证券交易所竞争上市公司资源研究综述

本文把证券交易所上市资源竞争看成是证券交易所、企业和投资者三方间的博弈，并从证券交易所间竞争的途径与方法、企业的上市选择、投资者选择证券交易所以及证券交易所竞争产生的影响等方面归纳总结国内外学者的研究成果，希望能给国内学者进一步深入研究提供参考，同时给我国证券交易所应对上市资源竞争和企业上市选择提供借鉴。     

跨国并购新趋势下我国证券交易所公司化的法律思考

全球金融一体化的趋势与市场竞争压力的加剧,使得全球新一轮证券交易所跨国并购浪潮再次掀起。在推动我国资本市场发展进程中,证券交易所公司化转型是提升我国资本市场市场化与国际化水平的重要前提。面对证券交易所公司化改制引发的证券交易所商业角色与监管角色失衡、自我上市与自我监管冲突、监管权力滥用以及自律监管与公共监管冲突等一系列问题,应当立足我国证券交易所的自身发展状况,结合国外成功经验,适时更新自律概念的内涵,重新设定自律监管模式,并作出相应的制度安排,如完善内部治理、强化外部监管、健全信息披露等,从而有效消除公司化改制带给自律监管的影响,优化公司制证券交易所的作用。     

The current state of Asia-Pacific stock exchanges: A critical review of market design

This paper provides a review of the market microstructure of ten Asia-Pacific stock exchanges. Asia-Pacific stock exchanges face significant challenges in an increasingly global and competitive world equity market. These exchanges need to provide an efficient, fair and competitive trading environment if they are to attract new listings and attract investors. This paper documents significant differences in market design across Asia-Pacific stock exchanges. Many of these design features are at odds with the existing microstructure research. Achieving competitive markets may involve a review of market design and regional consolidation. Failure to increase attractiveness may result in Asia-Pacific exchanges losing market share in the global equity market. A review of current best practice in a number of critical microstructure areas is useful for market organizers to assist in policy development, is helpful for academics wishing to undertake empirical research in these markets and is a source for future research ideas.     

全球股票市场交易费用变动趋势研究

各国证券交易所为提高市场质量和增强国际竞争力,进行了股票市场交易费用结构与费率的频繁调整。本文首先总结了美国、英国、日本、香港等国家和地区交易所现行交易费用的结构特征,并以纽约证券交易所和伦敦证券交易所为案例估算了交易费率的调整比率。其次,本文运用2002年至2010年期间主要海外证券交易所的财务数据和市场数据,分析交易费用变动与交易所经营业绩的互动关系。最后,我们对欧美市场交易费用的大幅下调进行了成因分析,并探讨我国证券交易所内外部环境及经营特点与海外市场存在的差异,提出相关启示和思考。     

股指期货交易场所选择分析

股指期货是在证券交易所上市还是在期货交易所上市,国际上没有统一的惯例.本文根据我国目前证券市场发展状况,从股指期货全球的发展趋势、风险控制、运行成本、长远发展等几方面,分析我国推出股指期货交易地点的选择问题,认为我国证券交易所推出股指期货要优于期货交易所推出股指期货.     

Seasonality in returns on the Chinese stock markets: the case of Shanghai and Shenzhen

This paper investigates seasonal patterns in stock returns on the Shanghai and Shenzhen stock markets. The paper documents several interesting findings. First, unlike studies for other stock markets, the highest daily returns on both exchanges occur on Thursday rather than Friday. Second, price change limits exert an effect on the observed daily pattern of returns. Third, daily stock returns appear to be positively correlated with risk. This result is at odds with the majority of findings for other stock exchanges around the world. Finally, the paper documents other differences in seasonal patterns on the two exchanges.     

Networks and equity market integration: European evidence

Deregulation, globalization, and technological developments have altered the business strategies of stock exchanges around the world. We investigate whether the adoption of network strategies by stock exchanges creates additional value in the provision of trading services. Using unbalanced panel data from all major European exchanges over the period 1996-2000, we examine the consequences of network cooperation on a number of stock market performance measures. We show that adopting a network strategy is associated with higher market capitalization, lower transaction costs, higher growth, and enhanced international stock market integration.     

