市场微观结构及其对市场流动性的影响分析

信息技术的飞速发展给证券市场带来的交易系统计算机化的革命引起了证券交易的一系列变革,使得以证券交易结构为核心的市场微观结构的选择已经成为证券价格发现过程及资本市场健康发展的重要因素。本文重点介绍了市场微观结构的一些要素,并着重分析了市场微观结构对市场流动性的影响。     

市场微观结构对市场流动性的影响分析

交易系统计算机化引起了证券交易的一系列变革,使得以证券交易结构为核心的市场微观结构成为影响资本市场健康发展的重要因素.本文介绍了市场微观结构的一些要素,着重分析市场微观结构对市场流动性的影响.     

金融市场微观结构理论综述

研究证券市场的微观结构源于20世纪60年代末，即1968年德姆塞茨发表了《交易成本》一文，揭开了这一理论的序幕。它主要研究证券市场价格决定的微观机制及其相关问题。在传统的瓦尔拉斯均衡中，研究证券市场价格的决定是把市场作为一个整体来研究，充其量引入一个拍卖人，而没有考虑市场参与者作为微观个体在价格形成中的作用，因此，市场交易机制就像一个黑箱，具体里面的参与者如何从个体优化的角度进行互动博弈来影响价格的形成没有考察。而市场微观结构理论研究定价则是通过分析市场参与者之间如何利用信息进行互动博弈形成价格。事实上，传统理论隐含了证券市场是一个完全竞争的市场，而现实的市场由于存在交易费用（如存货成本）、不对称信息，是不完全竞争的。因此进行市场微观结构分析能更好地刻画市场的本质。     

市场微观结构理论模型发展动态

市场微观结构理论是现代金融学的一个分支,这一领域主要研究影响市场上交易价格与交易者交易策略的各种经济因素,研究内容集中在以下五个方面:交易动机、交易机制、价格、市场流动性以及相应的计量方面的研究。Demsetz(1968)一文标志着市场微观结构理论的问世。Garman(1976)首先将     

银行间市场交易机制改革如何影响同业融资结构

同业融资结构影响着商业银行的融资成本和流动性转换，是商业银行稳定经营的重要因素。2015年，全国银行间同业拆借中心在质押式回购市场上平行推出了匿名订单指令簿交易机制，改变了银行间市场长期使用的单一询价交易机制。那么，交易机制改革对商业银行同业融资结构将产生什么影响呢？包含担保和无担保资金市场、搜索摩擦的理论模型及双重差分实证检验表明，银行间市场交易机制改革能够降低担保融资成本，提升同业融资中的担保融资占比。进一步分析发现，初始同业融资占比高、初始资产增速快、初始影子银行业务规模大的银行，以及准备金充足率不高、非上市、中小规模的银行同业融资结构受交易机制改革的影响更显著；银行间市场交易机制改革能够促进商业银行的流动性创造。因此，应继续扩大匿名点击交易机制的覆盖范围，积极关注交易机制变化的外溢效应，进一步完善同业融资市场交易机制改革。     

我国票据市场交易机制浅析

交易机制作为市场机制运作的核心,对增进市场交易效率有着突出的作用。我国票据市场现有交易机制从市场质量角度分析存在着较为严重的缺陷,为促进票据市场健康有序发展,有必要借鉴金融市场微观结构理论对我国票据市场交易机制进行变革和改进。文章从理论和实践两个角度,论证了报价驱动交易机制在我国票据市场运用的适用性和可行性,建议以此为基础构建我国票据市场更为有效的交易机制。     

交易机制市场绩效评价与发展二板市场的机制选择

本文首先探讨了证券市场的交易机制和其市场绩效的评价，并在此基础上对指令驱动机制和报价驱动机制进行比较分析，最后针对我国证券市场的现状，提出建立我国二板市场应引入报价驱动机制的对策建议。     

市场微观结构视角的公司财务研究

本文试图通过总结金融市场微观结构理论最新的研究成果,介绍与评价金融市场微观结构理论在公司财务研究的新进展。目前,国外学者运用金融市场微观结构理论中的私有信息或流动性偏好来解释公司财务理论中的一些基本问题。本文将首先从资产定价、公司治理、资本结构这三个公司财务中的基本问题着手,而后逐步扩展到IPO、股票分割、跨市交易、信息反应等公司财务问题,从金融市场微观结构理论的视角,分析这些财务问题的形成机制和影响因素以及由此引发的交易者行为特征。     

The voting mechanism and market allocation: A note

An example is provided identifying a new case of inefficiency arising from the interplay between the political and market mechanisms.     

