中国股票市场开放式集合竞价对波动性影响的实证研究  

The Effect of Open Call Auction on Chinese Stock Market Volatility

作　　者：许香存[1] 李平[1] 曾勇[1] 

机构地区：[1]电子科技大学管理学院,四川成都610054

出　　处：《金融研究》2007年第07A期151-164,共14页Journal of Financial Research

基　　金：教育部新世纪优秀人才支持计划(教技函[2005]35号);教育部优秀青年教师资助计划(教人司[2003]355号);电子科技大学中青年学术带头人+创新团队支持计划;电子科技大学青年科学基金重点项目资助。

摘　　要：透明度是股票市场交易机制设计中一个非常重要的方面,合理的透明度能够改善交易者的信息结构,提高成交价的信息效率。从2006年7月1日起,中国股票市场开始采用开放式集合竞价开盘,开盘竞价的透明度明显提高。本文运用上海A股股票的交易数据,对开盘竞价透明度提高前后的价格变化进行了实证分析,主要检验了从开盘到连续竞价的价格变化、连续竞价开始后15分钟内的市场波动性。实证结果表明:开盘竞价的透明度提高之后,由开盘到连续竞价价格变化的幅度明显减小,连续竞价开始后15分钟内的价格波动率也减少。进一步,根据价格随着信息的变化而进行调整的过程,我们得到开盘竞价透明度增加能够提高开盘竞价收集信息的功能,稳定连续竞价市场的结论。Transparency is an important part of designing trading mechanism in the stock market. The reasonable transparency can improve composition of the traders＇ information and enhance efficiency of the price. On July 1, 2006, the main securities market use opening-call-auction for discovering opening price in China, which dramatically increased stock market＇s transparency. Using transactions data for A-Share stocks in Shanghai stock market, this paper studies whether there is an observable change of stock market volatility after the transparency of opening auction increased, which mainly involves the change of price from opening auction to continuous auction and market volatility within 15 minutes after continuous trading. The results indicate that the extent of the price＇s change from opening auction to continuous auction and market volatility within 15 after continuous trading are dramatically reduced after the transparency of opening auction increased. According to the effect of transparency on informed traders＇ decision of submitting orders, we can drown a conclusion that enhancing the transparency of opening auction can improve the function of the opening progress collecting information and help to stabilize continuous trading market.

关 键 词：封闭式集合竞价 开放式集合竞价 透明度 事件研究法 市场波动性 

分 类 号：F832.51[经济管理—金融学]