中国三板市场交易机制研究
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摘要
为了解决被关闭的STAQ和NET系统挂牌公司的股份流通问题,2001年6月12日,中国证券业协会颁布了《证券公司代办股份转让服务业务试点办法》,推出了代办股份转让业务。随后,一些从主板“退市”的公司也陆续进入该系统实现原流通股的转让。通过《试点办法》及相关规章可以看出,代办股份转让服务业务是由中国证券业协会批准的具有资格的证券公司为非上市公司提供的股份转让服务业务。代办股份转让业务没有通过交易所完成交易,而只是租用了交易所的交易平台。因此,这项业务具备了场外交易的基本特征,揭开了我国“三板市场”的序幕。
本文的研究对象——三板市场就是未来场外交易市场的主体,目前的代办股份转让业务只是它的雏形。严格的说,即将推出的“二板市场”也属于场外交易市场的一部分,NASDAQ市场就是一个典型的场外交易市场,因为它是“集中报价,分散交易”的。如果用排除法来定义,三板市场就是在主板和“二板”以外进行证券交易的市场,这个市场的规范与发展具有重要的理论和现实意义。
研究的目标是设计一套适合三板市场特点的交易机制,以提高三板市场的运行效率。如何设计微观市场结构(包括价格发现机制),从而降低投资者之间的信息不对称程度,已成为各国学术界研究的重点。我国三板市场交易机制的设计关注的主题包括:交易对象与范围的确定、交易系统的选择、监管机制、上市标准、交易规则等等内容。将我国的“三板”市场建成中国的场外交易(OTC)市场,使其成为资本市场体系的重要组成部分,实现将中国的OTC市场建成与国际惯例一致、规范的区域性资本市场的目标,首先必须设计和选择一套适合中国OTC市场的交易机制。随着三板市场的发展,其交易机制的设计将是各大券商、急需融资的中小企业、投资者和监管机构共同关注的热点问题。
首先,从微观市场结构的角度,分析了场外交易市场的交易机制。场外交易市场与主板市场的最显著区别就在于它的交易机制。国外的场外交易市场已经形成了一套比较规范的运作方式。通过介绍场外交易市场的功能和作用,分析世界主要场外交易市场的交易机制及其特点。通过比较,发现国外成熟的场外交易市场共同的特征是:在价格形成机制上,大多采用竞争性的做市商制度;上市公司条件比较宽松,但在信息披露和监管方面往往比主板还要严格。中国主板交易所市场和代办股份转让市场却是电子竞价机制,所不同的是主板是连续竞价机制和开盘前的集合竞价机制相结合的交易机制,而三板市场是单一的电子集合竞价机制,从而发现中国三板市场与国外场外交易市场,以及
三板与主板市场的差异性。
其次,要设计一个高效的市场,必须从理论上明确微观市场结构、交易机制与市场运行效率之间的关系。按照价格形成机制的不同,可以把证券市场划分为报价驱动的做市商市场、指令驱动的竞价市场(分为连续竞价与集合竞价),以及两者兼而有之的混合市场。通过比较不同类型的证券交易机制的利弊和价格确定过程,特别是报价驱动的做市商市场与指令驱动的竞价市场的优缺点,以及连续竞价机制与集合竞价机制的利弊,阐明交易机制的选择与重构是市场能够迅速而低成本的发现出清价格,从而提高市场运行效率的主要途径。
接着,对中国三板市场的运行效率进行实证分析。交易机制设计的六个目标是:流动性、透明度、稳定性、高效率、低成本和安全性,这六项标准构成设计证券交易制度目标的六个方面,证券交易制度的目标之间存在既统一又矛盾的辨证关系。为了分析代办股份转让市场的运行状况,对其中的波动性、流动性、有效性、透明度、交易成本五个指标进行了实证分析(由于安全性与技术设备有关,对这方面不太熟悉,因此未作分析)。研究得出三板市场波动性比较大、流动性极差、还没有达到弱式有效等结论。同时,三板市场的信息披露制度也存在缺陷,交易成本也比较高,所有这些问题共同造成三板市场运行效率低下。
最后,通过市场微观层面的实证分析,在对我国现行三板市场交易特点以及交易机制做出全面综合评价的基础上,对如何设计三板市场的交易机制提出了一系列政策建议:逐步完善三板市场的价格形成机制、建立三板市场的信息传播制度、建立三板市场特有的监管模式、建立适合三板市场特点的市场稳定措施、规范三板市场上市主体资格、培育和引导三板市场的投资者队伍等。
In order to solve the problem of the share transferring which was closed on the STAQ and NET systems, SAC (The Securities Association of China) issued a decree on 12, June, 2001-----“Qualified stock dealers try to transfer share by rent a system”. Soon afterwards, some companies (PT) which shares were stopped on the stock exchange also put their share trading on this system. From the law and administration regulations we could find this system is a service that is executed by qualified dealers permitted by SAC, these dealers rent a trade platform of the stock exchange, so this has the feather of OTC market, it is the beginning symbol of “The Third Market” in China.
