交易机制、做市商特征与新三板流动性
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摘要
文章以2007—2016年期间"新三板"数据为样本,对交易机制影响新三板流动性的效果进行了实证检验,结果显示:1.做市商制度显著提升了股票流动性; 2.做市商数量会正向影响企业股票流动性; 3.做市商实力会正向影响企业股票流动性; 4.做市商持有库存股数量会正向影响企业股票流动性。上述结论说明我国"新三板"引入做市商制度具有政策正确性和有效性;建议通过增加做市商数量,改善做市商参与度,提升做市商质量,引导做市商持有更多库存股,进一步发挥做市商促进流动性的作用。
Based on NEEQ's market data during 2007—2016,we have carried on the empirical test that the market-maker system influences the effect of the new three boards liquidity.The results showed:(1) market maker system significantly improved the enterprise equity liquidity;(2) market makers number had positive influence on corporate equity liquidity;(3) market makers strength had positive influence on corporate equity liquidity;(4) market makers holding treasury stock volume had positive influence on corporate equity liquidity.The conclusion is that China's "new three boards" introducing market-making system have policy correctness and validity.We suggest that further playing the role of market makers in promoting liquidity by increasing the number of market makers,by improving market makers participation,by improving the quality of market makers,and by guiding the market makers to hold more stock shares.
Based on NEEQ's market data during 2007—2016,we have carried on the empirical test that the market-maker system influences the effect of the new three boards liquidity.The results showed:(1) market maker system significantly improved the enterprise equity liquidity;(2) market makers number had positive influence on corporate equity liquidity;(3) market makers strength had positive influence on corporate equity liquidity;(4) market makers holding treasury stock volume had positive influence on corporate equity liquidity.The conclusion is that China's "new three boards" introducing market-making system have policy correctness and validity.We suggest that further playing the role of market makers in promoting liquidity by increasing the number of market makers,by improving market makers participation,by improving the quality of market makers,and by guiding the market makers to hold more stock shares.
引文
[1]石艾馨,萧琛.中小企业融资困境与“场外股权交易市场”升级---兼谈“做市商”之后“新三板”的行情与改进[J].新视野,2014(6):41-46.
[2]冯福根.股票流动性会促进我国企业技术创新吗?[J].金融研究,2017(03):192-205.
[3]Amihud Y,Mendelson H.Asset pricing and the bid-ask spread[J].Journal of financial Economics,1986,17(2):223-249.
[4]Elyasiani E,Hauser S,Lauterbach B.Market response to liquidity improvements:Evidence from exchange listings[J].Financial Review,2000,35(1):1-14.
[5]Kalay A,Wei L,Wohl A.Continuous trading or call auctions:Revealed preferences of investors at the Tel Aviv Stock Exchange[J].the Journal of Finance,2002,57(1):523-542.
[6]Kamara A.Liquidity,taxes,and short-term treasury yields[J].Journal of Financial and Quantitative Analysis,1994,29(03):403-417.
[7]Lepone A,Yang J Y.Informational role of market makers:The case of exchange traded CFDs[J].Journal of Empirical Finance,2013(2)3:84-92.
[8]Amihud Y,Mendelson H.Dealership market:Market-making with inventory[J].Journal of Financial Economics,1980,8(1):31-53.
[9]Snell A,Tonks I.Testing for asymmetric information and inventory control effects in market maker behaviour on the London Stock Exchange[J].Journal of Empirical Finance,1998,5(1):1-25.
[10]Glosten L R,Milgrom P R.Bid,ask and transaction prices in a specialist market with heterogeneously informed traders[J].Journal of financial economics,1985,14(1):71-100.
[11]Huh S W,Lin H,Mello A S.Options market makers hedging and informed trading:Theory and evidence[J].Journal of Financial Markets,2015(23):26-58.
[12]Kedia S,Zhou X.Local market makers,liquidity and market quality[J].Journal of Financial Markets,2011,14(4):540-567.
[13]Shen P,Starr R M.Market-makers'supply and pricing of financial market liquidity[J].Economics letters,2002,76(1):53-58.
[14]Guo B,Zhang W,Chen S H,et al.The optimal pricing of a market maker in a heterogeneous agent economy[J].Finance Research Letters,2015(14):178-187.
[15]Ho T S Y,Stoll H R.The dynamics of dealer markets under competition[J].The Journal of finance,1983,38(4):1053-1074.
[16]NYSE.New York Stock Exchange Market Quality[J].August,2004.
[17]Becker B C.Profitability Analysis of NYSE Trading Specialists[J].Precision Economics,LLC,2004.
[18]Glosten L R.Insider trading,liquidity,and the role of the monopolist specialist[J].Journal of Business,1989:211-235.
[19]Menkveld A J,Wang T.How do designated market makers create value for small-caps?[J].Journal of Financial Markets,2013,16(3):571-603.
[20]胡冬辉.新三板做市商制度对科技型企业经营效率的影响[J].科技进步与对策,2016(24):94-98.
[21]陈辉、顾乃康.新三板做市商制度、股票流动性与证券价值[J].金融研究,2017(04):176-190.
[22]姚秦.债券市场微观结构与做市商制度:理论与中国的实证[M].上海:复旦大学出版社,2007.
[23]张瀛.做市商,流动性与买卖价差:基于银行间债券市场的流动性分析[J].世界经济,2007,30(10):86-95.
[24]吴蕾.银行间债券市场做市商价格发现能力研究[J].证券市场导报,2017(03):44-55.
