市场分割、流动性供求匹配与新三板做市效果之谜
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摘要
本文以2014年7月1日至2017年12月31日的新三板挂牌公司为样本,从市场分割和流动性供求匹配的视角出发,研究了新三板做市效果之谜。研究发现:采用做市转让方式的股票的及时性更强、宽度更大,但深度却更小;市场分割是影响新三板做市效果的重要因素,流动性供求匹配度越高,做市商的做市效果越好;公司规模不是影响这些关系的关键替代性解释;使用倍差法模型(DID)和倾向性得分匹配模型(PSM)进行稳健性检验不改变研究结论。
On the basis of the data of listed companies in the NEEQ market from Jul. 1~(st) 2014 to Dec. 31~(st) 2017, the paper explores "the puzzle of the effect of market making in the NEEQ market" from the perspectives of the market segmentation and the match degree of demand and supply of stock liquidity. The paper finds that the immediacy and the breadth are better, while the depth is worse in the stocks that using market making transferring mechanism; market segmentation is an important factor that affect the effect of market making transferring mechanism, the higher the match degree of demand and supply of stock liquidity, the better the effect of market making transferring mechanism; firm size is not an alternative explanation; these results do not change when we use different methods such as DID and PSM.
On the basis of the data of listed companies in the NEEQ market from Jul. 1~(st) 2014 to Dec. 31~(st) 2017, the paper explores "the puzzle of the effect of market making in the NEEQ market" from the perspectives of the market segmentation and the match degree of demand and supply of stock liquidity. The paper finds that the immediacy and the breadth are better, while the depth is worse in the stocks that using market making transferring mechanism; market segmentation is an important factor that affect the effect of market making transferring mechanism, the higher the match degree of demand and supply of stock liquidity, the better the effect of market making transferring mechanism; firm size is not an alternative explanation; these results do not change when we use different methods such as DID and PSM.
引文
[1]陈辉,2017a,《做市服务的供求分析新框架及其对股票流动性的影响》,《财贸经济》第1期,84-98。
[2]陈辉,2017b,《金融中介与市场质量:分析师VS做市商》,《山西财经大学学报》第8期,41-55。
[3]陈辉和顾乃康,2017a,《新三板做市商制度、股票流动性与证券价值》,《金融研究》第4期,176-190。
[4]陈辉和顾乃康,2017b,《股票转让方式与极端收益风险——兼论新三板市场引入做市转让制度的经济后果》,《财经研究》第5期,117-129。
[5]房昭强和应惟伟,2017,《新三板企业信息披露影响风险资本进入的实证研究》,《投资研究》第12期,52-64。
[6]付强,2017,《市场分割促进区域经济增长的实现机制与经验辨识》,《经济研究》第3期,47-60。
[7]何川、汪洋、陆园,2017,《做市商制度引入对新三板流动性的影响——基于扩容后的样本数据》,《重庆交通大学学报(社会科学版)》第3期,56-61。
[8]何牧原和张昀,2017,《中国新三板市场的兴起、发展与前景展望》,《数量经济技术经济研究》第4期,74-91。
[9]胡冬辉和吴韧强,2017,《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》,《投资研究》第12期,153-159。
[10]刘逖,2002,《如何衡量流动性:理论与文献综述》,上海证券交易所工作论文。
[11]罗党论和王本浩,2017,《做市商制度与新三板公司流动性》,《金融学季刊》第4期,1-19。
[12]万孝园、杨朝军、吕大永,2018,《低频流动性指标低优劣评估——基于中国股票市场的实证分析》,《预测》第2期,50-55。
[13]张峥、李怡宗、张玉龙、刘翔,2013,《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》,《经济学季刊》第1期,233-262。
[14] Amihud Y., 2002,“Illiquidity and Stock Returns:Cross-Section and Time-Series Effects”, Journal of Financial Markets, 5(1), pp. 31-56.
[15] Amihud Y. and Mendelson H., 1986,“Asset Pricing and the Bid-Ask Spread”, Journal of Financial Economics, 17(2), pp.223-249.
[16] Amihud Y. and Mendelson H., 2008,“Liquidity, the Value of the Firm, and Corporate Finance”, Journal of Applied Corporate Finance, 20(2), pp. 32-45.
[17] Amihud Y., Mendelson H. and Lauterbach B., 1997,“Market Microstructure and Securities Values:Evidence from the Tel Aviv Stock Exchange”, Journal of Financial Economics, 45(3), pp. 365-390.
[18] Anand A. and Venkataraman K., 2016,"Market Conditions, Fragility, and the Economics of Market Making", Journal of Financial Economics, 121(2), pp. 327-349.
