首先以Roll(1984)、George et al.(1991)模型的序列协方差法为基础,推导出指令驱动市场中隐性交易成本和信息非对称程度的联合估计模型;其次,基于联合估计方法,估计出上海股票市场的隐性交易成本和市场的信息非对称程度。实证结果表明,中国证券市场的运行绩效不理想,信息非对称依然严重,隐性交易成本是投资者不可忽略的成本。最后在实证研究的基础上,提出中国证券市场应该建立混合报价制度,并引入做市商制度作为竞价制度的补充。

Based on the implicit transaction cost and the degree of asymmetric information perspective, this article surveys the trading system＇ s operational performance in China＇ s stock market. A new approach is introduced which provides a joint efficient estimator of implicit transaction cost and the degree of asymmetry information based on the covariance sequence method developed by Roll （1984） and George et. al （1991）. And then we figure out the implicit transaction cost and the degree of asymmetric information in Shanghai Stock Market using this new joint estimation model. The result of empirical analysis suggests that the operational performance of China＇ s stock market is poor, existing seriously asymmetric information, which imply than implicit transaction should not be neglected by investors. Finally, On the basis of the theoretical and empirical studies, this paper puts forward a policy suggestion for China＇ s stock market to establish a mixed transaction system by introducing market - maker system as a supplement to the auction system.