中国股票市场运行效率研究
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摘要
本文把我国深沪股票市场作为主要研究对象,借助市场微观结构理论的分析框架,通过理论模型、比较研究和实证检验,对我国股票市场运行效率进行研究。主要结论和成果有:
(1)从发展历史来看,深沪两市的流动性均呈现出逐步改善的趋势,但仍然低于发达国家市场的流动性水平;以流动性指数、市场深度及大宗交易成本衡量,沪市的流动性好于深市,以价格冲击指数及相对买卖价差衡量,深市的流动性高于沪市。(2)深沪股市波动性的总体趋势并不是处于下降状态,波动幅度依然较大,表现出强烈的“政策市”特征。(3)中国股市市场情绪不仅会产生情绪溢价,而且使深沪两市的收益产生波动,与短期收益惯性和长期收益反转相对应,中国股市市场情绪具有短期持续性和长期的逆转性,市场情绪是导致中国股市非理性繁荣和下跌的一个重要原因。(4)指令驱动制度下的股票市场,隐形交易成本和股价、市场深度、知情交易概率、股价波动、信息冲击与买卖指令的不平衡性密切相关,理论和实证表明:市场深度越大、知情交易概率越小、股价波动越小、信息对股价的冲击越小以及买卖指令的不平衡性程度越低,隐性交易成本就越小。(5)隐性交易成本是反映市场运行效率的一个综合指标,市场流动性差、有效性低、价格波动性高会导致隐性交易成本增大,运行效率良好的股票市场必然有较低的隐性交易成本。
With the theory of market microstructure analytical framework,this dissertation make use of the theoretical models,comparative study and empirical testing to study on operational performance in China's stock market constituted by Shenzhen and Shanghai stock markets.The main conclusions are listed as follows:
(1) In terms of development history,the liquidity of Shenzhen and Shanghai stock market shows the trend of gradual improvement,but still lower than the mature national market system;The liquidity of the stock market in Shanghai is better than the Shenzhen stock market measuring by the liquidity index,the market depth and transaction costs of block trades,and the Shenzhen is better than the Shanghai measuring by the price impact index and the relative bid-ask spread.
(2) The volatility of Shenzhen and Shanghai stock market is not in the trend of decline.Chinas stock market is still relatively large fluctuations,showing a strong "policy market".
(3) The market sentiment is not only leads sentiment premium,but leads earnings volatility in Shenzhen and Shanghai stock market.With emotional short-term sustainability and long-term reversal corresponding,there exist a short-term momentum and a long-term reversal in China's stock market Market sentiment is one of major reasons for China's stock market irrational exuberance and down.
(4) Base on the China's limit order-driven electronic trading system,such factors as the stock price,the depth of market,the probability of informed trading, the fluctuation of stock price,the impact of information and the imbalance of orders will all affect the implicit transaction cost.The greater market depth, lower probability of informed trading,smaller price volatility,smaller impact of information on stocks and lower degree of imbalance on order will lead to decrease implicit transaction costs.
(5) Implicit transaction costs is a composite indicator to measure the efficiency of stock.Markect.Empirical analysis shows that the poor liquidity,lower effectiveness of information and high volatility will lead to higher implicit transaction costs.Efficient operation of stock markets is bound to lower implicit transaction costs.
(1)从发展历史来看,深沪两市的流动性均呈现出逐步改善的趋势,但仍然低于发达国家市场的流动性水平;以流动性指数、市场深度及大宗交易成本衡量,沪市的流动性好于深市,以价格冲击指数及相对买卖价差衡量,深市的流动性高于沪市。(2)深沪股市波动性的总体趋势并不是处于下降状态,波动幅度依然较大,表现出强烈的“政策市”特征。(3)中国股市市场情绪不仅会产生情绪溢价,而且使深沪两市的收益产生波动,与短期收益惯性和长期收益反转相对应,中国股市市场情绪具有短期持续性和长期的逆转性,市场情绪是导致中国股市非理性繁荣和下跌的一个重要原因。(4)指令驱动制度下的股票市场,隐形交易成本和股价、市场深度、知情交易概率、股价波动、信息冲击与买卖指令的不平衡性密切相关,理论和实证表明:市场深度越大、知情交易概率越小、股价波动越小、信息对股价的冲击越小以及买卖指令的不平衡性程度越低,隐性交易成本就越小。(5)隐性交易成本是反映市场运行效率的一个综合指标,市场流动性差、有效性低、价格波动性高会导致隐性交易成本增大,运行效率良好的股票市场必然有较低的隐性交易成本。
With the theory of market microstructure analytical framework,this dissertation make use of the theoretical models,comparative study and empirical testing to study on operational performance in China's stock market constituted by Shenzhen and Shanghai stock markets.The main conclusions are listed as follows:
(1) In terms of development history,the liquidity of Shenzhen and Shanghai stock market shows the trend of gradual improvement,but still lower than the mature national market system;The liquidity of the stock market in Shanghai is better than the Shenzhen stock market measuring by the liquidity index,the market depth and transaction costs of block trades,and the Shenzhen is better than the Shanghai measuring by the price impact index and the relative bid-ask spread.
(2) The volatility of Shenzhen and Shanghai stock market is not in the trend of decline.Chinas stock market is still relatively large fluctuations,showing a strong "policy market".