The object of study is “Third Market”, which is the main part of future OTC market in China, although “Qualified stock dealers transfer system” is only a embryonic form. The future “The Second Market” is also belonged to OTC market, NASDAQ is a good example. The definition of “Third Market” is that trade not on the stock exchange and “The Second Market”. To develop and standard this market is very important in china.
The objective of study is design a trade mechanism to improve market “Third Market” efficiency. How to design a trade mechanism (include price mechanism) to overcome the information asymmetry has become a key problem in finance market. A trade mechanism designing include: trade object and scope, select a trade system, inspection mechanism, the standard of go on market, trade regulation, etc. In order to get the aim of fostering the “Third Market” becoming a real OTC market in China, the first task is to select and design a trade mechanism suit for the situation in china. This has become a hot problem of big dealers, small enterprises, investors and inspectors.
First, we study the OTC market with theory of Market microstructure theory because the mainly difference between the stock exchange and OTC market is the trade mechanism. Some developed countries have formed a mature operation system, so we can learn some experience from introduce these countries OTC market trade mechanism, analyze the function and role of OTC market. In the study we find the
same feature in OTC market: market-maker trade mechanism, standard of go on market is not strict than the stock exchange, but the information disclosure is more strict trade mechanism trade mechanism. It is a auction system (continue and call market) on stock exchange, and it is the single call market on “Third Market”.
Second, we study the relationship of Market microstructure, trade mechanism and market efficiency. According to the price form mechanism we divided three kinds of markets: market-maker market, auction market and hybrid market. From study we find that different trade mechanism has its special advantage and disadvantage, so selecting and reform trade mechanism is the main way to improve market efficiency.
Third, we analyze the “Third Market” by test six standards of judging market efficiency (in fact, we only test five of them, as safety is related to the technical and equipment). By study we find the “Third Market” is more volatility and inefficient than stock exchange, the liquidity is serious shortage, it still has not a efficient information disclosure system and trade cost is also high. All these question need to solve by reform a trade mechanism.
Last, by the complete and overall study and analyze, we put forward a series policy proposals: betterment price mechanism, set up a special inspection model and market stable methods, form standard of go on market, foster investor, etc.
