中国新三板市场阶段性集合竞价制度的价格发现研究

市场微观结构理论表明交易机制对资产价格的形成过程具有重要影响。本文以中国新三板交易机制改革为背景,从理论上分析了阶段性集合竞价制度的市场出清过程。阶段性集合竞价制度的核心在于市场出清时间间隔的设定。本文构建了一个存在信息摩擦和知情交易者学习机制的集合竞价市场出清模型,讨论了市场出清时间间隔对价格发现效率、资产价值不确定性和流动性风险的影响。研究发现:(1)在完美信息条件下,如果对市场规模较大和价值波动率较高的资产设定较短的市场出清时间间隔,将会降低投资者的流动性风险,提升市场质量;(2)在不完美信息条件下,除市场规模和资产价值波动率之外,信息不对称程度和知情交易者比例也是影响最优市场出清频率的重要因素;(3)在不完美信息条件下,对价值波动率较低的资产缩短市场出清时间间隔才能降低流动性风险,这与完美信息条件下的结论相反。

Price Discovery of the Periodic Auction Mechanism in the Chinese New Three Board

The theory of market microstructure indicates that the transaction mechanism has an important influ-ence on the formation process of asset price.In this paper,we explore how periodic auction affects price discov-ery process against the backdrop of transaction mechanism reform of the Chinese New Three Board.The key of the periodic auction system lies in the setting of market clearing time interval.We develop a theoretical model to study how clearing frequency affect the liquidity risk,the price discovery efficiency and the uncertainty of asset value considering information friction and Bayesian learning process of informed traders.We find that:(1)Under the condition of perfect information,setting a short market clearing time interval would reduce the liquidity risk of investors and improve the quality of the market when the market scale is larger or the volatility of asset value is higher.(2)Under the condition of imperfect information condition,the optimal clearing frequency depends on the degree of information asymmetry and the ratio of informed traders except for market scale and volatility of asset value.(3)Under the condition of imperfect information condition,setting a short market clearing time interval would reduce the liquidity risk of investors when the volatility of asset value is lower,which is in contrast with the condition of perfect information.