摘要
科创板自开市以来得到了市场参与者的广泛关注.前10个交易日内,科创板的股票价格全部翻倍.科创板的交易机制采用T+1制度,上市后前5个交易日不设涨跌幅限制,上市5个交易日后,涨跌幅限制为20%.科创板的推出对于我国股票市场质量产生了哪些影响?文章采用多主体建模方法构建符合我国真实市场的人工股票市场模型,模拟科创板的运行机制,从价格发现效率、流动性、波动性三方面衡量股票市场质量.研究结果表明,相比于主板,科创板交易制度提高了市场的价格发现效率,降低了市场流动性,加剧了市场波动.
Sci-Tech innovation board has received extensive attention from market participants since its opening.Within the first 10 trading days,the stock price of Sci-Tech innovation board all doubled.The trading mechanism of Sci-Tech innovation board adopts the T+1 trading mechanism.There is no price limit in the first 5 trading days,and the price limit is 20%after the first 5 trading days.What effect did the introduction of Sci-Tech innovation board have on the quality of China’s stock market?This paper adopts multi-agent modelling to build an artificial stock market model in line with China’s real market,simulates the trading mechanism of Sci-Tech innovation board,and measures the quality of the stock market from three aspects:Price discovery efficiency,market liquidity and market volatility.The results show that compared with the main board,the trading system of Sci-Tech innovation board improves the price discovery efficiency of the market,reduces market liquidity,and exacerbates market fluctuations.
作者
梁睿
董纪昌
贺舟
刘颖
LIANG Rui;DONG Jichang;HE Zhou;LIU Ying(School of Economics and Management,University of Chinese Academy of Sciences,Beijing 100190,China;Key Laboratory of Big Data Mining and Knowledge Management,Chinese Academy of Sciences,Beijing 100190,China)
出处
《系统工程理论与实践》
EI
CSSCI
CSCD
北大核心
2022年第1期76-83,共8页
Systems Engineering-Theory & Practice
基金
国家自然科学基金应急管理项目(71850014)
国家自然科学基金重点项目(71532013)
国家自然科学基金面上项目(71871210)
中国科学院大学优秀青年教师科研能力提升项目。
关键词
科创板
多主体建模
人工股票市场
涨跌幅限制
Sci-Tech innovation board
multi-agent modelling
artificial stock market
price limit
