中国外汇市场做市商行为空间的研究

在人民币汇率机制形成的微观层面上，汇市的做市商（inter—dealer or market maker）将发挥重要作用。他们在不断向市场提供流动性的同时也为市场提供了稳定性。本论文在国内第一次利用中国汇市的高频数据进行检验，认为目前中国汇市要给做市商行为让出一定的空间。央行在汇市既不可不作为，也不可过多作为。经验证明中国的做市商的成交量在放大，并且成交量开始影响汇价。中国汇市的成熟需要规模（成交量），而做市商迅速发展能迎合成交量放大的需要。要放大成交量前提是必须让做市商持有一定的头寸（存货）。然而，中国的做市商目前的头寸受到“真实背景”的限制，他们的地位需要进一步提升，这有利于他们发出准确信号并且持续报出有竞争性的价格。

Behavioral Room for Market Makers in China's Foreign Exchange Market

From the perspective of micro-structure of China's foreign exchange market,the market makers have been playing an ever important role.Not only they have been providing market liquidity,but they are also maintaining market stability.The behavioral room should be left for the market makers in China's exchange market at the present.During the process,both over-interference and laissez-faire attitude by the central bank will do no good to the market.The empirical test is done in China for the first time by using intra-day data to identify the growing volume of transactions carried out by those market makers.Their transactions already exert an impact on the exchange market.A matured foreign exchange market in China can not survive without the scale,i.e.volume of transaction.The present increasing number of market makers and their development cater for the demand of this enlarged transaction.However,it is imperative to upgrade these market makers in China's exchange market so that they can send more accurate signals and competitive bid-and-ask prices.