Stock exchange self-listing and value effects

The stock exchange industry has experienced strong competition in recent years. The commercial realities of the day have compelled some exchanges to change their ownership and governance structure from mutual to public ownership and have listed their shares on their own exchanges. This paper examines the value effects of self-listing and the attendant change in business strategy on the performance of listed exchanges. The results provide considerable support for the proposition that exchanges whose traditional sources of revenue have come under severe pressure, and those that have experienced a slow growth in net profit margin but high growth in market activities, are likely to change their ownership structure from mutual to public ownership. A comparison of the operating performance of the listed exchanges to that of a control group of non-listed exchanges shows that the self-listed exchanges have performed better than their non-listed counterparts. The self-listed exchanges also outperformed the stock market indexes and a control group of non-exchange firms that went public in the same year as the listed exchanges. I submit that better monitoring of managerial performance, the potential threat of takeover from the market for corporate control that accompanies self-listing and the reduction in agency costs associated with the mutual form of exchange contribute to unlock growth opportunities and value for the publicly traded stock exchanges.     

Earnings management and stock price crashes post U.S. cross-delistings

We examine whether cross-delisted firms from the major U.S. stock exchanges experience an increase in crash risk associated with earnings management. Consistent with our prediction, we find that earnings management has a greater positive impact on stock price crash risk post cross-delisting when compared to a control group of firms that remain cross-listed. More importantly, we find that this effect is more pronounced for cross-delisted firms from countries with weaker investor protection, poorer quality of their information environment and less conservative accounting practices. Our findings are robust to the potential endogenous nature of the cross-delisting decision, alternative measures of stock price crash risk and information asymmetry. We interpret our results as evidence of a “reverse bonding effect” following cross-delistings from U.S. stock exchanges.     

Anatomy of a regulatory race to the top: Changes in delisting rules at Korea's two stock exchanges, 1999–2002

One dimension of competition among stock exchanges is the quality of products they have to offer. In order to attract listings and trading volume, exchanges can affect the quality of their listed firms by altering their standards for firm disclosure and governance. We identify a competition with respect to delisting standards between Korea's two stock exchanges and show that it complies with the three components of a regulatory race to the top: external trigger, mobility among diverse regimes and meaningful changes that converge to similar rules. The race between the two Korean exchanges ended with stricter rules and better protected minority shareholders. The race also ended, however, with neither exchange gaining market share with respect to trading volume or new listings. Korea's experience, therefore, suggests a reason why these races are rare. In the absence of an external trigger, exchanges will be reluctant to enter a race if they think it will result in rule convergence and no winner.     

Are expansions cost effective for stock exchanges? A global perspective

This paper investigates the existence and extent of economies of scale and scope among the stock exchanges. Evidence from 38 exchanges in 32 countries and 4 continents around the world for the years 1989–1998 portrays the existence of significant economies of scale and scope. The degree of such scale and scope however differs across size and regions. The largest exchanges show an increasing trend of cost effectiveness. The exchanges in North America and Europe report substantially higher economies of scale relative to the exchanges in the Asia-Pacific regions.     

证券市场参与者之间关系及其变化的比较研究

本文主要探讨了证券市场主要参与者间关系及其变化。研究发现,与国外证券交易所之间的竞争不同,我国沪深两个交易所之间的竞争主要表现为监管竞争与对板块上市机会的主动争取上;证监会与交易所之间的关系是一种领导关系而非监管、合作关系;就证监会与被监管者而言,除监管关系以外,证监会与被监管者之间还存在着容忍、合谋等关系;上市公司与投资者之间的关系主要是一种合作与监督关系。     

民元后华商证券交易所的创设动机及其脆弱性

近代华商证券交易所具有极高的脆弱性,这是交易所过度投机和违规经营而且得不到有效遏制的结果;而华商证券交易所浓重的投机性和道德风险,又与其复杂的创设动机有关。考察民元以后华商证券交易所的脆弱性、投机性与其创设动机之间的关系,是为了以史为鉴,确保现实中国的交易所有正确的经营方向,谨慎选择交易所的组织制度,弱化交易所的逐利性,强化交易所的自律功能,淡化交易所的政策市色彩,使我国证券交易所能够持续、稳定和有力地服务于市场经济建设。     

