中国股市扩大买卖盘揭示范围的效应分析——对市场波动性影响的实证研究

2003年 12月沪深股市扩大买卖盘揭示范围,大幅提高了市场的交易前透明度。本文分别用统计假设检验和计量经济学模型,实证分析了该政策实行前后的市场波动性是否有明显变化。结果表明,买卖盘揭示范围的这次调整,对中国股市的波动性没有明显影响;来自中国证券市场交易前透明性改革的实证结果,并不支持透明性在一定程度上影响市场质量的理论观点。

The Effect of Bid-Ask Order Disclosure Expanding on Chinese Stock Market Volatility

This paper analyzes the effect of pre-trade transparency increase on Chinese stock market volatility. In December 2003, Shanghai and Shenzhen Stock Exchange expanded bid-ask order disclosure, which dramatically increased stock market's pre-trade transparency. We respectively use the statistic test and econometrical model to test whether there is an observable change of stock market volatility after the execution of the new policy. Our empirical results do not support the view that transparency matters in the sense that it has an economic effect on liquidity and volatility.