基于微观结构理论的证券市场可预测性研究
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摘要
资本市场作为现代金融的核心,推动着中国经济的持续快速增长。中国证券市场经历了20年发展,其成熟程度及有效性事关资本市场运行的效率,能影响到整个宏观经济的发展。传统的有效市场理论一般认为市场有效性越强,收益越趋近随机游走,可预测性就越差,所以可预测性可以作为有效性的外在表现。同时可预测性作为市场的一个显性的特征,其本身的相关研究也日趋受到学界的关注。目前我国对市场预测性的研究缺乏科学系统化。研究我国市场可预测性,能在关注市场有效性的同时也能进一步挖掘市场预测本身所包涵的经济意义。本文基于证券市场微观结构理论研究,主要考察证券市场微观结构对证券市场可预测性的影响。本文的研究有助于人们理解通过改进证券交易制度,完善信息披露制度等措施可以优化证券市场微观结构,提高我国证券市场运行效率,为我国证券市场交易体系的完善和我国证券市场的长远发展提供依据。
从证券市场微观结构理论的角度出发,本文的研究主要包括以下三个方面的内容：(1)选取设立涨跌幅限制和实施开放式集合竞价机制这两个正好贯穿中国证券市场成立20年的事件,采用两种多元方差比法对交易机制与市场预测性进行实证研究,结果表明涨跌幅限制的设立在短期可能提高了市场的有效性,使得收益不可预测；开放式集合竞价的实施并没有改善市场有效性,甚至提高了市场收益预测性。交易机制对市场预测性产生了不可忽视的影响。(2)运用LSB模型对上证指数和万科A的信息成本大小进行度量,结果显示万科A的信息成本远低于上证指数。然后运用BP神经网络模型对它们的每分钟收益率分别进行模拟建立网络,进而预测一段时间的收益率,用预测结果与真实收益率进行比较,发现万科A的预测效果远好于上证指数。市场信息的不对称可能提高了市场可预测性。(3)采用GARCH模型来研究中国股票市场的流动性对价格波动的影响,沿用设置涨跌幅限制前后和实施开放式集合竞价机制前后的沪深市场A股收益为样本,结果表明,弱流动性指标有助于解释波动,流动性与可预测性呈负相关。流动性也扮演了一个影响市场预测性的角色。图60幅,表39个,参考文献169篇。
Capital market as the core of modern finance, driving China's sustained and rapid economic growth. China's securities market has experienced20years of development, its maturity and effectiveness of the operation related to the efficiency of capital market running, can affect the overall macro-economic development. The traditional Efficient Markets Theory is generally believed that market efficiency is stronger, the worse predictability is, why return is closer to random walk. So predictability can be used as external performance of the effectiveness. At the same time, as dominant market feature, the research related to predictability also become more heated by scholars. At present, China's research on the market predictability is a lack of scientific systematization. Study of China's market predictability can not only focus in market efficiency, but also further excavate its own economic significance.ListenRead phoneticallyThis paper, based on market microstructure theory, examines the influence on the market predictability by the microstructure of the securities market. This study not only help people understand that improving the securities exchange mechanism and improving the information disclosure system and other measures can optimize the microstructure of securities markets, thereby improve the efficiency of China's securities market, providing a basis of China's securities market Trading system's improvement and long-term development of China's securities market.
From the perspective of securities market microstructure theory, this study include the following three aspects:(1) we select setting price limits and the implementation of the open call auction mechanism which are just two significant events throughout two decades after establishment of Chinese securities market, and use two multiple variance ratio methods to conduct the empirical research of trading mechanisms and market predictability. It is found that setting price limits has perhaps improved the efficiency of the market and made return unpredicted in the short term; the implementation of open call auction has not improved market efficiency, and even improve the predictability of market return. Trading mechanism has produced a unnoticeable influence on market predictability.(2)Using LSB models shipped to measure the size of information costs of the Shanghai Index and Wanke A, results show that the information cost of Wanke A is far less than the Shanghai index. Then we use BP neural network model to simulate their earnings-per-minute rate and establish networks, predicting the rate of return for some time, the predicted results were compared with the real rate of return. It's found that Wanke A owns a better prediction effect than the Shanghai index. Market information asymmetry may cause greater market predictability.(3) We use the GARCH model to study the impact on the Chinese stock market price fluctuations by market liquidity. The selected sample is still the Shanghai and Shenzhen A share market gains before and after the implementation of price limits and open call auction mechanism's setting.The results show that weak liquidity indicators helps to explain volatility. Liquidity has a negative correlation with predictability. Liquidity also plays a role in influencing the market predictability.
