中国证券与期货市场微观结构研究
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摘要
改革开放以来,伴随着经济的飞速发展,我国的金融业取得了长足的进步。以股票市场、债券市场为代表的直接融资市场在国民经济中发挥着越来越重要的作用,期货市场在为生产企业进行套期保值、规避价格风险方面也起到了积极的作用。与此同时,在经济高度全球化的今天,金融市场的发展水平也是衡量一个国家综合竞争力的重要指标。发达和完善的金融市场可以为经济发展提供源源不断的资金支持。党和国家已经充分认识到发展金融市场的重要性,在刚刚结束的2012年党的十八大和2013年的“两会”上,都明确的传达出要大力发展中国金融市场的信号。要发展金融市场,首选就需要了解各种类型的金融市场,不仅仅要了解各个市场的基本功能和交易机制,还需要从微观的角度来研究各类市场,研究市场价格是如何形成的,研究交易费用、交易机制的改变对市场交易量、均衡价格等的影响。只有充分的了解了每个市场的微观运行机制,才能更好对金融市场实施监管,制定出适合我国金融市场发展的政策。
本文正是基于这一大的时代背景,对我国证券和期货市场的微观结构进行深入的研究,同时重点探讨金融市场交易费用的改变对金融市场微观结构的影响。本文的研究主要是基于证券市场交易数据的实证分析,主要运用了股票和期货市场的高频交易数据。高频交易数据的使用可以帮助我们深入到更加微观的领域去了解金融市场,丰富我们对我国金融市场的了解和认识。
从本文的结构体系来看,本文的研究主要遵循两条线索：第一条是对市场微观结构的特征研究,了解金融市场的微观运行特征是一切研究的起点和基础。目前关于我国金融市场微观结构的研究还比较少,且主要的研究大部分集中于股票市场,期货市场作为我国金融市场的重要组成部分,对其微观结构特征的研究可以更好的了解我国期货市场。因此在本文的第三章作者对我国股票市场微观结构研究成果进行了梳理,并以郑州期货市场为代表研究,对我国期货市场的微观结构的进行了系统的研究。文章发现了中国期货市场中特有的运行特征,揭示了期货市场一些关键变量之间的相互关系及其影响因素,并且第一次对商品期货市场的信息不对称程度进行了研究。本章的研究成果很好的弥补了当前期货市场微观结构研究中的某些缺失以及之前研究中存在的不足。
在充分的了解了金融市场的微观运行特征之后,本文研究了金融市场上某些交易制度的改变对市场微观结构的影响,这是本文所遵循的第二条线索。了解交易制度改变的影响对于金融市场的各方参与者、金融市场监管者都有重要的意义。由于市场交易制度所包含的内容是非常庞杂,本文选择了具有代表性同时也存在较大争议的交易费用进行了研究。分别以上海期货交易所的一次交易手续费调整的自然实验和股票交易市场的两次印花税税率调整为事件,运用了联立方程模型、双重差分模型等研究方法,研究了交易手续费、交易税的变化对期货和股票市场的影响,这就分别构成了本篇论文的第四章和第五章。
本文是第一篇研究我国期货市场交易费用的改变对期货市场微观结构影响的实证文献,同时本文的实证结果也首次发现了交易费用的上调会增加期货价格波动性,这是之前国内外关于期货市场交易费用影响的研究中所没有发现的。虽然之前有许多学者研究了印花税调整对股票市场的影响,但得出的结论确不尽相同,且均是以股票市场为研究对象。本文从微观个股的视角出发对这一问题进行了再检验,得出的结论为前人的研究成果提供了微观实证支持。同时,第四章和第五章的研究方法也可以应用到其它交易规则改变对市场微观结构的研究中去。
本文的研究结论主要有如下几点：
第一,期货市场交易量的日内变化存在“U”型和“L”型两种趋势,交易次数的日内变化曲线为“U”型,买卖价差,价格波动率和绝对收益率在日内都呈现出“L”型的变化特征。不同变化趋势的原因主要是信息的传递和交易者交易策略的选择。
第二,期货市场的交易量、买卖价差和价格波动率之间是内生影响的,之前一些微观结构研究把它们割裂开来,单独研究某一变量的变化情况是不科学的。同时作者还发现了期货合约买卖价差随距离到期日的临近呈现出先减小后增大的“U”型变化规律。最后对期货合约信息不对称的研究发现,我国期货市场的信息不对称程度低于股票市场,且交易越活跃的品种,其信息不对称程度越低。
第三,在对期货交易手续费调整对期货市场微观影响的研究中发现,下调期货交易手续费可以抑制期货合约的价格波动率,在一定程度上会改善期货市场的流动性水平。交易手续费上调的影响大于交易手续费下调的影响。
第四,印花税税率的下调可以改善股票的流动性水平,同时降低了股票价格的波动性；印花税税率上调起到相反的作用。印花税税率调整的影响具有持续性,且印花税税率上调对股票交易的影响大于税率下调的影响。
第五,综合交易费用调整对股票市场和期货市场微观结构影响的实证影响,作者得出了证券市场监管者应该通过进一步降低股票和期货市场交易费用来促进证券市场发展的政策建议。
Since the reform and opening up, China's financial industry has made considerable progress along with the rapid development of China's economy. Direct financial markets, represented by the stock markets and the bond markets, are playing an increasingly significant role in the national economy, and futures markets offer positive contributions for enterprises to evade price risks. Meanwhile, The development of financial markets act as an important indicator to measure a nation's comprehensive competitiveness in today's highly globalized economy. Developed and perfect financial markets can provide financial support for economic development. The party and state has fully realized the importance of development of financial markets. The signal of vigorous developing China's financial markets has been clearly send out in the last the eighteenth Party congress, and the two sessions. To develop financial markets, what we can't ignore is to understand, various types of financial markets, including not only the basic function of market and trading mechanism, but also the formation of the markets, the influence of the change of the transaction cost and trading mechanism from the microstructure view. A well comprehending of the microstructure of each market is beneficial to monitor financial markets, and to develop appreciating financial policy.
