中国股票市场透明度改革效果的理论与检验

文章通过观察我国股票市场微观结构特征,在理性预期的分析框架内,用贝叶斯模型解释交易成本、信息不对称和价格发现效率,给出交易前透明度增加对市场微观结构产生影响的三个假设。在此基础上,选择沪深300指数样本股票,采用三种不同检验方法对假设进行实证检验。检验结果表明:交易前透明度的增加,减少了交易成本,降低了股票交易中的信息不对称,提高了市场的价格发现效率。

A Theoretical and Empirical Study on the Performance of Transparency Reform in China Stock Market

The paper analyses the microstructure characteristics of China stock market. Using Bayesian approach to analyse trade cost, asymmetric information and efficiency of price discovery, the paper sets three hypotheses to be tested about the effect of increasing pre-trade transparency on microstructure within a framework of rational expectation theory. We conduct a empirical study on Shanghai-Shenzhen 300 index to test three hypotheses using different methods. The empirical results support strongly the hypotheses, which show that pre-trade transparency increment reduces trade cost, mitigates information asymmetry and then develops market efficiency.