本文的研究对象——三板市场就是未来场外交易市场的主体,目前的代办股份转让业务只是它的雏形。严格的说,即将推出的“二板市场”也属于场外交易市场的一部分,NASDAQ市场就是一个典型的场外交易市场,因为它是“集中报价,分散交易”的。如果用排除法来定义,三板市场就是在主板和“二板”以外进行证券交易的市场,这个市场的规范与发展具有重要的理论和现实意义。
研究的目标是设计一套适合三板市场特点的交易机制,以提高三板市场的运行效率。如何设计微观市场结构(包括价格发现机制),从而降低投资者之间的信息不对称程度,已成为各国学术界研究的重点。我国三板市场交易机制的设计关注的主题包括:交易对象与范围的确定、交易系统的选择、监管机制、上市标准、交易规则等等内容。将我国的“三板”市场建成中国的场外交易(OTC)市场,使其成为资本市场体系的重要组成部分,实现将中国的OTC市场建成与国际惯例一致、规范的区域性资本市场的目标,首先必须设计和选择一套适合中国OTC市场的交易机制。随着三板市场的发展,其交易机制的设计将是各大券商、急需融资的中小企业、投资者和监管机构共同关注的热点问题。
首先,从微观市场结构的角度,分析了场外交易市场的交易机制。场外交易市场与主板市场的最显著区别就在于它的交易机制。国外的场外交易市场已经形成了一套比较规范的运作方式。通过介绍场外交易市场的功能和作用,分析世界主要场外交易市场的交易机制及其特点。通过比较,发现国外成熟的场外交易市场共同的特征是:在价格形成机制上,大多采用竞争性的做市商制度;上市公司条件比较宽松,但在信息披露和监管方面往往比主板还要严格。中国主板交易所市场和代办股份转让市场却是电子竞价机制,所不同的是主板是连续竞价机制和开盘前的集合竞价机制相结合的交易机制,而三板市场是单一的电子集合竞价机制,从而发现中国三板市场与国外场外交易市场,以及
三板与主板市场的差异性。
其次,要设计一个高效的市场,必须从理论上明确微观市场结构、交易机制与市场运行效率之间的关系。按照价格形成机制的不同,可以把证券市场划分为报价驱动的做市商市场、指令驱动的竞价市场(分为连续竞价与集合竞价),以及两者兼而有之的混合市场。通过比较不同类型的证券交易机制的利弊和价格确定过程,特别是报价驱动的做市商市场与指令驱动的竞价市场的优缺点,以及连续竞价机制与集合竞价机制的利弊,阐明交易机制的选择与重构是市场能够迅速而低成本的发现出清价格,从而提高市场运行效率的主要途径。
接着,对中国三板市场的运行效率进行实证分析。交易机制设计的六个目标是:流动性、透明度、稳定性、高效率、低成本和安全性,这六项标准构成设计证券交易制度目标的六个方面,证券交易制度的目标之间存在既统一又矛盾的辨证关系。为了分析代办股份转让市场的运行状况,对其中的波动性、流动性、有效性、透明度、交易成本五个指标进行了实证分析(由于安全性与技术设备有关,对这方面不太熟悉,因此未作分析)。研究得出三板市场波动性比较大、流动性极差、还没有达到弱式有效等结论。同时,三板市场的信息披露制度也存在缺陷,交易成本也比较高,所有这些问题共同造成三板市场运行效率低下。
最后,通过市场微观层面的实证分析,在对我国现行三板市场交易特点以及交易机制做出全面综合评价的基础上,对如何设计三板市场的交易机制提出了一系列政策建议:逐步完善三板市场的价格形成机制、建立三板市场的信息传播制度、建立三板市场特有的监管模式、建立适合三板市场特点的市场稳定措施、规范三板市场上市主体资格、培育和引导三板市场的投资者队伍等。
In order to solve the problem of the share transferring which was closed on the STAQ and NET systems, SAC (The Securities Association of China) issued a decree on 12, June, 2001-----“Qualified stock dealers try to transfer share by rent a system”. Soon afterwards, some companies (PT) which shares were stopped on the stock exchange also put their share trading on this system. From the law and administration regulations we could find this system is a service that is executed by qualified dealers permitted by SAC, these dealers rent a trade platform of the stock exchange, so this has the feather of OTC market, it is the beginning symbol of “The Third Market” in China.
The object of study is “Third Market”, which is the main part of future OTC market in China, although “Qualified stock dealers transfer system” is only a embryonic form. The future “The Second Market” is also belonged to OTC market, NASDAQ is a good example. The definition of “Third Market” is that trade not on the stock exchange and “The Second Market”. To develop and standard this market is very important in china.
The objective of study is design a trade mechanism to improve market “Third Market” efficiency. How to design a trade mechanism (include price mechanism) to overcome the information asymmetry has become a key problem in finance market. A trade mechanism designing include: trade object and scope, select a trade system, inspection mechanism, the standard of go on market, trade regulation, etc. In order to get the aim of fostering the “Third Market” becoming a real OTC market in China, the first task is to select and design a trade mechanism suit for the situation in china. This has become a hot problem of big dealers, small enterprises, investors and inspectors.
