交易前透明度与价格发现效率关系的研究.pdfVIP

交易前透明度与价格发现效率关系的研究∗ -基于开盘集合竞价透明度的研究 李焰，张肖飞 （中国人民大学商学院财务与金融系，北京 100872 ） 摘要：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。 关键词：开盘集合竞价、交易前透明度、价格发现效率、定价误差 Study on the relationship between pre-trade transparency and price discovery efficiency: evidence from open call auction transparency Li Yan, Zhang Xiaofei (School of Business, Renmin University of China, Beijing 100872) Abstract: Open call auction in Shanghai Stock Exchange (SHSE) had change from closed call auction into open call auction on 1st July, 2006. This paper studies the relationship between pre-trade transparency and price discovery efficiency based on this event. The results show that the market in post event is more activity than pre event, and there are more market participants than before, so the liquidity is increased by comparing the mean trading volume, mean trading amount, mean liquid market value and total market value. The most important result is that price discovery efficiency is increased significantly by comparing the coefficient β which was obtained from the pre and post unbiased regression. And so the trading price was more efficiency than before, and enhanced the price discovery. Furthermore, there was significant difference of pricing error between pre and post event through the variance decomposition method, which was a robust test. In other words, the p