中国证券市场类做市商交易行为特征分析

Analysis of Quasi-market Makers' Trading Behavior Characteristic in Chinese Stock Market

研究了中国证券市场一类特殊短期投资者的交易行为,推导了其对资产价格与交易量的影响,因其交易动机与高频交易做市商类似而将其定义为类做市商。基于上述理论框架构建了判别类做市商存在性的模型,并对中国证券市场中该类做市商的存在性及其交易对资产价格行为的影响进行了实证分析。研究结果表明,我国类做市商近年来存在性的显著比例成递增趋势,且该趋势主要与机构投资者交易行为的变化相关,类做市商能提供流动性、增大波动风险,而对资产价格发现的促进作用不明显。

This paper characterizes the trading of a special kind of short-term traders named quasi-market makers.We analyze the effect of their trading on asset price and volume.Based on this theoretical frame work,a method to detect the presence of quasi-market makers is provided.Then,we present an empirical study to explore the presence of them and the effect of their trading on the price discovery behavior.The results show that the significant proportion of quasi-market makers’ existence increased in recent year which is relative to the behavior of institutional investors.Furthermore,we find the quasi-market makers can provide liquidity,increase volatility but have nothing to do with information-related role.