First, we study the OTC market with theory of Market microstructure theory because the mainly difference between the stock exchange and OTC market is the trade mechanism. Some developed countries have formed a mature operation system, so we can learn some experience from introduce these countries OTC market trade mechanism, analyze the function and role of OTC market. In the study we find the
same feature in OTC market: market-maker trade mechanism, standard of go on market is not strict than the stock exchange, but the information disclosure is more strict trade mechanism trade mechanism. It is a auction system (continue and call market) on stock exchange, and it is the single call market on “Third Market”.
Second, we study the relationship of Market microstructure, trade mechanism and market efficiency. According to the price form mechanism we divided three kinds of markets: market-maker market, auction market and hybrid market. From study we find that different trade mechanism has its special advantage and disadvantage, so selecting and reform trade mechanism is the main way to improve market efficiency.
Third, we analyze the “Third Market” by test six standards of judging market efficiency (in fact, we only test five of them, as safety is related to the technical and equipment). By study we find the “Third Market” is more volatility and inefficient than stock exchange, the liquidity is serious shortage, it still has not a efficient information disclosure system and trade cost is also high. All these question need to solve by reform a trade mechanism.
Last, by the complete and overall study and analyze, we put forward a series policy proposals: betterment price mechanism, set up a special inspection model and market stable methods, form standard of go on market, foster investor, etc.
引文
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imperfect competition, Journal of Finance 47: pp247-270.
Huang, Roger D., and Hans R. Stoll, 1992, “The Design of Trading System: Lessons from Abroad”, Financial Analysts Journal, vol.48, pp.49-54.
J. Bradford DeLong, Andrei Shleifer, Lawrence H. Summers, and Robert J. Waldmann, "Positive-Feedback Investment Strategies and Destabilizing Rational Speculation," Journal of Finance 45: 2,pp374-397.
Jegadeesh N. and Titman S., 1993:”Returns to buying winners and selling losers: implications for stock market efficiency” Journal of Finance, 48: pp65-91
Jensen, 1968, “The performance of mutual funds in the period 1945-1964”, Journal of Finance 23, pp389-416.
K.R.French, March 1980,Stock Returns and the Weekend Effect, Journal of Financial Economics.
Jun Muranaga and Tokiko Shimizu 1999 “Market Microstructure and Market Liquidity” BIS,Working paper, Bank of Japan.
Kahneman D. and Riepe M., 1998: “Aspects of investor psychology”, Journal of Portfolio Management, 24: pp52-65.
Kahneman D. and Tversky A., 1973: “On the Psychology of Prediction”, Psychological Review, 80: pp237-251.
Kahneman D. and Tversky A., 1979: “Prospect theory: An analysis of decision under risk”, Econometrica, 47: pp263-291.
Klock, Mark, and D Timothy Mccormick, 1999, “The impack of market-maker competition on Nasdaq spreads”, Financial Rewiew, 34, 55-74.
K.R.French, March 1980,Stock Returns and the Weekend Effect, Journal of Financial Economics.
Kyle, A.S., 1985, “Continuous auctions and insider trading”, Econometrica 53: pp1315-1336.
Kyle, A.S., 1989, “Informed speculation with imperfect comprtition”, Riview of Economic Studies 56: pp317-355.
Kyle,A.S.,1985,Continuous Auctions and Insider Trading,Econometrica 53: pp1315-1336.
Lee C. M., Shleifer A. and Thaler R., 1994:“Investor sentiment and the closed-end fund puzzle” Jounal of Finance, 46: pp75-110.
Lehmann, B. N. and Modest, D. M., 1987, “Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons”, Journal of Finance
42, pp233-265.
Madhavan, Ananth, 1992, “Trading Mechanisms i Securities Markets”, Journal of Finance, vol.47, June, pp.607-641.
Madhavan, Ananth, 2000, “Market microstructure: a survey”, Journal of Financial Markets, 3(3): pp205-258.
Malkiel B., 1977:“The valuation of closed-end investment company shares” Journal of Finance, 32: pp847-859
Maureen O’Hara,1995,《Market Microstructure Theory》,Black Well Publishers Inc,Cambridge.
