透明性影响市场定价的机理研究  

The Study on Mechanism of Transparency Effect on Market Pricing

作　　者：许柳英[1] 陈启欢[2] 

机构地区：[1]上海交通大学管理学院,上海200030 [2]上海证券交易所,上海200120

出　　处：《管理科学》2006年第2期83-89,共7页Journal of Management Science

基　　金：国家自然科学基金(70471026)

摘　　要：即时交易行情又称市场透明性,它会吸引交易者的注意力,使交易者的定价决策紧紧跟随行情,从而丧失投资决策的独立性。使用上海证券市场指令数据进行实证,发现大量指令的委托价格都聚集在指令簿揭示窗口内,窗口越窄吸引力越强,价格波动越小吸引力越大,价格波动幅度如果大致在揭示窗口内时,交易者就把这种价格波动理解为噪声。由于即时行情的刷新速度快于交易者的处理能力,损害了市场信息的处理效率,建议每个交易日设定更多的暂停交易时间段,如每隔一个小时暂停15分钟,以提高市场价格形成的有效性。Immediate market information attracting traders＇attention is called as transparency, which enables traders＇ decisions follow market closely, and therefore, the independency of decision is damaged. The test with Shanghai Stock Exchange （SSE） order data shows that a lot of orders cluster inside the limit book window ; and that the more narrow the window is or the smaller the volatility is, the more attractive it is. When the volatility is inside the window, the traders accept the volatility as noise, But if immediate inforroation flashes faster than the ability that traders can handle, it is harmful to market information efficiency, so it is suggested that trading （lay should set more pauses, for example, pause 15 minutes every an hour to improve market price efficiency.

关 键 词：即时行情 指令簿 揭示窗口 指令流 

分 类 号：F830.59[经济管理—金融学]