金融监管对市场质量和知情交易者的影响  

The Effects of Financial Regulations on Market Qualities and Informed Traders

作　　者：戴晓婷 张捷 蒋勤峰[3] DAI Xiaoting;ZHANG Jie;JIANG Qinfeng(School of Business,Jiangnan University,Wuxi,Jiangsu 214013,China;School of Business,Xi’an Jiaotong-liverpool University,Suzhou,Jiangsu 215028,China;School of Economics,Fudan University,Shanghai 200433,China)

机构地区：[1]江南大学商学院,江苏无锡214013 [2]西交利物浦大学商学院,江苏苏州215028 [3]复旦大学经济学院,上海200433

出　　处：《财经理论与实践》2022年第2期49-57,共9页The Theory and Practice of Finance and Economics

基　　金：国家社会科学基金重大项目(20&ZD117)。

摘　　要：利用一个基于代理的人工股票市场,考察了卖空禁令、涨跌幅限制、交易税和T+1结算周期对市场质量和知情交易者的影响。通过平行测定几个市场程式化事实,将系统校准到真实的金融市场后,发现这四种监管都不同程度地降低了市场波动、价格扭曲和交易量。买卖价差在卖空禁令、交易税和T+1结算周期下增加,但与涨跌幅限制存在非单调关系。当涨跌幅限制政策较为紧时,买卖价差很小,随着涨跌幅限制的放宽,买卖价差增大。一旦市场上不考虑涨跌幅限制,它仍然会下降。此外,在卖空禁令、涨跌幅限制或T+1结算周期的政策下,知情交易者的交易量比例和财富份额均下降。与之相反,交易税给出了相反的结论,即在交易税下,知情交易者的活动百分比增加,他们的盈利能力得到发展。This paper uses an agent-based artificial stock market to investigate the influences of a ban on short-selling,price limits,transaction taxes and T+1 settlement cycle on market qualities and informed traders.After the system is calibrated to real financial markets by replicating several stylized facts,we find that these four regulations all reduce market volatility,price distortion and trading volume by different degrees of reduction.Regarding to bid-ask spread,it increases under a ban on short-selling,transaction taxes and T+1 settlement cycle,while it has a non-monotonic relationship with price limits.Bid-ask spread is very small when the price limit is restricted and it increases as the price limit level is raised.It still decreases once price limits are not considered in the market.We also find that informed traders’ trading volume proportion and their share of wealth decreases under a ban on short-selling,price limits or T+1 settlement cycle.In contrast,transaction taxes give an opposite conclusion,in which the percentage of activities of informed traders increases and their ability to make profits develops under transactions taxes.

关 键 词：知情交易者 基于代理人的建模 卖空禁令 涨跌幅限制 交易税 T+1结算周期 

分 类 号：F830.91[经济管理—金融学]