This article concentrates on researching the microstructure of the securities and futures markets in our country, at the same time, discussing the influence on financial market microstructure caused by the change of transaction fees. Research of this paper is mainly based on the empirical analysis of the securities market trading data, which is mainly high-frequency trading data of the stock and futures markets. The use of high frequency trading data can help us to understand financial markets from micro fields, and enrich our understanding of the financial market in China.
There are two main clues in this article:first, the research on the characteristics of the market microstructure, which is the foundation of financial research to understand the financial markets. Up to now, there are short of researches on microstructure of financial market in China, and the researches are mainly concentrated on the stock markets, while futures markets are important part of financial markets in China, my study can help us to better understand China's futures markets. So in the third chapter of this article, I introduce the research reviews of the microstructure of China stock markets, then taking ZhengZhou future market as representative, I study the microstructure of China futures markets. This paper finds the specific characteristics of China futures markets, and reveals the relationship among some key variables in futures markets, meanwhile the information asymmetry o futures markets are studied for the first time. The results of this chapter make up for some lacks in current study of futures markets and the shortcomings in the previous study.
After the fully understanding of the microstructure of the financial markets, I begin to study the influence of trading system changes on the microstructure of financial markets, which is the second clue of this paper and is important for each participant in the financial markets. For trading system contains a mass of complex content, this paper only concentrates on transaction costs, which is representative and controversial. Respectively in a transaction fee adjustment of Shanghai future exchange and two transaction tax rate adjustment of the stock markets for the event, this ariticle research the impact of transaction costs adjustment on the future markets and the stock markets, using simultaneous equations model and difference in difference model.
This paper is the first the empirical literature to research the impact of transaction costs adjustment on futures markets microstructure. At the same time, its empirical results of this paper is the first time to find that the raise of transaction costs will increase the volatility of futures markets. Although many scholars have researched the effects of stock transaction tax adjustment on the stock markets, this paper recheck this problem from a more micro angle, and provides stronger micro foundation to previous researches. Simultaneously, the research method applied in the fourth chapter and the fifth chapter can be applied to the study of the impact of other trading rules' change on the market microstructure.
The conclusions of this study are the following:
First, the daily change of the future market trading volume exists "U" or "L" trend, the daily changing curves of the transaction number is "U" trend, and the trend of bid-ask spread, price volatility and absolute yields is "L".
Second, there are endogenous among transaction volume, bid-ask spread and price volatility, which is unscientific to research them separately. This article also finds that the bid-ask spread in future contract varies with trading time. At last, the asymmetric information research figures out that the asymmetric in futures markets is less than stock markets, meanwhile the more trading volumes, the less asymmetric in futures markets.
Third, when I research the impact of the future trading fee's adjustment on the future market, I figure out that the decrease of fees can restrain the volatility of the price of future contracts, but has little effect on the trading volume and bid-ask spread of future contracts. Up the transaction fee has more influence than down the fee.
Fourth, lower transaction tax rate can improve the level of liquidity of stock, and reduces the price volatility. The influence on stock market will last for at least90days, and up the tax has more influence than down the tax.
Fifth, considering the empirical influence of trading costs adjustment on stock markets and on futures markets, This article offers a policy suggestion that regulators of the securities market should further reduce transaction fees in the stocks markets and futures markets to promote the development of securities markets.