[19] Anand A., Tanggaard C. and Weaver D. G., 2009,“Paying for Market Quality”, Journal of Financial and Quantitative Analysis, 44(6), pp. 1427-1457.
[20] Bessembinder H., Hao J. and Zheng K., 2015,"Market Making Contracts, Firm Value, and the IPO Decision", The Journal of Finance, 70(5), pp. 1997-2028.
[21] Bessembinder H., Hao J. and Zheng K., 2017,"Liquidity Provision Contracts and Market Quality:Evidence from the New York Stock Exchange", SSRN Working Paper.
[22] Clark-Joseph A. D., Ye M. and Zi C., 2017,"Designated Market Makers Still Matter:Evidence from Two Natural Experiments", Journal of Financial Economics, 126(3), pp. 652-667.
[23] Culberton J. M., 1957,“The Term Structure of Interest Rates”, The Quarterly Journal of Economics, 71(4), pp. 485-517.
[24] Demsetz H., 1968,"The Cost of Transacting", The Quarterly Journal of Economics, 82(1), pp. 33-53.
[25] Eldor R., Hauser S., Pilo B. and Shurki I., 2006,“The Contribution of Market Makers to Liquidity and Efficiency of Options Trading in Electronic Markets", Journal of Banking&Finance, 30(7), pp. 2025-2040.
[26] Glosten L. R. and Milgrom P. R., 1985,"Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders", Journal of Financial Economics, 14(1), pp. 71-100.
[27] Grossman S. J. and Miller M. H., 1988,"Liquidity and Market Structure", The Journal of Finance, 43(3), pp. 617-633.
[28] Kidwell D. S. and Koch T. W., 1983,"Market Segmentation and the Term Structure of Municipal Yields", Journal of Money, Credit and Banking, 15(1), pp. 40-55.
[29] Kyle A. S., 1985,"Continuous Auctions and Insider Trading", Econometrica,53(6),pp. 1315-1335.
[30] Lesmond D. A., Ogden J. P. and Trzcinka C. A., 1999,"A New Estimate of Transaction Costs", Review of Financial Studies, 12(5), pp. 1113-1141.
[31] Mann S., Venkataraman K. and Waisburd A., 2002,"Stock Liquidity and the Value of a Designated Liquidity Provider:Evidence from Euronext Paris", SSRN Working Paper.
[32] Menkveld A. J. and Wang T., 2013,"How Do Designated Market Makers Create Value for Small-Caps?", Journal of Financial Markets, 16(3), pp. 571-603.
[33] Nimalendran M. and Petrella G., 2003,"Do ‘Thinly-Traded’ Stocks Benefit From Specialist Intervention?", Journal of Banking&Finance, 27(9), pp. 1823-1854.
[34] Stoll H. R., 2000,"Presidential Adress:Friction", The Journal of Finance, 55(4), pp. 1479-1514.
[35] Stoll H. R., 2003,"Market Microstructure"//Constantinides G. M., Harris M. and Stulz R. M.,"Handbook of the Economics of Finance", pp. 553-604.
[36] Tse Y. and Zabotina T., 2004,"Do Designated Market Makers Improve Liquidity in Open-Outcry Futures Markets?", Journal of Futures Markets, 24(5), pp. 479-502.
[37] Venkataraman K. and Waisburd A. C., 2007,"The Value of the Designated Market Maker", Journal of Financial and Quantitative Analysis, 42(03), pp. 735-758.
[2]陈辉,2017b,《金融中介与市场质量:分析师VS做市商》,《山西财经大学学报》第8期,41-55。
[3]陈辉和顾乃康,2017a,《新三板做市商制度、股票流动性与证券价值》,《金融研究》第4期,176-190。
[4]陈辉和顾乃康,2017b,《股票转让方式与极端收益风险——兼论新三板市场引入做市转让制度的经济后果》,《财经研究》第5期,117-129。
[5]房昭强和应惟伟,2017,《新三板企业信息披露影响风险资本进入的实证研究》,《投资研究》第12期,52-64。
[6]付强,2017,《市场分割促进区域经济增长的实现机制与经验辨识》,《经济研究》第3期,47-60。
[7]何川、汪洋、陆园,2017,《做市商制度引入对新三板流动性的影响——基于扩容后的样本数据》,《重庆交通大学学报(社会科学版)》第3期,56-61。
[8]何牧原和张昀,2017,《中国新三板市场的兴起、发展与前景展望》,《数量经济技术经济研究》第4期,74-91。
[9]胡冬辉和吴韧强,2017,《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》,《投资研究》第12期,153-159。
[10]刘逖,2002,《如何衡量流动性:理论与文献综述》,上海证券交易所工作论文。
[11]罗党论和王本浩,2017,《做市商制度与新三板公司流动性》,《金融学季刊》第4期,1-19。
[12]万孝园、杨朝军、吕大永,2018,《低频流动性指标低优劣评估——基于中国股票市场的实证分析》,《预测》第2期,50-55。
[13]张峥、李怡宗、张玉龙、刘翔,2013,《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》,《经济学季刊》第1期,233-262。
[14] Amihud Y., 2002,“Illiquidity and Stock Returns:Cross-Section and Time-Series Effects”, Journal of Financial Markets, 5(1), pp. 31-56.