Nicholas Economide 1993,11, “How to Enhance Market Liquidity” Conference on Global Equity Market
Odean T., 1998: “Are investors reluctant to realize their losses?” Journal of Finance, 53:pp1775-1798.
O.M.Joy, R.H.Litzenberger and R.W.McEnally, Autumn 1977,The Adjustment of Stock Prices to Announcements of Unanticipated Changes in Quarterly Earnings, Journal of Accounting Research,.
Pliska, Stanley R., 1997, Introduction to Mathematical Finance: Discrete Time Models, Blackwell. published.
Roll, 1978, “Ambiguity when performance is measured by the securities market line”, Journal of Finance 33, pp1051-1069.
R.W.Banz, March 1981, The Relationship between Return and Market Value of Common Stock, Journal of Financial Economics.
R.Ball and P.Brown, autumn 1968, An Empirical Evaluation of Accounting Income Numbers, Journal of Accounting Research.
Scholes M., 1972: “The market for securities: Substitution versus price pressure and effects of information on share prices” Journal of Business, 45:pp179-211.
Seppi, D.,1990, Equilibrium Block Trading and Asymmetric Information, Journal of Finance 45,73-79.
Sharpe W. and Alexander G., 1990: “Investments”, 4th edition, Englewood, NJ: Prentice Hall.
Shiller R., 1981: “Do stock prices move too much to be justified by subsequent changes in dividends” American Economic Review, 71:pp421-436.
Shleifer, 2000, “Inefficiaent Market”, charpter5, New York: Oxford University Press.
Shleifer A. and Vishny R., 1990:“Equilibrium short horizons of investors and
firms” American Economic Review Papers and Proceedings, 80:pp148-153
Spiegel, M., and A. Subrahmanyam, 1992, “Informed speculation and hedgeng in a noncompetition securities market”, Review of Financial Studies 5: pp307-330.
Spiegel,M.,and A . Subrahmanyam,1992, “Informed Speculation and Hedging in a Noncompetitive Securities Market”, Review of Financial Studies 5: pp307-330.
Stewart Mayhew 2002, 4, “Competition, microstructure and Bid-ask Spread in the stock option market ”, Journal of Finance.
Stoll, H., 1978, “The supply of dealer services in securities markets”, Journal of Finance 33:pp1133-1151.
Thomas, W.A., 1989, “The securities markets”, Philip Alian Publishers Ltd.
Treynor and Black, 1973, “How to use security analysis to improve portfolio selection”, Journal of Business 46.
Treynor and Mazuy, 1966, “Can mutual funds outguess the market?”, Harvard Business Review 44, pp131-136.
Tversky A. and Kahneman D., 1974: “Judgement under uncertainty: Heuristics and biases” Science, 185:pp1124-1131.
Vikash Bora Ramiah和Sinclair Davidson, 2002, “Behavioural Aspects of Finance: BAPM v/s CAPM & Noise Trader Risk.
Walras, Leon, 1874, Elements of Pure Economics, William Jaffe translation, R.D.Irwin, Homewood, IL, (1954).
Weston James, 2000, “Competition on the Nasdaq and the impack of recent market reform”, Journal of Finance, 55,2565-2598.