本文正是基于这一大的时代背景,对我国证券和期货市场的微观结构进行深入的研究,同时重点探讨金融市场交易费用的改变对金融市场微观结构的影响。本文的研究主要是基于证券市场交易数据的实证分析,主要运用了股票和期货市场的高频交易数据。高频交易数据的使用可以帮助我们深入到更加微观的领域去了解金融市场,丰富我们对我国金融市场的了解和认识。
从本文的结构体系来看,本文的研究主要遵循两条线索：第一条是对市场微观结构的特征研究,了解金融市场的微观运行特征是一切研究的起点和基础。目前关于我国金融市场微观结构的研究还比较少,且主要的研究大部分集中于股票市场,期货市场作为我国金融市场的重要组成部分,对其微观结构特征的研究可以更好的了解我国期货市场。因此在本文的第三章作者对我国股票市场微观结构研究成果进行了梳理,并以郑州期货市场为代表研究,对我国期货市场的微观结构的进行了系统的研究。文章发现了中国期货市场中特有的运行特征,揭示了期货市场一些关键变量之间的相互关系及其影响因素,并且第一次对商品期货市场的信息不对称程度进行了研究。本章的研究成果很好的弥补了当前期货市场微观结构研究中的某些缺失以及之前研究中存在的不足。
在充分的了解了金融市场的微观运行特征之后,本文研究了金融市场上某些交易制度的改变对市场微观结构的影响,这是本文所遵循的第二条线索。了解交易制度改变的影响对于金融市场的各方参与者、金融市场监管者都有重要的意义。由于市场交易制度所包含的内容是非常庞杂,本文选择了具有代表性同时也存在较大争议的交易费用进行了研究。分别以上海期货交易所的一次交易手续费调整的自然实验和股票交易市场的两次印花税税率调整为事件,运用了联立方程模型、双重差分模型等研究方法,研究了交易手续费、交易税的变化对期货和股票市场的影响,这就分别构成了本篇论文的第四章和第五章。
本文是第一篇研究我国期货市场交易费用的改变对期货市场微观结构影响的实证文献,同时本文的实证结果也首次发现了交易费用的上调会增加期货价格波动性,这是之前国内外关于期货市场交易费用影响的研究中所没有发现的。虽然之前有许多学者研究了印花税调整对股票市场的影响,但得出的结论确不尽相同,且均是以股票市场为研究对象。本文从微观个股的视角出发对这一问题进行了再检验,得出的结论为前人的研究成果提供了微观实证支持。同时,第四章和第五章的研究方法也可以应用到其它交易规则改变对市场微观结构的研究中去。
本文的研究结论主要有如下几点：
第一,期货市场交易量的日内变化存在“U”型和“L”型两种趋势,交易次数的日内变化曲线为“U”型,买卖价差,价格波动率和绝对收益率在日内都呈现出“L”型的变化特征。不同变化趋势的原因主要是信息的传递和交易者交易策略的选择。
第二,期货市场的交易量、买卖价差和价格波动率之间是内生影响的,之前一些微观结构研究把它们割裂开来,单独研究某一变量的变化情况是不科学的。同时作者还发现了期货合约买卖价差随距离到期日的临近呈现出先减小后增大的“U”型变化规律。最后对期货合约信息不对称的研究发现,我国期货市场的信息不对称程度低于股票市场,且交易越活跃的品种,其信息不对称程度越低。
第三,在对期货交易手续费调整对期货市场微观影响的研究中发现,下调期货交易手续费可以抑制期货合约的价格波动率,在一定程度上会改善期货市场的流动性水平。交易手续费上调的影响大于交易手续费下调的影响。
第四,印花税税率的下调可以改善股票的流动性水平,同时降低了股票价格的波动性；印花税税率上调起到相反的作用。印花税税率调整的影响具有持续性,且印花税税率上调对股票交易的影响大于税率下调的影响。
第五,综合交易费用调整对股票市场和期货市场微观结构影响的实证影响,作者得出了证券市场监管者应该通过进一步降低股票和期货市场交易费用来促进证券市场发展的政策建议。
Since the reform and opening up, China's financial industry has made considerable progress along with the rapid development of China's economy. Direct financial markets, represented by the stock markets and the bond markets, are playing an increasingly significant role in the national economy, and futures markets offer positive contributions for enterprises to evade price risks. Meanwhile, The development of financial markets act as an important indicator to measure a nation's comprehensive competitiveness in today's highly globalized economy. Developed and perfect financial markets can provide financial support for economic development. The party and state has fully realized the importance of development of financial markets. The signal of vigorous developing China's financial markets has been clearly send out in the last the eighteenth Party congress, and the two sessions. To develop financial markets, what we can't ignore is to understand, various types of financial markets, including not only the basic function of market and trading mechanism, but also the formation of the markets, the influence of the change of the transaction cost and trading mechanism from the microstructure view. A well comprehending of the microstructure of each market is beneficial to monitor financial markets, and to develop appreciating financial policy.