(3) The market sentiment is not only leads sentiment premium,but leads earnings volatility in Shenzhen and Shanghai stock market.With emotional short-term sustainability and long-term reversal corresponding,there exist a short-term momentum and a long-term reversal in China's stock market Market sentiment is one of major reasons for China's stock market irrational exuberance and down.
(4) Base on the China's limit order-driven electronic trading system,such factors as the stock price,the depth of market,the probability of informed trading, the fluctuation of stock price,the impact of information and the imbalance of orders will all affect the implicit transaction cost.The greater market depth, lower probability of informed trading,smaller price volatility,smaller impact of information on stocks and lower degree of imbalance on order will lead to decrease implicit transaction costs.
(5) Implicit transaction costs is a composite indicator to measure the efficiency of stock.Markect.Empirical analysis shows that the poor liquidity,lower effectiveness of information and high volatility will lead to higher implicit transaction costs.Efficient operation of stock markets is bound to lower implicit transaction costs.
引文
[1]参考《上市公司信息披露管理办法》,中国证券监督管理委员会令,第40号。
[2]对信息传导过程的描述主要参考:王雁茜,交易制度、交易成本与市场质量[M],浙江大学出版社,2004。
[3]数据来源:上海证券交易所:http://www.sse.com.cn:深圳交易所:http://www.szse.cn。
[4]数据来源:深圳证券交易所金融创新实验室,降低流动性成本的分析与建议,深圳交易所,2007。
[5]数据来源:Jain,P,2002,Institutional Design and Liquidity at Stock Exchange around the World.Working Paper,Kelley School of Business.
[6]冯芸、吴冲锋、刘海龙、许睿、穆启国、仲黎明、吴文锋,深圳股票市场流动性研究,深圳证券交易所综合研究所研究成果发表专辑第三辑,“证券市场基础 理论与创新问题研究”。2003。
[7]上海证券交易所市场质量报告-2007。
[s]深圳证券交易所2007年度股票市场绩效报告。
[9]上证综合指数、深圳成分指数的日收盘走势图形以及相关数据来源:http://quotes.money.163.com/index.html;对股指波动的描述参考:史代敏,中国股票市场波动与效率研究[M],成都,西南财经大学出版社,2003。
[10]存款准备金率调整数据参考人民银行网站:http://www.pbc.gov.cn/。
[11]金融机构法定存货款利率调整参考人民银行网站:http://www.pbc.gov.cn/。
[12]代表投资者的提法和描述参考:赫什.舍夫林(Hersh Shefrin)/著,王闻译,资产定价的行为方法,北京:中国人民大学出版社,2007。
[13]样本数据来源于清华大学中国金融研究中心CCFR金融数据。
[14]数据来源:国研网http://www.drcnet.com.cn。
[15]对指令交易成本的描述参考:段西军的博士论文,我国股票市场的隐性交易成本研究[D],2006。
[16]分析方法主要参考:Puneet Handa,Robert Schwartz,and Ashish Tiwari,Quote Setting and Price Formation in an Order Driven Market,Journal of Financial Markets,2003,6,461-468。
[17]数据来源于上海证券交易所:http://www.sse.com.cn;分析家数据:http://www.000562.com/data。
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[2]对信息传导过程的描述主要参考:王雁茜,交易制度、交易成本与市场质量[M],浙江大学出版社,2004。
[3]数据来源:上海证券交易所:http://www.sse.com.cn:深圳交易所:http://www.szse.cn。
[4]数据来源:深圳证券交易所金融创新实验室,降低流动性成本的分析与建议,深圳交易所,2007。
[5]数据来源:Jain,P,2002,Institutional Design and Liquidity at Stock Exchange around the World.Working Paper,Kelley School of Business.
[6]冯芸、吴冲锋、刘海龙、许睿、穆启国、仲黎明、吴文锋,深圳股票市场流动性研究,深圳证券交易所综合研究所研究成果发表专辑第三辑,“证券市场基础 理论与创新问题研究”。2003。
[7]上海证券交易所市场质量报告-2007。
[s]深圳证券交易所2007年度股票市场绩效报告。
[9]上证综合指数、深圳成分指数的日收盘走势图形以及相关数据来源:http://quotes.money.163.com/index.html;对股指波动的描述参考:史代敏,中国股票市场波动与效率研究[M],成都,西南财经大学出版社,2003。
[10]存款准备金率调整数据参考人民银行网站:http://www.pbc.gov.cn/。
[11]金融机构法定存货款利率调整参考人民银行网站:http://www.pbc.gov.cn/。
[12]代表投资者的提法和描述参考:赫什.舍夫林(Hersh Shefrin)/著,王闻译,资产定价的行为方法,北京:中国人民大学出版社,2007。
[13]样本数据来源于清华大学中国金融研究中心CCFR金融数据。
[14]数据来源:国研网http://www.drcnet.com.cn。
[15]对指令交易成本的描述参考:段西军的博士论文,我国股票市场的隐性交易成本研究[D],2006。
[16]分析方法主要参考:Puneet Handa,Robert Schwartz,and Ashish Tiwari,Quote Setting and Price Formation in an Order Driven Market,Journal of Financial Markets,2003,6,461-468。
[17]数据来源于上海证券交易所:http://www.sse.com.cn;分析家数据:http://www.000562.com/data。
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