[25]O'hara M.Market microstructure theory[M].Cambridge,MA:Blackwell,1995.
[26]Schwartz R A.Equity markets:Structure,trading,and performance[M].Harpercollins College Div,1988.
[27]Amihud Y.Illiquidity and stock returns:cross-section and time-series effects[J].Journal of financial markets,2002,5(1):31-56.
[28]张峥,李怡宗,张玉龙,等.中国股市流动性间接指标的检验---基于买卖价差的实证分析[J].经济学(季刊),2014,1:011.
[29]Hasbrouck J.Trading costs and returns for US equities:Estimating effective costs from daily data[J].The Journal of Finance,2009,64(3):1445-1477.
[30]罗党论.做市商制度与新三板公司流动性[J].金融学季刊,2017(04):1-19.
(1)两年间做市交易方式企业数量占比并没有上升,所以流动性上升主要源于制度效果随时间增长的释放。
(2)由于做市商制度是在2014年第四季度实施的,因此在分组上我们把2014年归入制度实施前的样本组。
[2]冯福根.股票流动性会促进我国企业技术创新吗?[J].金融研究,2017(03):192-205.
[3]Amihud Y,Mendelson H.Asset pricing and the bid-ask spread[J].Journal of financial Economics,1986,17(2):223-249.
[4]Elyasiani E,Hauser S,Lauterbach B.Market response to liquidity improvements:Evidence from exchange listings[J].Financial Review,2000,35(1):1-14.
[5]Kalay A,Wei L,Wohl A.Continuous trading or call auctions:Revealed preferences of investors at the Tel Aviv Stock Exchange[J].the Journal of Finance,2002,57(1):523-542.
[6]Kamara A.Liquidity,taxes,and short-term treasury yields[J].Journal of Financial and Quantitative Analysis,1994,29(03):403-417.
[7]Lepone A,Yang J Y.Informational role of market makers:The case of exchange traded CFDs[J].Journal of Empirical Finance,2013(2)3:84-92.
[8]Amihud Y,Mendelson H.Dealership market:Market-making with inventory[J].Journal of Financial Economics,1980,8(1):31-53.
[9]Snell A,Tonks I.Testing for asymmetric information and inventory control effects in market maker behaviour on the London Stock Exchange[J].Journal of Empirical Finance,1998,5(1):1-25.
[10]Glosten L R,Milgrom P R.Bid,ask and transaction prices in a specialist market with heterogeneously informed traders[J].Journal of financial economics,1985,14(1):71-100.
[11]Huh S W,Lin H,Mello A S.Options market makers hedging and informed trading:Theory and evidence[J].Journal of Financial Markets,2015(23):26-58.
[12]Kedia S,Zhou X.Local market makers,liquidity and market quality[J].Journal of Financial Markets,2011,14(4):540-567.
[13]Shen P,Starr R M.Market-makers'supply and pricing of financial market liquidity[J].Economics letters,2002,76(1):53-58.
[14]Guo B,Zhang W,Chen S H,et al.The optimal pricing of a market maker in a heterogeneous agent economy[J].Finance Research Letters,2015(14):178-187.
[15]Ho T S Y,Stoll H R.The dynamics of dealer markets under competition[J].The Journal of finance,1983,38(4):1053-1074.
[16]NYSE.New York Stock Exchange Market Quality[J].August,2004.
[17]Becker B C.Profitability Analysis of NYSE Trading Specialists[J].Precision Economics,LLC,2004.
[18]Glosten L R.Insider trading,liquidity,and the role of the monopolist specialist[J].Journal of Business,1989:211-235.
[19]Menkveld A J,Wang T.How do designated market makers create value for small-caps?[J].Journal of Financial Markets,2013,16(3):571-603.
[20]胡冬辉.新三板做市商制度对科技型企业经营效率的影响[J].科技进步与对策,2016(24):94-98.
[21]陈辉、顾乃康.新三板做市商制度、股票流动性与证券价值[J].金融研究,2017(04):176-190.
[22]姚秦.债券市场微观结构与做市商制度:理论与中国的实证[M].上海:复旦大学出版社,2007.
[23]张瀛.做市商,流动性与买卖价差:基于银行间债券市场的流动性分析[J].世界经济,2007,30(10):86-95.
[24]吴蕾.银行间债券市场做市商价格发现能力研究[J].证券市场导报,2017(03):44-55.
[25]O'hara M.Market microstructure theory[M].Cambridge,MA:Blackwell,1995.
[26]Schwartz R A.Equity markets:Structure,trading,and performance[M].Harpercollins College Div,1988.
[27]Amihud Y.Illiquidity and stock returns:cross-section and time-series effects[J].Journal of financial markets,2002,5(1):31-56.
[28]张峥,李怡宗,张玉龙,等.中国股市流动性间接指标的检验---基于买卖价差的实证分析[J].经济学(季刊),2014,1:011.
[29]Hasbrouck J.Trading costs and returns for US equities:Estimating effective costs from daily data[J].The Journal of Finance,2009,64(3):1445-1477.
[30]罗党论.做市商制度与新三板公司流动性[J].金融学季刊,2017(04):1-19.
(1)两年间做市交易方式企业数量占比并没有上升,所以流动性上升主要源于制度效果随时间增长的释放。
(2)由于做市商制度是在2014年第四季度实施的,因此在分组上我们把2014年归入制度实施前的样本组。