中文文献:
戴国强、吴林祥,1999年9月,《金融市场微观结构理论》,上海财经大学出版社。
国信证券研究策划中心课题组,《做市商制度何时引入中国证券市场》,国信证券网站。
李光荣、黄育华 主编,2000年10月,《中国二板市场-创业板市场》,中国金融出版社。
刘红忠,2003年,《金融市场学》,上海人民出版社。
刘海龙,2001年4月,“证券市场微观结构研究综述”,《现代金融研究》。
李蓉 刘喜勤,2000年,“国外OTC市场监管体制的比较研究”,申银万国研
究报告。
刘树成 沈沛,2000年,《中国资本市场前沿理论研究文集》,社会科学文献出版社。
马跃,《美国证券市场》,1989年2月,法律出版社。
上海证券交易所,2001年5月,《中国证券市场研究前沿专题——上海证券交易所联合研究文选第1辑》,商务印书馆出版社。
屠光绍(主编),2000年5月,《交易体制——原理与变革》,上海人民出版社。
屠光绍,2000年《上市制度:比较与演变》,上海人民出版社。
文宗瑜,1998。证券场外交易的理论与事务,人民出版社。
吴冲锋 陈占锋,2002年4月16日,《市场流动性与市场微观结构有关》,上海证券报。
杨之曙,2002年1月,《最小报价单位对证券市场流动性的影响》,人大复印资料“金融与保险”。
杨朝军等,2001年上册,《上海证券市场日内流动性与波动性研究》。
上证联合研究计划。
中国证券业协会2000年重点课题研究报告,2001年1月。《中国证券市场研究前沿问题研究》,中国金融出版社。
周正庆(主编),1998,《证券市场导论》,中国金融出版社。
萧灼基,1994年10月,《中国证券全书》,中国商业出版社。
相关网站:
www.homeway.net.cn
www.gfzr.com.cn
www.mfzq.com.cn
www.sse.com.cn
www.szse.com.cn
www.gxzq.com.cn
www.fxj.com.cn
www.bis.com.org
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Admati,A.,and P.Pfleiderer,1989,Divide and Conquer:A Theory of Intraday and Day-of-the-Week Mean Effects,Review of Financial Studies 2: pp189-224.
Admati.A and P.Pfleiderer,1988, A Thoery of Intraday Patterns :Volume and Price Variability, Review of Financial Studies 1,Spring: pp3-40.
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Foster,F,D.,and S.Viswanathan,1990,A Theory of the Intraday Variations in Volume,Variance and Trading Costs in Securities Markets,Review of Financial Studies 3: pp593-624.
Garman, M., 1976, “Market Microstructure”, Journal of Financial Economics 3: pp257-275.
Gemmill, Gordon, 1996, “Transparency and Liquidity: A Study of Block Trades on the London Stock Exchange under Different Publication Rules”, Journal of Finance, vol.51, Dec., pp.1765-1790.
Glosten, L., and P. Milgrom, 1985, “Bid, ask, and transaction prices in a specialist market with heterogeneously informed trader”, Journal of Financial Economics 13: pp71-100.
Grinblatt, M. and Titman, S., 1989, “Mutual fund performance: An analysis of quarterly portfolio holdings”,Journal of Business 62, pp393-416.
Grinblatt, M. and Titman, S., 1993, “Performance Measurement Without Benchmarks: An Examination Of Mutual Fund Returns”, Journal of Business 66, pp47-68.
Grinblatt, M. and Titman, S., 1994, “A Study Of Monthly Mutual Fund Returns And Performance Evaluation Techniques”, Journal of Financial and Quantitative Analysis 29, pp419-444.
Grossman, Sanford and Merton Miller, 1998, “Liquidity and Market Structure?”, Journal of Finance, vol.43, June, pp.617-633.
Grossman S.J., 1990, The Information Role of Upstairs and Downstairs Trading, Working Paper, Wharton School, University of Pennsylvania.
Gruber, 1996, “Another Puzzle: The Growth In Actively Managed Mutual Funds”, Journal of Finance 51, pp783-810.
Hagwan Chowdbry and Vikram Nanda 1991,4, “Multimarket Trading and Market Liquidity” The Rewiew of Financial Studies.
Harris,L.,1986,A Transaction Data Study of Weekly and Intradaily Patterns in Stock Returns,Journal of Financial and Quantitative Analysis 25,pp291-306.
Hasbrouck, Joel, and Robert A.Schwartz, 1988, “Liquidity and Execution Costs in Equity Markets”, Journal of Portfolio Management, Spring, pp.10-16.
Hasbrouck, Joel, 1995, “One security, many market:Determining the contribution to price discovery”, Journal of Finance, 50, 1175-1199.
Henriksson and Merton, 1981, “On market timing and investment performance Ⅱ: Statistical procedure for evaluating skills”, Journal of Business 54, pp513-533.
Henriksson, R. D., 1984, “Market Timing and Mutual Fund Performance: An Empirical Investigation”, Journal of Business, vol. 57 (1), pp73-96.
Ho, T., and H. Stoll, 1981, “Optimal dealer pricing under transactions and return uncertainty”, Journal of Financial Econimics 9: pp47-73.
