摘要
信息对金融市场的资产价格发现行为具有直接影响和决定意义,但是金融市场上的信息很难达到完美和完全的状态,因此,基于非对称信息理论研究证券市场资产价格行为是金融市场微观结构理论的核心内容。本文在金融市场微观结构理论视角下基于非对称信息理论研究我国股票市场的资产价格行为,从理论和实证角度分析了非对称信息对证券市场中资产价格行为的决定作用。全文从五个方面进行了分析探讨:
1、非对称信息对我国证券市场资产价格行为影响的实证揭示。首先,利用MRR模型,采用GMM估计方法,从流动性和波动性两个方面揭示了我国证券市场资产价格行为的日内模式,并从信息不对称角度解释了证券市场资产价格行为日内模式产生的原因;随后,以公开市场操作作为宏观信息的代表,进一步从信息不对称程度和流动性成本两个角度考察了宏观信息这类公开信息对股票市场交易行为的影响;最后,从我国证券市场存在最小报价单位的实际情况着眼,建立考虑价格离散性和收益率条件方差时变性的价格离散选择Probit模型,研究交易时间间隔、订单流、交易量变化等交易信息对股票价格变化的作用。
2、我国证券市场非对称信息结构特征及对价格发现过程影响的实证分析。在分析了非对称信息对资产价格行为影响的重要性后,我们给出非对称信息结构的概念,并对国内外相关研究历程和衡量方法进行评述;其次,利用高频交易数据和公司财务数据建立适合我国实际情况的研究模型,实证描述我国股票市场的非对称信息结构特征;最后,通过考察非对称信息结构对不同类型交易冲击的影响,揭示我国证券市场中非对称信息结构对价格发现过程的实际影响。
3、基于订单驱动市场的特定非对称信息结构下证券市场资产价格均衡研究。依据我国证券市场订单驱动连续竞价的交易机制建立理论模型,研究特定非对称信息结构下订单驱动市场中资产价格的形成过程及信息结构对资产价格形成过程的影响;随后,基于我国证券市场的一般情况,对理论模型结论进行数值分析,并依据数值分析结论提出假说;最后,通过我国股票市场高频交易数据实证检验所提假说的正确性。
4、我国证券市场中基于信息的市场操纵行为理论研究。首先,在非对称信息条件下,建立符合我国市场投资者类型和融资融券限制的知情交易者市场操纵模型。通过引入融资、融券保证金限制,分析了以“庄家”为代表的知情交易者、以基金和QFII等机构投资者为代表的被动型理性交易者和以中小散户为代表的半理性噪音交易者的交易策略,从而给出了市场操纵各期的均衡结果;随后,进一步分析了融资融券保证金限制、半理性噪音交易者理性程度以及似真信号准确性对均衡结果的影响。
5、金融衍生品存在条件下证券市场内和证券市场间信息传导机制及跨市场监管研究。以金融市场微观结构理论和信息经济学为基础,结合股指期货和股票市场的风险关联特性,研究信息在股指期货和股票市场内及市场间传导的一般规律;以此为基础,分析比较了海外证券市场跨市场信息监管具体运作体系,并结合我国证券市场特殊性提出我国股票市场和股指期货市场跨市场信息监管框架、流程和以跨市场信息监管为核心的监管手段。
It is asymmetric information that is one of the most important contents of finance. On the perspective of financial markets microstructure, based on the asymmetric information theory, asset price behavior in Chinese market is analyzed though the theoretical analysis and empirical testing. The paper includes five aspects:
1. Empirical research of asset price behavior in China's securities market. Based on the information model of order-driven market, the intraday characteristics of the liquidity and volatility of Chinese stock market are studied from the viewpoint of asymmetric information. Then, based on MRR structural model and generalized method of moments (GMM) estimation, the impact of the announcement of open market operations on the behavior of stock market is studied from two aspects, namely, the asymmetric information and the cost of liquidity. At last, based on the principle of ordered Probit model, the discrete price choice Probit model is built. The characteristics of the price behavior in Chinese stock market are estimated with a view to the price discreteness.
2. Empirical research of information structure and price discovery in China's securities market. First, we give the concept of information structure and review the research process and measurement methods. Then, the Chinese market information structure features is inspected. Finally, the influence of information structure on different types of trading impaction is researched.
3. Theoretical research of information structure and asset price equilibrium in order-driven marke. Based on the order-driven continuous security market, information structure and differences of opinion, the sequential trading model that researches on the formation process of asset price and on influences of each factor of information structure on price formation is presented.
4. The research of stock price manipulation through Information in Chinese Stock Marke. The model of stock price manipulation in Chinese stock market though private information is found. Conditional on restriction of financing and security loan, trading strategies of informed traders, passive rational investors and semi-rational noise traders are analyzed, and the equilibriums of stock manipulation in different periods are obtained. What’s more, influences of restriction of financing and security loan, the extent of ration of semi-rational noise trades and precision of signal closer to truth on stock market are discussed. At last, some advices are presented.
5. International comparison and reference of cross-market information monitoring mechanism. After the introduction of stock index futures, cross-market financial monitoring needs to be resolved. Based on financial market microstructure theory and information economics, the basis principle of information transmission between stock index future market and stock market is researched, according with characteristics of risk correlation in these markets. Then, the influence of cross-market information monitoring mechanism on information transmission is analyzed. Consequently, the framework, process and methods of information monitoring mechanism in China is found, based on characteristics of Chinese security market and experience of information monitoring of oversea security markets.
引文
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