【作者】 唐静武；

【导师】 王聪；

【作者基本信息】 暨南大学 ， 金融学， 2009， 博士

【摘要】 本文把我国深沪股票市场作为主要研究对象,借助市场微观结构理论的分析框架,通过理论模型、比较研究和实证检验,对我国股票市场运行效率进行研究。主要结论和成果有:(1)从发展历史来看,深沪两市的流动性均呈现出逐步改善的趋势,但仍然低于发达国家市场的流动性水平;以流动性指数、市场深度及大宗交易成本衡量,沪市的流动性好于深市,以价格冲击指数及相对买卖价差衡量,深市的流动性高于沪市。(2)深沪股市波动性的总体趋势并不是处于下降状态,波动幅度依然较大,表现出强烈的“政策市”特征。(3)中国股市市场情绪不仅会产生情绪溢价,而且使深沪两市的收益产生波动,与短期收益惯性和长期收益反转相对应,中国股市市场情绪具有短期持续性和长期的逆转性,市场情绪是导致中国股市非理性繁荣和下跌的一个重要原因。(4)指令驱动制度下的股票市场,隐形交易成本和股价、市场深度、知情交易概率、股价波动、信息冲击与买卖指令的不平衡性密切相关,理论和实证表明:市场深度越大、知情交易概率越小、股价波动越小、信息对股价的冲击越小以及买卖指令的不平衡性程度越低,隐性交易成本就越小。(5)隐性交易成本是反映市场运行效率的一个综合指标,市场流动性差、有效性低、价格波动性高会导致隐性交易成本增大,运行效率良好的股票市场必然有较低的隐性交易成本。更多还原

【Abstract】 With the theory of market microstructure analytical framework,this dissertation make use of the theoretical models,comparative study and empirical testing to study on operational performance in China’s stock market constituted by Shenzhen and Shanghai stock markets.The main conclusions are listed as follows:(1) In terms of development history,the liquidity of Shenzhen and Shanghai stock market shows the trend of gradual improvement,but still lower than the mature national market system;The liquidity of the stock market in Shanghai is better than the Shenzhen stock market measuring by the liquidity index,the market depth and transaction costs of block trades,and the Shenzhen is better than the Shanghai measuring by the price impact index and the relative bid-ask spread.(2) The volatility of Shenzhen and Shanghai stock market is not in the trend of decline.Chinas stock market is still relatively large fluctuations,showing a strong "policy market".(3) The market sentiment is not only leads sentiment premium,but leads earnings volatility in Shenzhen and Shanghai stock market.With emotional short-term sustainability and long-term reversal corresponding,there exist a short-term momentum and a long-term reversal in China’s stock market Market sentiment is one of major reasons for China’s stock market irrational exuberance and down.(4) Base on the China’s limit order-driven electronic trading system,such factors as the stock price,the depth of market,the probability of informed trading, the fluctuation of stock price,the impact of information and the imbalance of orders will all affect the implicit transaction cost.The greater market depth, lower probability of informed trading,smaller price volatility,smaller impact of information on stocks and lower degree of imbalance on order will lead to decrease implicit transaction costs.(5) Implicit transaction costs is a composite indicator to measure the efficiency of stock.Markect.Empirical analysis shows that the poor liquidity,lower effectiveness of information and high volatility will lead to higher implicit transaction costs.Efficient operation of stock markets is bound to lower implicit transaction costs.更多还原