Ho, T., and H. Stoll, 1981, “The dynamics of dealer markets under competition”, Journal of Finance 38: pp1053-074.
Holden, C.W., and A. Subrahmanyam, 1992, “Long-lived private information and
imperfect competition, Journal of Finance 47: pp247-270.
Huang, Roger D., and Hans R. Stoll, 1992, “The Design of Trading System: Lessons from Abroad”, Financial Analysts Journal, vol.48, pp.49-54.
J. Bradford DeLong, Andrei Shleifer, Lawrence H. Summers, and Robert J. Waldmann, "Positive-Feedback Investment Strategies and Destabilizing Rational Speculation," Journal of Finance 45: 2,pp374-397.
Jegadeesh N. and Titman S., 1993:”Returns to buying winners and selling losers: implications for stock market efficiency” Journal of Finance, 48: pp65-91
Jensen, 1968, “The performance of mutual funds in the period 1945-1964”, Journal of Finance 23, pp389-416.
K.R.French, March 1980,Stock Returns and the Weekend Effect, Journal of Financial Economics.
Jun Muranaga and Tokiko Shimizu 1999 “Market Microstructure and Market Liquidity” BIS,Working paper, Bank of Japan.
Kahneman D. and Riepe M., 1998: “Aspects of investor psychology”, Journal of Portfolio Management, 24: pp52-65.
Kahneman D. and Tversky A., 1973: “On the Psychology of Prediction”, Psychological Review, 80: pp237-251.
Kahneman D. and Tversky A., 1979: “Prospect theory: An analysis of decision under risk”, Econometrica, 47: pp263-291.
Klock, Mark, and D Timothy Mccormick, 1999, “The impack of market-maker competition on Nasdaq spreads”, Financial Rewiew, 34, 55-74.
K.R.French, March 1980,Stock Returns and the Weekend Effect, Journal of Financial Economics.
Kyle, A.S., 1985, “Continuous auctions and insider trading”, Econometrica 53: pp1315-1336.
Kyle, A.S., 1989, “Informed speculation with imperfect comprtition”, Riview of Economic Studies 56: pp317-355.
Kyle,A.S.,1985,Continuous Auctions and Insider Trading,Econometrica 53: pp1315-1336.
Lee C. M., Shleifer A. and Thaler R., 1994:“Investor sentiment and the closed-end fund puzzle” Jounal of Finance, 46: pp75-110.
Lehmann, B. N. and Modest, D. M., 1987, “Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons”, Journal of Finance
42, pp233-265.
Madhavan, Ananth, 1992, “Trading Mechanisms i Securities Markets”, Journal of Finance, vol.47, June, pp.607-641.
Madhavan, Ananth, 2000, “Market microstructure: a survey”, Journal of Financial Markets, 3(3): pp205-258.
Malkiel B., 1977:“The valuation of closed-end investment company shares” Journal of Finance, 32: pp847-859
Maureen O’Hara,1995,《Market Microstructure Theory》,Black Well Publishers Inc,Cambridge.
Nicholas Economide 1993,11, “How to Enhance Market Liquidity” Conference on Global Equity Market
Odean T., 1998: “Are investors reluctant to realize their losses?” Journal of Finance, 53:pp1775-1798.
O.M.Joy, R.H.Litzenberger and R.W.McEnally, Autumn 1977,The Adjustment of Stock Prices to Announcements of Unanticipated Changes in Quarterly Earnings, Journal of Accounting Research,.
Pliska, Stanley R., 1997, Introduction to Mathematical Finance: Discrete Time Models, Blackwell. published.
Roll, 1978, “Ambiguity when performance is measured by the securities market line”, Journal of Finance 33, pp1051-1069.
R.W.Banz, March 1981, The Relationship between Return and Market Value of Common Stock, Journal of Financial Economics.
R.Ball and P.Brown, autumn 1968, An Empirical Evaluation of Accounting Income Numbers, Journal of Accounting Research.
Scholes M., 1972: “The market for securities: Substitution versus price pressure and effects of information on share prices” Journal of Business, 45:pp179-211.