[15] Amihud Y. and Mendelson H., 1986,“Asset Pricing and the Bid-Ask Spread”, Journal of Financial Economics, 17(2), pp.223-249.
[16] Amihud Y. and Mendelson H., 2008,“Liquidity, the Value of the Firm, and Corporate Finance”, Journal of Applied Corporate Finance, 20(2), pp. 32-45.
[17] Amihud Y., Mendelson H. and Lauterbach B., 1997,“Market Microstructure and Securities Values:Evidence from the Tel Aviv Stock Exchange”, Journal of Financial Economics, 45(3), pp. 365-390.
[18] Anand A. and Venkataraman K., 2016,"Market Conditions, Fragility, and the Economics of Market Making", Journal of Financial Economics, 121(2), pp. 327-349.
[19] Anand A., Tanggaard C. and Weaver D. G., 2009,“Paying for Market Quality”, Journal of Financial and Quantitative Analysis, 44(6), pp. 1427-1457.
[20] Bessembinder H., Hao J. and Zheng K., 2015,"Market Making Contracts, Firm Value, and the IPO Decision", The Journal of Finance, 70(5), pp. 1997-2028.
[21] Bessembinder H., Hao J. and Zheng K., 2017,"Liquidity Provision Contracts and Market Quality:Evidence from the New York Stock Exchange", SSRN Working Paper.
[22] Clark-Joseph A. D., Ye M. and Zi C., 2017,"Designated Market Makers Still Matter:Evidence from Two Natural Experiments", Journal of Financial Economics, 126(3), pp. 652-667.
[23] Culberton J. M., 1957,“The Term Structure of Interest Rates”, The Quarterly Journal of Economics, 71(4), pp. 485-517.
[24] Demsetz H., 1968,"The Cost of Transacting", The Quarterly Journal of Economics, 82(1), pp. 33-53.
[25] Eldor R., Hauser S., Pilo B. and Shurki I., 2006,“The Contribution of Market Makers to Liquidity and Efficiency of Options Trading in Electronic Markets", Journal of Banking&Finance, 30(7), pp. 2025-2040.
[26] Glosten L. R. and Milgrom P. R., 1985,"Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders", Journal of Financial Economics, 14(1), pp. 71-100.
[27] Grossman S. J. and Miller M. H., 1988,"Liquidity and Market Structure", The Journal of Finance, 43(3), pp. 617-633.
[28] Kidwell D. S. and Koch T. W., 1983,"Market Segmentation and the Term Structure of Municipal Yields", Journal of Money, Credit and Banking, 15(1), pp. 40-55.
[29] Kyle A. S., 1985,"Continuous Auctions and Insider Trading", Econometrica,53(6),pp. 1315-1335.
[30] Lesmond D. A., Ogden J. P. and Trzcinka C. A., 1999,"A New Estimate of Transaction Costs", Review of Financial Studies, 12(5), pp. 1113-1141.
[31] Mann S., Venkataraman K. and Waisburd A., 2002,"Stock Liquidity and the Value of a Designated Liquidity Provider:Evidence from Euronext Paris", SSRN Working Paper.
[32] Menkveld A. J. and Wang T., 2013,"How Do Designated Market Makers Create Value for Small-Caps?", Journal of Financial Markets, 16(3), pp. 571-603.
[33] Nimalendran M. and Petrella G., 2003,"Do ‘Thinly-Traded’ Stocks Benefit From Specialist Intervention?", Journal of Banking&Finance, 27(9), pp. 1823-1854.
[34] Stoll H. R., 2000,"Presidential Adress:Friction", The Journal of Finance, 55(4), pp. 1479-1514.
[35] Stoll H. R., 2003,"Market Microstructure"//Constantinides G. M., Harris M. and Stulz R. M.,"Handbook of the Economics of Finance", pp. 553-604.
[36] Tse Y. and Zabotina T., 2004,"Do Designated Market Makers Improve Liquidity in Open-Outcry Futures Markets?", Journal of Futures Markets, 24(5), pp. 479-502.
[37] Venkataraman K. and Waisburd A. C., 2007,"The Value of the Designated Market Maker", Journal of Financial and Quantitative Analysis, 42(03), pp. 735-758.