This article concentrates on researching the microstructure of the securities and futures markets in our country, at the same time, discussing the influence on financial market microstructure caused by the change of transaction fees. Research of this paper is mainly based on the empirical analysis of the securities market trading data, which is mainly high-frequency trading data of the stock and futures markets. The use of high frequency trading data can help us to understand financial markets from micro fields, and enrich our understanding of the financial market in China.
There are two main clues in this article:first, the research on the characteristics of the market microstructure, which is the foundation of financial research to understand the financial markets. Up to now, there are short of researches on microstructure of financial market in China, and the researches are mainly concentrated on the stock markets, while futures markets are important part of financial markets in China, my study can help us to better understand China's futures markets. So in the third chapter of this article, I introduce the research reviews of the microstructure of China stock markets, then taking ZhengZhou future market as representative, I study the microstructure of China futures markets. This paper finds the specific characteristics of China futures markets, and reveals the relationship among some key variables in futures markets, meanwhile the information asymmetry o futures markets are studied for the first time. The results of this chapter make up for some lacks in current study of futures markets and the shortcomings in the previous study.
After the fully understanding of the microstructure of the financial markets, I begin to study the influence of trading system changes on the microstructure of financial markets, which is the second clue of this paper and is important for each participant in the financial markets. For trading system contains a mass of complex content, this paper only concentrates on transaction costs, which is representative and controversial. Respectively in a transaction fee adjustment of Shanghai future exchange and two transaction tax rate adjustment of the stock markets for the event, this ariticle research the impact of transaction costs adjustment on the future markets and the stock markets, using simultaneous equations model and difference in difference model.
This paper is the first the empirical literature to research the impact of transaction costs adjustment on futures markets microstructure. At the same time, its empirical results of this paper is the first time to find that the raise of transaction costs will increase the volatility of futures markets. Although many scholars have researched the effects of stock transaction tax adjustment on the stock markets, this paper recheck this problem from a more micro angle, and provides stronger micro foundation to previous researches. Simultaneously, the research method applied in the fourth chapter and the fifth chapter can be applied to the study of the impact of other trading rules' change on the market microstructure.
The conclusions of this study are the following:
First, the daily change of the future market trading volume exists "U" or "L" trend, the daily changing curves of the transaction number is "U" trend, and the trend of bid-ask spread, price volatility and absolute yields is "L".
Second, there are endogenous among transaction volume, bid-ask spread and price volatility, which is unscientific to research them separately. This article also finds that the bid-ask spread in future contract varies with trading time. At last, the asymmetric information research figures out that the asymmetric in futures markets is less than stock markets, meanwhile the more trading volumes, the less asymmetric in futures markets.
Third, when I research the impact of the future trading fee's adjustment on the future market, I figure out that the decrease of fees can restrain the volatility of the price of future contracts, but has little effect on the trading volume and bid-ask spread of future contracts. Up the transaction fee has more influence than down the fee.
Fourth, lower transaction tax rate can improve the level of liquidity of stock, and reduces the price volatility. The influence on stock market will last for at least90days, and up the tax has more influence than down the tax.
Fifth, considering the empirical influence of trading costs adjustment on stock markets and on futures markets, This article offers a policy suggestion that regulators of the securities market should further reduce transaction fees in the stocks markets and futures markets to promote the development of securities markets.
引文
① 根据反映信息的程度不同,有效市场假说又区分为强有效市场假说、弱有效性市场假说、半强式有效市场假说。(Fama, Random Walks in Stock Market Prices, Financial Analysis Journal,1965,21(5), 55-59)
① 国外有研究发现在流动性水平不高的金融市场上降低交易税水平,会导致市场的过度波动,损害金融市场有效性。(Robert Pollin, Dean Baker, Marc Schaberg, Tsecurities Transaction Taxs for U.S. Financial Market, Eastern Economy Journal,2003,29(4),527-558)
① 具体的证明过程见Easley, D., N. M. Kiefer, and M. O'Hara, and J. B. Paperman, Liquidity, Information, and Infrequently Traded Stocks, Journal of Finance,1996,51,1405-1436.
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① 国外有研究发现在流动性水平不高的金融市场上降低交易税水平,会导致市场的过度波动,损害金融市场有效性。(Robert Pollin, Dean Baker, Marc Schaberg, Tsecurities Transaction Taxs for U.S. Financial Market, Eastern Economy Journal,2003,29(4),527-558)
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