论文部分内容阅读
证券交易的执行成本是信息不对称和市场供需不均衡时投资者买卖证 券的风险补偿,是资产定价和市场微观结构的重要研究课题。为此,本文对国外 做市商制度下股票执行成本与预期收益理论加以利用和创新,构建出符合我国股 市交易制度现状的执行成本与资产定价模型,并提出新颖的“预期收益与执行成 本非线性”假设,在此基础上使用交易数据对假设进行实证检验发现,对于我国 股市流动性大且执行成本小的资产,其预期收益是相对买卖价差的凹性增函数, 而对于流动性小且执行成本大的资产,其预期收益是相对买卖价差的凸性增函数。 因此,在指令驱动交易制度下,预期收益是执行成本的分段凸性和整体非线性凹 凸增函数。
The execution cost of securities transaction is the risk compensation of investors buying and selling securities when information asymmetry and market supply and demand are not balanced. It is an important research topic of asset pricing and market microstructure. Therefore, this paper makes use of and innovates the theory of stock execution cost and expected return under the foreign market-maker system and constructs the execution cost and asset pricing model that accord with the current situation of the stock market transaction system in our country and puts forward the novel “expected return and execution cost Non-linear ”hypothesis. Based on this, we use the transaction data to empirically test the hypothesis. It is found that the expected return is a concave increasing function of the relative bid-ask spread for assets with large liquidity and low execution cost in our country’s stock market. Small and high cost of implementation of the assets, the expected return is a relative increase in the spread of the spread function. Therefore, under the instruction-driven trading system, the expected return is the piecewise convexity of the execution cost and the overall nonlinear asymptotic gain.