中国金融学术研究网
CHINA FINANCIAL RESEARCH NETWORK

资本市场--市场微观结构
工作论文
2011-03-10 第3卷 第4期

编: 麻省理工学院斯隆管理学院金融学讲席教授,清华大学经管学院特聘教授。

执行主编: 杨之曙清华大学经济管理学院金融学副教授。


本期目录

交易前透明度与价格发现效率关系的研究

李焰 中国人民大学商学院财务与金融系
张肖飞 中国人民大学商学院财务与金融系

When Noise Trading Fades, Volatility Rises

郦金梁 清华大学金融系

Block Trades on the Shanghai Stock Exchange

Longzhen Fan Fudan UniversitySchool of Management
Bill Hu Arkansas State UniversityCollege of Business
Christine Jiang The University of MemphisFogelman College of Business and Economics

Should Liquidity Risk be Priced on the Chinese Stock Market?

Paresh Kumar Narayan Deakin UniversitySchool of Accounting, Economics and Finance
Xinwei Zheng Deakin UniversitySchool of Accounting, Economics and Finance
Susan Sharma Deakin UniversitySchool of Accounting, Economics and Finance

Asymmetric Information and Market Collapse:Evidence from the Chinese Market

Paresh Kumar Narayan, Deakin UniversitySchool of Accounting, Economics and Finance
Xinwei Zheng Deakin UniversitySchool of Accounting, Economics and Finance
Susan Sharma Deakin UniversitySchool of Accounting, Economics and Finance


论文摘要

交易前透明度与价格发现效率关系的研究

李焰中国人民大学商学院财务与金融系
张肖飞 中国人民大学商学院财务与金融系

上海证券交易所于2006年7月1日开盘由封闭式集合竞价转为开方式集合竞价,文章以此开盘集合竞价透明度提高事件研究交易前透明度与价格发现效率之间的关系。研究发现:从事件前后的平均交易量、交易金额、流通市值和总市值对比看出事件后市场比较活跃,有更多的投资者参与,增加了市场的流动性。事件前后无偏回归结果系数β的比较分析表明交易前透明提高以后价格发现效率明显提高,交易价格更加有效,促进了价格发现。进一步运用基于方差分解方法得到的定价误差在事件前后也呈现显著性差异,即事件后的定价误差显著小于事件前的,这证明交易前透明度提高以后交易价格偏离有效价格的程度变小,进一步证明事件后价格发现效率确实提高。最后得出文章研究结论,交易前透明度提高以后价格发现效率显著提高。这进一步充实了交易前透明度研究的文献,同时对政策制定者提供了很好的参考价值,更对东亚新兴资本市场证券交易机制设计具有借鉴意义。

When Noise Trading Fades, Volatility Rises

郦金梁 清华大学金融系

We hypothesize and test an inverse relationship between liquidity and price volatility derived from microstructure theory. Two important facets of liquidity trading are examined: thickness and noisiness. As represented by expected volume (thickness) and realized average commission cost per share (noisiness) of NYSE equity trading, both facets are found negatively associated with ex post and ex ante price volatilities of the NYSE stock portfolios and the NYSE composite index futures. Furthermore, the inverse association between volatility and noisiness is amplified in times of market crisis. The overall results demonstrate that volatility increases as noise trading declines. All findings retain statistical significance and materiality after controlling for a number of specifications. This inverse liquidity-volatility relationship reflects a microstructure interpretation of the liquidity risk premium documented in the asset pricing literature.

Block Trades on the Shanghai Stock Exchange

Longzhen Fan Fudan UniversitySchool of Management
Bill Hu Arkansas State UniversityCollege of Business
Christine Jiang The University of MemphisFogelman College of Business and Economics

Using block trades data on the Shanghai Stock Exchange (SSE) from 2003 – 2009, we study the pricing mechanisms of block buys and sells. We show that block trades are priced at discount (premium) for sells (buys). The discount/ premium varies depending on the characteristics of the stocks traded, the complexity of the trades, and also on whether the trades are internalized. We also study permanent and temporary price impact of the trades. As expected, seller-initiated trades do not seem to be information related as there is no significant information content. On the contrary, the prices decline after buyer-initiated trades, suggesting that buyers do not possess private information which leads to a permanent shift in prices. Temporary price impacts of all trades are large in magnitude and statistically significant, reflecting compensation for locating counterparties and the cost of negotiating terms. This suggests that the information platform on SSE for locating counterparties is yet to be fully developed to help reduce the transaction cost of block trades.

Should Liquidity Risk be Priced on the Chinese Stock Market?

Paresh Kumar Narayan Deakin UniversitySchool of Accounting, Economics and Finance
Xinwei Zheng Deakin UniversitySchool of Accounting, Economics and Finance
Susan Sharma Deakin UniversitySchool of Accounting, Economics and Finance

If liquidity or illiquidity shocks reduce returns, then such risks need to be priced. The goal of this paper is to examine whether liquidity or illiquidity shocks increase or decrease returns on the Shanghai and Shenzhen stock exchanges. Our measure of illiquidity is the widely used Amihud’s (2002) ILLQ measure, and we proxy liquidity with the trading volume (TV), the turnover rate (TR), and the trading probability (TP). Using daily data for the period 1993 to 2003, we find weak evidence of the illiquidity shock having a negative effect on returns on both exchanges, and while greater cases of a positive effect of liquidity factors on returns is documented, very few of these are statistically significant. Hence, contrary to the extant literature, we find weak evidence in favour of pricing liquidity on the Chinese stock market.

Asymmetric Information and Market Collapse:Evidence from the Chinese Market

Paresh Kumar Narayan, Deakin UniversitySchool of Accounting, Economics and Finance
Xinwei Zheng Deakin UniversitySchool of Accounting, Economics and Finance
Susan Sharma Deakin UniversitySchool of Accounting, Economics and Finance

In this paper, using data for the period January 1995 to May 2009 for the Shanghai stock exchange (SHSE), we show that aggregate illiquidity is a priced risk factor. We develop the relationship between the illiquidity factor, asymmetric information, and market collapse. Our empirical results show that while the illiquidity factor is a source of asymmetric information on the SHSE, asymmetric information does not trigger a market collapse.


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