摘要
证金公司以"准做市商"的角色入市,对缓解中国股票和股指期货市场自2015年6月15日起的快速暴跌发挥了重要作用。引入做市商报价机制,构建混合交易机制有助于降低成交价格与真实价值的偏差,保持股指期货市场平稳运行。通过一个股指期货市场交易实验,在做市商报价机制、连续竞价机制和混合交易机制三种实验情景下,检验不同交易机制对沪深300指数期货市场买卖报价价差、成交价格偏差和成交量的影响。研究发现:混合交易机制下股指期货合约的买卖价差、标准差均最小,报价次数和成交量均最大,但是股指期货成交价格与真实价值之间的偏差,介于做市商报价机制和连续竞价机制之间。因此,建议我国股指期货市场盘中交易过程在现有连续竞价机制的基础上,引入竞争性做市商报价机制,构建混合交易机制,有助于缩小股指期货合约的买卖价差,降低投资者的交易成本,提高股指期货市场的流动性和价格发现效率。
China Securities Finance Corporation Limited as a quasi-market maker who has gone into Chinese Stock and Index Futures Markets has played an important role in easing the rapid collapse of Chinese Stock and Index Futures Markets since June 15,2015.Then introducing market maker mechanism to establish hybrid trading mechanism can promote price discovery,reduce the deviation between transaction price and true value,stable stock index futures market.In this paper,through an experiment about stock index futures market,three kinds of experimental situations,which are continuous auction mechanism,market maker mechanism and hybrid trading mechanism,test the influence of different trading mechanisms on the 300 index futures market bid-ask spread,price deviation and volume.The research found that under the hybrid trading mechanism,the bid-ask spread and standard deviation is the smallest,the number of quotation is the most,and the trading volume is the largest.The deviation between the transaction price and real value of stock index futures contract in the hybrid trading mechanism is between the market maker mechanism and continuous auction mechanism.Therefore,it suggested that China’s stock index futures market in the trading process on the basis of continuous auction mechanism,introduce competitive market maker mechanism,to build a hybrid trading mechanism,which can help to reduce the bid-ask spread,investors’ transaction costs,improve the liquidity and price discovery efficiency of stock index futures market.
出处
《系统工程》
CSSCI
北大核心
2017年第8期1-18,共18页
Systems Engineering
基金
国家自然科学基金资助项目(71173166
71373202
71671138)
关键词
做市商报价机制
连续竞价机制
混合交易机制
股指期货
Market Makers Mechanism
Continuous Auction Mechanism
Hybrid Trading Mechanism
Stock Index Futures
