我国证券交易制度完善与创新分析

【作者】 李林岭；

【导师】 曹廷贵；

【作者基本信息】 西南财经大学 ， 金融学， 2001， 硕士

【摘要】 全球经济一体化总趋势加速了市场的国际化，资本自由流动程度大大提高；而现代电子通讯技术的发展，不仅为资本市场全球化提供技术支持，还促进了各种新竞争手段出现；与此同时，各国证券监管部门也以提高市场效率为目标，积极推行鼓励市场竞争的政策，撤销壁垒、减少干预。在此背景下，各国资本市场在蓬勃发展的同时，其竞争也更加激烈，交易制度改革已经成为获取竞争优势的决定性因素。十年来，世界各主要交易所均对自身交易制度进行了不同程度的改革和调整，尤其以伦敦和巴黎交易所的改革最为典型。随着我国加入WTO，金融服务领域开放范围和深度必将增大，必然给证券市场带来竞争压力，目前深、沪两市交易制度中一些不完善地方制约着其竞争力，有待进一步探讨并改进。深、沪交易所自90年代初建立后发展十分迅速，随着金融改革深化和金融创新活动开展，资产证券化、融资证券化比重越来越高，证券市场规范发展对经济的促进作用也日益显著。在目前“电脑自动撮合交易系统”下，市场的过度炒作和人为操纵现象制约着市场功能发挥。只有制度上获得保证的市场，才能实现市场有序运行，优化其对经济发展的资金支持、资源配置等功能。因此，从市场自身规范发展角度而言，也需要对我国证券市场交易制度进行深入研究。本文主要针对股票市场而言，在对交易制度内涵剖析基础上，从交易机制、交易信息披露方式、市场稳定措施和实时监控方面入手，分四个部分对完善、创新我国证券交易制度提出了自己的观点，并进行了详细阐述。1、 导论 论文该部分对交易制度内涵进行了较全面剖析，为后文的深入论述做了结构性铺垫，并在此基础上论证了我国证券交易制度完善、创新的必要性。证券交易制度是指交易所为达到一定目的或履行其基本职责而制定的与交易有关运作规则，其设计目标<WP=3>通常为市场流动性、有效性、稳定性和透明性，并通过交易过程中交易委托方式、价格形成机制、交易信息披露方式、市场稳定措施和实时监控规则的选择达到此目的。从理论上而言，四大设计目标应该是一致的，但事实上，其相互间又存在一种统一矛盾关系。因而交易所根据各自市场特点和目标偏好，进行了自身交易规则选择，这种选择又与市场运行存在一种互动关系，具体表现为正效益面上和负效益面上的互动关系，文中通过事例对此进行了引证。正是由于上述原因，导出了我国证券市场交易制度完善、创新课题，文中进而从股票市场国际竞争、股票市场规范发展和交易制度理论研究三个方面对课题研究的必要性进行了论证。2、 交易机制完善与创新 依据市场价格形成方式，交易机制可分为委托驱动机制和报价驱动机制，若成交价格由市场委托指令撮合产生，属于委托驱动机制；若成交价格是依据交易商报价而产生，则属于报价驱动机制。同一交易制度内交易机制的多样化，有利于发挥不同机制的综合优势，在保持其主导交易方式的同时，寻求市场全面、平衡发展。论文此部分通过比较分析世界各主要交易所交易机制，对深、沪两市“电脑自动撮合交易系统”是否需要引入“做市商制度”及“我国大额交易方式的选择”进行了探讨。文中详细分析了市场本身发展趋势和引入“做市商制度”后的成本效益，提出了暂时还不能考虑引入这种制度的观点；此外，论文总结、分析了四种“大额交易方式模式”，并结合实际指出，当前可考虑引入“高频率定时交易模式”，以期在尽量减小对现有交易系统冲击条件下填补大额交易机制的空缺；从长期发展看，随着机构投资者的超常规培育，大额交易规模逐步扩大，“楼上交易模式”因其与现有交易系统的相融性，可考虑建立，且该模式的引入还具有扩大券商经营空间的现实意义。3、 交易信息披露方式完善分析 由于市场透明度、流动性、稳定性与效率性之间存在统一矛盾关系，因而不同市场建设理念、不同价格形成机制、不同交易规模、不同使用者对交易信息披露内容<WP=4>和渠道也有不同要求，从而形成了多样的信息披露方式。论文通过对披露内容差异、披露对象差异、披露时效性差异的分析为我国交易信息披露方式的完善提供了理论基础，并结合实际，提出“可能开盘价格揭示”方案，以期对现有开盘制度进行完善，即在开盘集合竞价过程中每分钟公布一次“可能开盘价格”，使最后的开盘价格能有效反映市场供需状况；同时为避免操纵开盘价格情况的发生，引入“开盘随机结束”规则。此外，文中还对连续交易信息披露方式、交易信息传输系统和大额交易信息披露方式进行了探讨，并考虑将交易系统与信息传输系统分离，以提高信息披露服务质量。4、 证券市场稳定措施与实时监控系统分析 为了控制因市场上缺乏资金或投机过度所造成的振荡，各股市和监管机构都采取了限制价格波动的稳定措施，虽然限价方式各有不同，但基本作法都是在市场价格急剧上涨和下落时，将交易停止一段时间，让市场有喘息之机，以便能够积蓄足够数量委托来缓和市场压力。目前深、沪市场10%的涨跌幅度属于一种静态限制，一旦达到该警戒线，市场就进入一种“有行无市”状态，且容易出现价格在涨跌停板范围内剧烈震荡情况，而现有监管框架很难对此实施有效监督；至于现有的更多还原

