我国多层资本市场体系限价交易制度研究  

Design of Trading Mechanism of Multi-layer Capital Market System in China

作　　者：李腊生[1] 耿晓媛[2] 张烨[3] 

机构地区：[1]天津财经大学中国经济统计研究中心 [2]黑龙江八一农垦大学会计学院 [3]天津大学

出　　处：《统计研究》2015年第4期59-67,共9页Statistical Research

基　　金：国家社科基金项目"资产价格波动与金融脆弱性互动机制研究"(批准号:11BJY140)的资助

摘　　要：本文从我国多层资本市场实际运行状况出发,从实证分析的角度考察了我国多层资本市场各自的风险特征,分析了市场间收益与风险的替代关系,并依据不同市场的层级关系,在探讨我国多层资本市场对称性交易机制设计的基础上,通过对主板市场、中小板市场和创业板市场运行非对称效应的经验分析,进一步探讨了我国多层资本市场体系的非对称交易机制设计,提出了一套完善我国多层资本市场体系涨跌幅限价交易制度的系统优化方案。Based on the actual operating conditions of the multi-layer capital market in China this article empirically examines the risk characteristics, and analyzes the substitution of benefits and risks between markets. On the basis of the hierarchical relationships between different markets, it explores the symmetry trading mechanismof the multi-layer capital market in China. It empirically analyzes the running asymmetric effect of the Main-Board Market, the small and mediumsized market, as well as the Growth Enterprise Market, and puts forward a set of optimization plans for perfecting the multilayer capital market system with price limit trading system in China.

关 键 词：多层资本市场体系 涨跌幅限价交易制度 非对称性效应 蒙特卡罗模拟 

分 类 号：C812[社会学—统计学]