摘要
中小企业板是我国多层次资本市场的重要组成部分。作为创业板块的过渡形式,中小企业板能够为创业板的机制建设和运作管理积累经验,降低创业板创立的风险。相对主板而言,中小企业板实行了不同的交易机制和信息披露制度。这种交易机制方面的差异,以及中小企业板股票所具有的流通股本小,流动性低,股价波动水平高的特点必然会对投资者的风险态度和行为特征产生一定的影响。该方面的研究有助于我们更加深入地了解中小企业板,为建立创业板市场积累经验。
本文基于市场微观结构理论框架,运用MRR价差分解模型,以中小企业板中上市满一年以上的股票作为研究对象,将股票价差彻底分解成逆向选择成本和指令处理成本两部分,研究价差及价差各成分与股票收益波动及波动变化的关系,揭示中小板证券投资者的风险态度。
本文的主要结论如下:买卖价差、深度与股票收益的波动水平正相关;买卖价差及成交深度随着波动的上升和下降而扩大和提高;逆向选择成本及逆向选择成本在隐含价差中的比例随着波动的上升和下降而增加;投资者的交易行为不仅对波动敏感,对波动的变化也具有敏感性,波动和波动的变化都是风险较好的衡量指标。
本文的贡献之处体现在:第一,以股票收益的波动及波动的差分作为研究的风险环境,系统地研究了我国中小企业板投资者的风险态度;第二,通过价差分解,研究我国中小板股票指令处理成本与逆向选择成本在隐含价差中的比例,解释价差的成因;第三,研究逆向选择成本比例与波动及波动变化的关系;第四,通过对中小板的研究,为创业板建设提供建议。
The SME board is an important part of the Chinese multi-level capital market. As a transitional form of the GEM, the SME board can accumulate experience of construction and operational management for the GEM, and reduce the risk of the establishment of the GEM. Some different trading mechanisms and information disclosure system which are partly different from the motherboard have been implemented in the SME board. The differences of the trading mechanisms, the characteristics of the stock which are small shares, low liquidity, high level of volatility in the SME board, will affect the investor's risk attitude and behavior. It will help us to go deeply understand the SME board and gain experience for the establishment of the GEM.
Based on the theoretical framework of market microstructure, we use MRR spread decomposition model on the stock listed in the SME board for a year or more and decompose the spread into adverse selection cost and the cost of processing orders. We study the relationship between spread, spread constituents and stock returns volatility and changes in volatility, and reveal the investor risk attitudes in the SME.
The main conclusions are as follows: The bid-ask spread and depth for a stock are positively related to the volatility level of the stock return. The bid -ask spread will widen and the trading depth will arise in response to both increases and decreases in volatility. Adverse selection cost and the proportion of adverse selection cost in SPD will increase when volatilities are increasing and decreasing. The investors' trading behavior is sensitive not only to volatility but also to changes in volatility. The volatility and the change in volatility are better risk measure indicators.
Contributions of the dissertation mainly include the following aspects. First, it systematically studies the Chinese SME board investors' risk attitudes under the risk environment based on volatility and the volatility difference of the stock returns. Second, it studies the proportion of transaction processing cost and adverse selection cost in SPD of the Chinese SME board by decomposing the bid-ask spread, and explains the causes of bid-ask spread. Third, it studies the relations between the proportion of adverse selection cost in SPD and the volatility and the changes in volatility. Fourth, it provides recommendations on GEM .
引文
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