集合竞价交易制度对我国新三板流动性的影响研究
Research on the influence of call auction mechanism on the liquidity of the New OTC market
新三板自诞生以来通过不断地扩容与改革，成为我国多层次资本市场的不可缺失的一部分，但新三板市场流动性不足的问题愈发凸显。2018年1月15日起，新三板盘中交易由协议转让调整为集合竞价，试图通过交易机制的改变来改善新三板市场流动性差的状况。本文以金融市场微观结构理论为基础，分析了集合竞价交易制度的引入对市场流动性的影响效应，并利用换手率和买卖价差指标对股票流动性进行量化，加入政策虚拟变量和时间虚拟变量进行实证检验。本文发现集合竞价交易制度对新三板市场股票流动性的净效应为负，即集合竞价交易制度显著减弱了新三板市场股票的流动性。
hrough continuous expansion and reform, the new OTC market has become a very important part of multi-level capital market of China. but the problem of insufficient liquidity in the New OTC market has become more prominent.The intraday trading of New OTC market was adjusted from negotiating transfer to call auction mechanism from January 15, 2018, in an attempt to improve the illiquidity by changing the trading mechanism. This thesis analyzes the influential effect of the call auction mechanism on market liquidity from the angle of market microstructure theory, and selects the turnover and bid-ask spread as the indicators to measure stock liquidity, adding policy dummy variable and time dummy variable to make an empirical test. The result shows: the net effect of the call auction mechanism on stock liquidity is negative, that is, the introduction of the call auction mechanism by the New OTC market has significantly weakened the stock liquidity in the New OTC market.
乔海曙、彭雨婷
财政、金融
新三板市场集合竞价交易制度流动性双重差分法倾向匹配得分
New OTC Marketall Auction MechanismLiquidityifference-In-Differences ModelPropensity-matched Analysis
乔海曙,彭雨婷.集合竞价交易制度对我国新三板流动性的影响研究[EB/OL].(2019-05-07)[2025-08-03].http://www.paper.edu.cn/releasepaper/content/201905-69.点此复制
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