Seppi, D.,1990, Equilibrium Block Trading and Asymmetric Information, Journal of Finance 45,73-79.
Sharpe W. and Alexander G., 1990: “Investments”, 4th edition, Englewood, NJ: Prentice Hall.
Shiller R., 1981: “Do stock prices move too much to be justified by subsequent changes in dividends” American Economic Review, 71:pp421-436.
Shleifer, 2000, “Inefficiaent Market”, charpter5, New York: Oxford University Press.
Shleifer A. and Vishny R., 1990:“Equilibrium short horizons of investors and
firms” American Economic Review Papers and Proceedings, 80:pp148-153
Spiegel, M., and A. Subrahmanyam, 1992, “Informed speculation and hedgeng in a noncompetition securities market”, Review of Financial Studies 5: pp307-330.
Spiegel,M.,and A . Subrahmanyam,1992, “Informed Speculation and Hedging in a Noncompetitive Securities Market”, Review of Financial Studies 5: pp307-330.
Stewart Mayhew 2002, 4, “Competition, microstructure and Bid-ask Spread in the stock option market ”, Journal of Finance.
Stoll, H., 1978, “The supply of dealer services in securities markets”, Journal of Finance 33:pp1133-1151.
Thomas, W.A., 1989, “The securities markets”, Philip Alian Publishers Ltd.
Treynor and Black, 1973, “How to use security analysis to improve portfolio selection”, Journal of Business 46.
Treynor and Mazuy, 1966, “Can mutual funds outguess the market?”, Harvard Business Review 44, pp131-136.
Tversky A. and Kahneman D., 1974: “Judgement under uncertainty: Heuristics and biases” Science, 185:pp1124-1131.
Vikash Bora Ramiah和Sinclair Davidson, 2002, “Behavioural Aspects of Finance: BAPM v/s CAPM & Noise Trader Risk.
Walras, Leon, 1874, Elements of Pure Economics, William Jaffe translation, R.D.Irwin, Homewood, IL, (1954).
Weston James, 2000, “Competition on the Nasdaq and the impack of recent market reform”, Journal of Finance, 55,2565-2598.
中文文献:
戴国强、吴林祥,1999年9月,《金融市场微观结构理论》,上海财经大学出版社。
国信证券研究策划中心课题组,《做市商制度何时引入中国证券市场》,国信证券网站。
李光荣、黄育华 主编,2000年10月,《中国二板市场-创业板市场》,中国金融出版社。
刘红忠,2003年,《金融市场学》,上海人民出版社。
刘海龙,2001年4月,“证券市场微观结构研究综述”,《现代金融研究》。
李蓉 刘喜勤,2000年,“国外OTC市场监管体制的比较研究”,申银万国研
究报告。
刘树成 沈沛,2000年,《中国资本市场前沿理论研究文集》,社会科学文献出版社。
马跃,《美国证券市场》,1989年2月,法律出版社。
上海证券交易所,2001年5月,《中国证券市场研究前沿专题——上海证券交易所联合研究文选第1辑》,商务印书馆出版社。
屠光绍(主编),2000年5月,《交易体制——原理与变革》,上海人民出版社。
屠光绍,2000年《上市制度:比较与演变》,上海人民出版社。
文宗瑜,1998。证券场外交易的理论与事务,人民出版社。
吴冲锋 陈占锋,2002年4月16日,《市场流动性与市场微观结构有关》,上海证券报。
杨之曙,2002年1月,《最小报价单位对证券市场流动性的影响》,人大复印资料“金融与保险”。
杨朝军等,2001年上册,《上海证券市场日内流动性与波动性研究》。
上证联合研究计划。
中国证券业协会2000年重点课题研究报告,2001年1月。《中国证券市场研究前沿问题研究》,中国金融出版社。
周正庆(主编),1998,《证券市场导论》,中国金融出版社。
萧灼基,1994年10月,《中国证券全书》,中国商业出版社。
相关网站:
www.homeway.net.cn
www.gfzr.com.cn
www.mfzq.com.cn
www.sse.com.cn
www.szse.com.cn
www.gxzq.com.cn
www.fxj.com.cn
www.bis.com.org