我国场外交易市场制度建设再思考

场外交易市场是多层次资本市场中的重要组成部分。目前我国亟需借鉴资本市场发达国家的经验,加快建设场外交易市场,进一步完善资本市场体系。但目前我国场外交易市场相应的制度建设滞后。本文在分析我国场外交易市场制度建设现状的基础上,提出了完善我国OTC制度的新见解,并就武汉场外市场建设提出了制度建设的政策建议。     

我国场外交易市场运作模式研究

加快建立场外交易市场是构建我国多层次资本市场体系的重要环节,是我国资本市场实现可持续发展的必由之路。本文从分析我国场外交易市场的功能定位出发,分析了目前我国场外交易市场的设立条件,并在此基础上对场外交易市场的运作模式进行了探讨分析。     

我国场外交易市场运作模式研究

加快建立场外交易市场是构建我国多层次资本市场体系的重要环节,是实现我国资本市场可持续发展的必由之路。本文从分析我国场外交易市场的功能定位出发,分析了目前我国场外交易市场的设立条件,并在此基础上对场外交易市场的运作模式进行了探讨分析。     

我国证券场外交易市场风险控制的对策分析

在当前市场经济条件下,资源和资金的配置主要途径是通过资本市场进行的,资本市场的发展对整个社会经济的发展也能起到强有力的推动作用。在建设我国证券场外交易市场时,风险控制是个关键。本文提出了提高我国证券场外交易市场风险控制的对策和建议,比如要建立全国统一的场外交易市场监管体系等。以期能够为解决在我国证券场外交易市场发展过程中遇到的风险控制的问题提供一定的理论参考。     

创新发展股权交易市场全面服务实体经济

本文基于我国资本市场及其基础层次——场外交易市场的发展现状,从中小企业发展、产业结构调整升级、民间投资渠道拓展、主板和创业板市场功能发挥等方面论述了加快建设资本市场基础层次的重要性,指出加快场外交易市场建设的关键是要回归金融本源,并提出创新发展区域性股权交易市场的四个着眼点.在此基础上,本文结合广州股权交易中心建设的实践和成效,分析了广州股权交易中心服务实体经济的机制创新,为我国探索股权交易市场发展路径、构建和完善全面服务实体经济的多层次资本市场提供了参考和借鉴.     

浅析我国场外交易市场发展存在的问题

对于任何国家而言,资本市场的发展情况都是衡量其经济发展水平的重要指标,其能够直接作用于本国经济的发展。从20世纪90年代初我国逐渐加大了对于资本市场的关注程度,资本市场体系得以逐步确立。在各方力量的共同作用下,场外交易市场已经开始有条不紊地建设。在我国场外交易市场建设实际中选择性的融入境外场外交易市场建设的成熟经验,是本文的研究目的。     

场外交易市场法律制度探析

随着资本市场的发展,建设多层次市场是未来我国资本市场发展的主导方向,而场外交易市场是必不可少的一个重要组成部分。但由于我国场外交易市场法律制度的缺失,导致场外市场出现了大量不公平交易、非法集资、违规操作证券回购等问题。本文将从加强市场准入制度、建立以做市商制度为核心的交易制度、完善信息披露制度和监管制度等方面探讨构建我国的场外交易法律制度,以保障我国场外交易市场规范、稳健发展。     

海峡两岸场外交易市场比较

本文对海峡两岸场外交易市场的总体发展状况、场外交易市场解决中小企业融资难的效果、中小企业设立股份有限公司和公开发行股票的准入规则、场外交易市场引导民间资本合法流动、不同层次场外交易市场的联动机制、场外交易市场与创业投资体系的互补效应、场外交易市场的制度建设和监管措施等七个方面进行比较研究,在借鉴台湾经验的基础上提出大陆场外交易市场发展与改革的若干政策建议。     

美国证券场外交易市场发展、监管及其启示

本文对美国证券场外交易市场的运作情况及最新发展动态进行梳理。研究发现,OTC已经取代OTCBB成为美国最大的场外证券市场;OTC已形成多层次市场结构,但与挂牌报价公司之间不存在监管与被监管关系;OTC市场集团不接受SEE或FINRA的监管。但其做市商要接受FINRA．SEC等证券监管机构的监管。为改变我国场外交易市场规模较小的局面,建议借鉴美国场外交易市场,建立全国统一的多层次场外交易市场,引入做市商制度,建立不同市场层次之间的转板机制．加快推动场外市场发展。     

美国场外交易市场发展模式对我国的启示

随着我国中小型股份公司的数量迅速增加,投资者和企业的投融资需求日益高涨,客观上对股票交易市场建设提出了迫切的要求,因此建立适于成长型和科技类中小企业的股票交易市场成为建立多层次股票市场体系的主要目标。本文介绍了美国场外交易市场的概况,分析了对我国发展场外交易市场的借鉴意义。     

The Credit Risk and Pricing of OTC Options

In the over-the-counter (OTC) markets, the options traded are always subject to credit risk. Therefore the counterparty’s credit risk is a striking factor when pricing options, whereas it is not considered in the classic Black-Scholes models. Based on the first passage time models, this paper develops the credit risk and valuation model for the European options in the OTC markets, incorporating a practical default trigger mechanism. The default probability and the pricing formulae of the OTC options are obtained by using partial differential equation (PDE) techniques, especially Green’s function.     