The market distortion effects of mortgage tightening and transaction taxes: Evidence from Hong Kong residential resale market

By using transaction-level data, we study if two popular policies intended to cool an overheated housing market would serve their intended purposes. We found both mortgage tightening and Special Stamp Duties (SSD) actually led to higher starter home prices in Hong Kong. Mortgage tightening shifted the demand for bigger homes to that for smaller ones. The SSD that applies to resales within a specified period of the original purchase lowered turnover across the housing market. The decline in turnover is, as expected, sharpest for small flats, implying a dramatic shrinkage in second-hand supply of such homes, driving their prices up. We also found transactions bunching as many homes are held till the SSD is no longer applicable, indicating lock-in effects. Relative to those that are not subject to the SSD, the prices of properties subject to the levy are found to be lower by 6.8%.     

The impact of the French financial transaction tax on HFT activities and market quality

Based on the first results, the French government estimates that the tax on cancelled orders, considered as tax on High Frequency Trading (HFT), generated no revenue in 2012. Our paper question the effectiveness of a modified cancelled order tax with no exemptions, all orders cancelled or modified within half-second time span are taxed. Our study has important implications for the regulation of HFT; we provide recommendations for regulators in relation to market rules which have yet to be introduced, using an artificial market framework. This paper addresses the question of whether this tax leads to a reduction in HFT activities and, as a result, to deterioration or amelioration of market quality. The evidence we provide should help market regulators to better understand the role played by HFT firms as liquidity suppliers. We show that HFT liquidity is short-lived. With the implementation of tax, decreased HFT activities do not have a statistically significant impact on market volatility and market liquidity measured by bid/ask spreads, but decrease dollar volumes as a liquidity measure. In addition, reduced HFT activities lead to less efficient markets as the deviation from fundamentals increases.     

The theory of contests: A unified model and review of the literature

This paper is a brief review of the literature on contests, with focus on rent-seeking. A fairly general contest model is presented. We show that the Tullock contest model and the first-prize sealed-bid auction model are obtained as special cases. Some important modifications of the basic model are reviewed: hierarchical rent-seeking, rent-seeking under risk aversion, insecure rents, sabotage in rent-seeking contests, contest design, commitment and endogenous order of moves, and dynamic rent-seeking.     

Caste discrimination and transaction costs in the labor market: Evidence from rural North India

This paper is an empirical attempt to quantify caste-based discrimination in the labor market using household data taken from rural North India. In the regression analysis, transaction costs associated with entry into the labor market and reservation wages are estimated simultaneously along with market wages. The estimation results provide evidence of the existence of transaction costs in the labor market and discrimination against backward classes with regard to access to regular employment. In line with previous studies, the results suggest that the achievements of India's reservation policy so far have at best been limited. In addition, a comparison between the estimates from the model employed in this paper and conventional (reduced-form) approaches shows that discrimination in labor market entry is likely to be underestimated in the conventional reduced-form approaches.     

A bubble identification mechanism: Evidence from the Chinese stock market

This paper provides a bubble date-stamping mechanism using the agent-based computational finance method. The key steps of the bubble date-stamping mechanism are the construction of the simulated financial market, the computation of the characteristic indexes, and the thresholds of the Price Band in the simulated financial market. The present study adopts the mechanism to identify the bubbles of sample stocks in the Chinese stock market from April 2003 to December 2019. The findings show that the bubbles are primarily distributed in 2006–2008, 2009–2012 and 2014–2018, respectively. Furthermore, we analyse the bubble strength and the price fluctuation during the above three periods. In addition to the bubble date-stamping mechanism, the paper also studies the factors that drive the bubbles in the Chinese stock market from both macro and micro perspectives.     

Bargaining in the transfer market: theory and evidence

This paper examines the transfer market for association football players as operated in the English Football League using transfer data for the 1990–91 season. After describing the purposes and procedures involved in the transfer system together with the motives of the participants, we apply two-person bargaining theory to analyse the determination of transfer fees. The data and estimation procedures are explained and the results reported and interpreted. Our analysis suggests that the Nash bargaining theory captures the salient features of the bargaining process in the footballer's transfer market.