从证券市场微观结构理论的角度出发,本文的研究主要包括以下三个方面的内容：(1)选取设立涨跌幅限制和实施开放式集合竞价机制这两个正好贯穿中国证券市场成立20年的事件,采用两种多元方差比法对交易机制与市场预测性进行实证研究,结果表明涨跌幅限制的设立在短期可能提高了市场的有效性,使得收益不可预测；开放式集合竞价的实施并没有改善市场有效性,甚至提高了市场收益预测性。交易机制对市场预测性产生了不可忽视的影响。(2)运用LSB模型对上证指数和万科A的信息成本大小进行度量,结果显示万科A的信息成本远低于上证指数。然后运用BP神经网络模型对它们的每分钟收益率分别进行模拟建立网络,进而预测一段时间的收益率,用预测结果与真实收益率进行比较,发现万科A的预测效果远好于上证指数。市场信息的不对称可能提高了市场可预测性。(3)采用GARCH模型来研究中国股票市场的流动性对价格波动的影响,沿用设置涨跌幅限制前后和实施开放式集合竞价机制前后的沪深市场A股收益为样本,结果表明,弱流动性指标有助于解释波动,流动性与可预测性呈负相关。流动性也扮演了一个影响市场预测性的角色。图60幅,表39个,参考文献169篇。
Capital market as the core of modern finance, driving China's sustained and rapid economic growth. China's securities market has experienced20years of development, its maturity and effectiveness of the operation related to the efficiency of capital market running, can affect the overall macro-economic development. The traditional Efficient Markets Theory is generally believed that market efficiency is stronger, the worse predictability is, why return is closer to random walk. So predictability can be used as external performance of the effectiveness. At the same time, as dominant market feature, the research related to predictability also become more heated by scholars. At present, China's research on the market predictability is a lack of scientific systematization. Study of China's market predictability can not only focus in market efficiency, but also further excavate its own economic significance.ListenRead phoneticallyThis paper, based on market microstructure theory, examines the influence on the market predictability by the microstructure of the securities market. This study not only help people understand that improving the securities exchange mechanism and improving the information disclosure system and other measures can optimize the microstructure of securities markets, thereby improve the efficiency of China's securities market, providing a basis of China's securities market Trading system's improvement and long-term development of China's securities market.
From the perspective of securities market microstructure theory, this study include the following three aspects:(1) we select setting price limits and the implementation of the open call auction mechanism which are just two significant events throughout two decades after establishment of Chinese securities market, and use two multiple variance ratio methods to conduct the empirical research of trading mechanisms and market predictability. It is found that setting price limits has perhaps improved the efficiency of the market and made return unpredicted in the short term; the implementation of open call auction has not improved market efficiency, and even improve the predictability of market return. Trading mechanism has produced a unnoticeable influence on market predictability.(2)Using LSB models shipped to measure the size of information costs of the Shanghai Index and Wanke A, results show that the information cost of Wanke A is far less than the Shanghai index. Then we use BP neural network model to simulate their earnings-per-minute rate and establish networks, predicting the rate of return for some time, the predicted results were compared with the real rate of return. It's found that Wanke A owns a better prediction effect than the Shanghai index. Market information asymmetry may cause greater market predictability.(3) We use the GARCH model to study the impact on the Chinese stock market price fluctuations by market liquidity. The selected sample is still the Shanghai and Shenzhen A share market gains before and after the implementation of price limits and open call auction mechanism's setting.The results show that weak liquidity indicators helps to explain volatility. Liquidity has a negative correlation with predictability. Liquidity also plays a role in influencing the market predictability.
引文
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