【Abstract】 The trend of global economic integration accelerates market internationalization enhances free capital flow; the development of modern telecommunication technology not only offers technical support for capital market globalization but also facilitates birth of new competition tools; security regulatory institution in each country has made market efficiency improvement as its target and attached great importance to protection of investors’ interests, and carried out policy to encourage market competition. Under this situation, every major stock exchange around the world hae reformed and adjusted its trading system in the past 10 years, among which reforms of London and Paris stock exchange are representatives. Shanghai and Shenzhen Stock exchange have developed quickly since 1990s and they use "AutoMatching Electronic Auction System" as trading method. As China will join WTO and open its capital market, it’s urgent to consummate and innovate the existing trading system, improve its competitive capability, optimize its functions such as capital support and resource allocation to economic development, and speed adjustment and upgrade of industrial structure. By analyzing the connotation of trading system, this thesis brought forward its own viewpoint on consummation and innovation of security trading system in China and expounded it in four parts through trading system, disclosure of trading information, measure to market stability and real-time monitor and control on basis of reference on major stock exchange systems.1. IntroductionThis chapter analyzes comprehensively on connotation of <WP=7>trading system and demonstrates the practical signification of consummation and innovation of security trading system in our country. Security trading system is trading -related operation rules, which are established by security exchange to fulfill its fundamental responsibility or attain specific purpose, with object of market liquidity, validity, solidity and transparency and to achieve this object through selection of trade commission method, price shaping system, disclosure of trading information, market stabilization measures and real-time monitor and control methods during security trading. Theoretically speaking, the four targets should be consistent. At the same time, market stability, liquidity and efficiency also have this kind of contradiction. So, each exchange chooses its trading rules based on its market characteristics and object preference. This selection is interactive with market operation, which is represented as positive benefit interactive relation and negative benefit interactive relation, and in this text, several examples were given to explain that. From international competition need of stock market, standardized development of stock market and trading system theory need, this article reasons practical significance for this problem.2. Consummation and innovation of trading systemAccording to trading process, price-shaping system (also called trading system) can be divided into continuous trading system and periodic trading system. The difference between them is that the result of continuous trading system is a series of bilateral deals at different price while the result of periodic trading system is one group of multilateral deal at the same price. In addition, according to the dominant strength of price shaping, it can be grouped to commission-driven system and quotation-driven system. When dealing price is matched by dealer’s commission <WP=8>order, it is commission- driven system, it is quotation-driven system if dealing price is on the basis of dealer’s quotation. This chapter makes thorough discussion on whether it needs to introduce "market maker system" in Shanghai and Shenzhen Securities Exchange or not based on comparative analysis of all the major exchanges around the world. For the characteristic of Shanghai and Shenzhen Securities Exchanges, after analyzing cost-benefit and market developing trend of "market maker system", this thesis puts forward that it should not introduce thi更多还原