新三板做市商存货套利交易行为与市场流动性变化——基于三板做市指数特有收益率的比较分析

The Arbitrage Behavior of Market Makers and the Change of NEEQ Market Liquidity—— A Comparative Analysis of the Specific Rate of Return of the Stocks Traded By Market-Making System

引入做市商制度有效改善了新三板市场流动性,但流动性随着股价波动出现剧烈变化。通过计算三板做市指数的特有收益率,本文发现,受做市商认可的做市转让股票,总体上反而体现出更强的抛售压力。该现象反映了做市商以出售库存股为主要获利手段的交易行为特征,这使得做市商难以提供持续稳定的流动性,导致市场流动性极不稳定。对此,本文建议,压缩做市商的存货套利空间,为做市商管理报价风险、扩大报价收益创造条件,以进一步提升做市交易的积极性;建立自由进出的做市服务制度,促使挂牌企业不断提升公司价值,从根本上增强市场潜在流动性。

The introduction of market maker system in NEEQ（National Equities Exchange and Quotations）has effectively im-proved the liquidity of third-board market,but the market liquidity varied dramatically with the fluctuation of stock prices.By calculating the specific rate of return of market-making index,this paper finds that there was a lasting strong market selling pressure on the stocks traded by market-making system.The calculation result reflects that,carrying out arbitrage by selling in-ventory is the main profit means of market maker,which makes it difficult for the market maker to provide continuous and sta-ble liquidity for the markets.Based on the study,this paper proposes to compress the arbitrage space of the market maker,to create the conditions for the market maker to manage the quotation risk,to enlarge the income of quotation,and to enhance the market potential liquidity.