Click or Call? Auction versus Search in the Over‐the‐Counter Market

Over‐the‐counter (OTC) markets dominate trading in many asset classes. Will electronic trading displace traditional OTC “voice” trading? Can electronic and voice systems coexist? What types of securities and trades are best suited for electronic trading? We study these questions by focusing on an innovation in electronic trading technology that enables investors to simultaneously search many bond dealers. We show that periodic one‐sided electronic auctions are a viable and important source of liquidity even in inactively traded instruments. These mechanisms are a natural compromise between bilateral search in OTC markets and continuous double auctions in electronic limit order books.     

南非外汇期货市场发展及其借鉴意义

作为金砖五国成员之一,近年来南非外汇市场发展令人瞩目。其场外市场交易量占比相对较高,包括外汇期货在内的场内市场产品创新活跃,贴近市场需求。文章分别考察南非场内外外汇市场的运行机制,及其外汇市场整体监管架构与分工协作机制,并从促进场内外市场协调发展、结合市场需求推进产品创新等方面,总结了其对于完善一国外汇市场发展的相关启示。     

The predictive power of the implied volatility of options traded OTC and on exchanges

This paper investigates the efficiency of stock index options traded over-the-counter (OTC) and on the exchanges in Hong Kong and Japan. Our findings suggest that implied volatility is superior to either historical volatility or a GARCH-type volatility forecast in predicting future volatility in both the OTC and exchange markets. This paper is also one of the first to compare the predictive power of the implied volatility of stock index options traded OTC to that of exchange-traded stock index options. Our evidence suggests that the OTC market is more efficient than the exchanges in Japan, but that the opposite is true in Hong Kong.     

债券市场做市业务与电子交易平台结合的国际经验

做市商制度是解决场外市场流动性的重要制度性安排,而电子交易平台对场外市场交易效率的提升作用很大。文章考察了美国、欧洲和日本债券场外市场做市业务与电子交易平台结合的经验,并对我国银行间债券市场发展提出建议。     

What determines market development?: Lessons from Latin American derivatives markets with an emphasis on Chile

There is considerable heterogeneity in the development of derivatives markets in different countries. The question is: why? This paper addresses this question in the context of major derivatives markets in Latin America. The largest derivatives exchanges in Latin America are located in Argentina, Brazil, and Mexico. In addition, over-the-counter (OTC) markets exist in Chile and Peru. Excluding Peru, Chile's derivatives market is to date the least developed. We show that this is due to regulatory constrains and illiquidity. Domestic transactions are OTC, and consist mostly of exchange rate forwards. Recent changes in the Central Bank of Chile's exchange rate policy have not had a considerable impact on the aggregate trading volume of forwards. However, amendments made to the Law of Capital Markets in 2001 bring the possibility of having a more developed derivatives market in the future.     

Optimal clearing arrangements for financial trades

Clearinghouses support financial trades by keeping records of transactions and by providing liquidity through short-term credit that participants clear periodically. We study efficient clearing arrangements for exchanges, where traders must clear with a clearinghouse, and for over-the-counter (OTC) markets, where traders can clear bilaterally. When clearing is costly, it can be efficient to subsidize OTC clearing by charging a higher clearing price for transactions conducted on exchanges. The clearinghouse then operates across both markets. Since clearinghouses offer credit, intertemporal incentives are needed to ensure settlement. When liquidity costs increase, concerns about default lead to a tightening of liquidity provision.     

中央对手方清算国际监管的改革与发展

针对场外衍生品市场在本次国际金融危机中所暴露出的风险和问题,国际社会进行了广泛而深入的探讨,对尽快在场外衍生品市场引入CCP清算机制达成共识。文章以美国、欧盟和国际组织为主要考察对象,回顾了国际上实施CCP清算和对CCP监管改革的进展情况,从对CCP风险管理、财务资源监管、信息披露监管和利益冲突监管等方面对CCP具体监管要求进行了阐释和比较,以全面反映CCP清算国际监管改革的发展历程与政策要点。     

关于商品市场场外掉期产品集中清算机制的研究

今年以来铁矿石价格明显上涨,其季度指数化定价已成趋势,而国际上铁矿石衍生品交易热度也在不断升温,其交易的金融化特征逐渐显现。文章以铁矿石场外掉期交易为例,介绍了近年来商品市场上场外掉期产品集中清算机制的构成,并研究了它的发展特征。     

Information provision in over-the-counter markets

This paper analyzes endogenous information provision and purchase in over-the-counter (OTC) markets. On the supply side the optimal strategy of an information provider consists of selling identical information to all OTC traders. On the demand side OTC traders have an incentive to buy information from the same provider. If the incumbent information provider charges not too high a price, then an entrant firm has no demand even though it offers less expensive information of the same quality. This paper provides a rationale for the high level of market power in the industry for financial market data and credit rating services as well as why institutional traders may have no demand for a finer rating system. In addition, this paper shows that it is welfare improving for the security issuer to pay for rating services rather than having OTC traders purchase costly rating reports.