Mergers, Method of Payment and Returns to Manager- and Owner-Controlled Firms

Previous work provides evidence of disparate consequences for acquiring firms initiating stock and cash merger exchanges. These studies show that the choice of payment method and the subsequent consequences may be a result of dissimilar motivations. This paper addresses the role of corporate control by examining the consequences of stock, cash and mixed exchanges to manager- and owner-controlled firms. Particular attention is paid to mixed exchanges as a test of the total consequences of acquisition activity. The results indicate that the market valuation of the acquiring firm's stock is related to both the method of payment and the acquiring firm control structure.     

Exchange trading rules and stock market liquidity

We examine stock exchange trading rules for market manipulation, insider trading, and broker–agency conflict, across countries and over time, in 42 stock exchanges around the world. Some stock exchanges have extremely detailed rules that explicitly prohibit specific manipulative practices, but others use less precise and broadly framed rules. We create new indices for market manipulation, insider trading, and broker–agency conflict based on the specific provisions in the trading rules of each stock exchange. We show that differences in exchange trading rules, over time and across markets, significantly affect liquidity.     

Does the location of stock exchange matter? A within-country analysis

The current study documents an interesting phenomenon that retail investors prefer to invest in stocks listed at the stock exchange that is geographically close to them in China. This pattern is robust when we control for the well-documented local bias within a country. Among companies with similar distances to both stock exchanges and companies headquartered locally, investors still display a strong tendency to invest in locally-listed stocks. Among stocks with similar distances to both stock exchanges, those listed in Shanghai (Shenzhen) co-move more in returns and trading volumes, with the benchmark at the Shanghai (Shenzhen) stock exchange. Such a preference for local exchange seems not to be motivated by information advantage, because investors do not obtain abnormal returns from their trades on stocks listed nearby. Our findings provide additional evidence that non-information-based familiarity bias induces investment and that such investor bias and exchange-level sentiment influence asset price formation.     

Competition among stock exchanges for equity

We consider cross-border competition by stock exchanges for listings from firms that have controlling shareholders who have private benefits. We examine exchanges’ choices of their listing standards and firms’ choices of the exchanges where they cross-list their shares. We show that the share price compensates controlling shareholders for giving up some private benefits and enables firms with growth opportunities to obtain listings on exchanges with different listing standards. In particular, firms with high-growth opportunities tend to obtain listings on stock exchanges with high listing standards. We empirically examine these predictions and find that they are consistent with evidence.     

An empirical analysis of the equity markets in China

This paper subjects the newly established stock markets in Shanghai and Shenzhen to tests of market efficiency, utilizing daily stock price data. Using a battery of tests, the study concludes that there are significant inefficiencies present on both exchanges. These can be traced to the unique structural and institutional problems that plague both exchanges. The study also tests for the presence of seasonal anomalies on both exchanges. The results show that there are significant negative weekend and positive holiday effects, but there is no evidence of a January effect or early January effect.     

民元后本国证券交易所均选择公司制的原因及其反思

证券交易所有会员制与公司制两种组织形式，各有利弊，分别适合于不同环境条件下的市场。不同国家、同一国家不同时期、同一时期不同的交易所基于各种考虑而选择的组织形式不尽相同。而交易所组织形式的选择是否恰当，对于特定时期特定市场环境下交易所运营的绩效及交易所事业的发展，会产生较大的影响。民元后国人自办证券交易所均采用公司组织，有其原因、作用和值得注意的问题。我国现有会员制证券交易所未来的组织制度选择也应该借鉴过去的经验和教训。     

Valuation effects of international stock exchange listings

A comprehensive data set consisting of 346 U.S. firm stock listings on ten different stock exchanges is examined in order to determine the valuation consequences of listing on a foreign stock exchange. For the sample of U.S. firms listing abroad, abnormal returns in U.S. trading were: (1) positive around the date of acceptance on the foreign exchange; (2) negative on the first trading day; and (3) negative in the post-listing period for firms listing on the Tokyo and Basel exchanges. Tests for the equality of stock return variances between event periods and market model estimation periods failed to reveal a definitive impact.