【作者】 欧阳建新；

【导师】 林少宫；

【作者基本信息】 华中科技大学 ， 西方经济学， 2005， 博士

【摘要】 证券市场波动历来是证券市场理论中的研究热点。特别是象中国这样年轻的证券市场,其股市的异常波动常常是此起彼伏,甚至是波涛汹涌。正是由于这些波动的出现激励着研究者去探索中国证券市场波动性背后的奥秘。然而,在已有的有关中国证券市场波动性的研究中大多只考虑这些波动性的“原材料”或“成品”,而不对生产这些波动性的加工“机器”即证券市场微观结构进行考察。这对于中国这个不断地变革着微观结构的证券市场来说,显然是一个缺陷。我们的研究就是试图弥补这一不足而对中国证券市场波动与证券市场微观结构的关系进行考察。本文在参阅国内外大量文献资料的基础上,根据金融市场微观结构理论和现代金融理论的基本原理,采用计量经济学、博弈论、系统工程理论等方法对中国证券市场波动性与市场微观结构的关系进行了富有成效的理论探讨和实证分析,得到了不少重要的结论和实证发现,同时对这些结论和实证发现做出了合理的解释。通过本文的研究,我们的基本结论是:总体上,证券市场微观结构对中国证券市场波动性存在显著的影响,因此,无论是研究者还是实践工作者在进行证券市场波动性研究或相关证券交易制度设计时必须考虑市场微观结构因素可能带来的影响。我们首先从宏观层面和微观层面对造成中国证券市场波动的原因进行了较为全面细致的探讨,由此提出了一个较为完整的中国证券市场波动的信息传导机制,用它揭示对微观结构进行研究的重要性和必要性,并阐明了长期被研究者们视为“黑盒”的微观结构因素其实是引起证券市场波动的重要潜在原因。在此基础上,我们构建了中国证券市场波动的微观形成机制的框架,它清晰地表明了中国证券市场微观结构的各种构成关系。根据这一分析框架,依次研究了证券价格形成机制、证券市场稳定制度、信息披露制度以及清算交收制度等市场微观结构对中国证券市场波动的影响。其中深圳中小企业板块特有的交易制度、中国证券市场异常波动停牌制度、最小报价单位的变革、交易信息披露制度的变革等与市场波动性的关系均是首次研究。更多还原

【Abstract】 The volatility of securities market is a research hot spot of securities market theory all through the ages. Specially in the young Chinese securities markets, where the anomalous volatility frequently arises, even to extent that there are waves running high one after another. The appearance of securities volatility inspires the researchers to probe these mysteries behind the Chinese securities markets volatility. However, most of the existing researches merely consider the volatility itself as “raw material” or “finished product”, but not consider the “machinery” i.e. the microstructure of securities markets that gives rise to such volatility. This is an obvious defect as the securities markets microstructure often changes in China. Our research is trying to remedy this defect. We’ll make a close examination on the relationship between the securities markets volatility and securities markets microstructure in China. With reference to a large amount of literature, and also based on financial market microstructure theory and the fundamental principles of modern financial theory, this research adopts the econometrics method, game theory, system engineering theory and so on to develop a fruitful theoretic discussion and empirical analysis on the relationship of Chinese securities markets volatility and microstructure. We obtain a lot of significant conclusions and substantial evidences for discovering the rightful interpretations. Through our original research, the fundamental conclusion is: generally, the market microstructure produces a significant effect on the volatility of Chinese securities markets. Hence, both researchers and practice workers should consider the possible effect of the underlying market microstructure while studying the securities market volatility or designing a trading mechanism. We have first of all carried on relatively complete discussion on the reasons of the Chinese securities markets volatility through macroscopic as well as microcosmic sides. Then we propose a relatively integrated information-transmission mechanism of the Chinese securities markets, which indicates the necessity to study the underlying microstructure. This mechanism also shows that the microstructure which has been looked upon as a “black box” by a lot of researchers for a long time actually provides the important potential reason for bringing about the market volatility. On this basis, we construct the framework of Chinese securities markets volatility’s microcosmic movement. This framework clearly shows all sorts of constructive relations of Chinese securities markets microstructure. With this analysis framework, we study successively these effects of market microstructures such as securities price formation mechanism, securities market stabilization mechanism, information disclosure mechanism, clearance and settlement mechanism, and so on, where the relationship between the market volatility and the special trading mechanism of Shenzhen small and medium enterprise board, the anomaly volatility suspension mechanism, the reform of tick size and trading information disclosure mechanism of Chinese securities markets is first researched. When studying the securities price formation mechanism, we use the game theory model to show that there are different equilibrium conditions and volatility effects under different auction markets. By means of examining the volatility as shown by autoregressive conditional heteroskedasticity under different auction markets with non-parametric methods, we show that the volatility of periodic auction in market opening is significantly greater than that of continuous auction. In the same vein, we find that the new way of closing quotation decision in Shanghai stock market has no significant effect on the volatility in the market closing prices, but it affects significantly the opening quotation in the next day, and then gradually fades away along the trading day. We also consider the small and medium enterprise board, with the results showing that the open auction is probably not the best auction in the opening because it causes more volatility than the close auction does in the main board. But the periodic auction in the market closing system of the small and medium enterprise board has a very good steady marketfunction and a price discovery capacity. While studying the securities market stabilization mechanism through establishing different models, we find that not only the volatility of the indexes but also that of the ordinary stocks and ST stocks, in a long period of time, can be decreased and not increased significantly by the price limit. And there was no significant over-reaction by the price limit. Moreover, the research on stock shows that the chasing-growth trend is more seen than the driving-drop trend in the market. Our research shows that the anomaly volatility suspension mechanism has no function of stabilizing market because the volatility seems increased and not decreased when the market suspension is ended. However, the smaller tick size in Chinese securities markets can bring about a less significant volatility and a more significant liquidity, but have a minus effect on trading volume. When studying the information disclosure and clearance & settlement mechanism, we find that the extension of pre-trading information disclosure scope in Chinese securities markets can promote significantly the market stabilization in a short term, but over a long period of time, the effect is not significant. The result after clearance & settlement mechanism research shows that the T+1 system has much more stabilizing market function than the T+0 system in the long run. This paper finally builds a forecasting volatility model for the Chinese securities market by first introducing a microstructure variable. The forecasting results show that the forecasting will be more accurate after considering the microstructure. So, it can be concluded that the microstructure in securities market is nearly a key variable to influence securities market volatility.更多还原