Time varying price discovery of the New Third Board market in China: does the market-making system help?
Time varying price discovery of the New Third Board market in China: does the market-making system help?
复制标题
中国新三板市场的时变价格发现：做市制度有帮助吗？
DOI：
10.1080/00036846.2019.1602711
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发表时间：
2019-04
影响因子：
2.2
通讯作者：
Li Weiping
中科院分区：
文献类型：
--
作者：
Qiao Gaoxiu;Zhao Pengfei;Li Weiping
摘要本文研究了做市商制度是否有助于提高我国新三板市场的价格发现能力。本文首先估计了时变系数误差修正模型，然后应用公因子权重法量化了时变价格发现贡献，最后探讨了交易量和波动性对价格发现贡献的影响。实证结果表明，由于误差修正项，两个市场的均衡价格调整幅度和方向都具有时变特征。上证综指、深证成指和中小板指在价格发现方面处于领先地位，而创业板指在价格发现方面处于领先地位。成交量和波动性对价格发现贡献有显着影响。非关税壁垒的贡献与其自身的交易活跃度正相关，与沪深股市的交易活跃度负相关，与沪深股市的波动性负相关。相比之下，深证成指的交易活跃度和创业板指数的波动性对非关税壁垒市场贡献的负面影响最大。作为我国多层次资本市场的重要组成部分，非关税壁垒市场的定价机制有待进一步完善。
ABSTRACT This paper examines whether the market-making system helps to improve the price discovery ability of New Third Board (NTB) market in China. We first estimate the time-varying coefficients error correction models, then apply common factor weight method to quantify the time-varying price discovery contributions, and finally explore the impacts of trading volume and volatility to price discovery contributions. Empirical results show that both markets have time-varying characteristic in terms of the magnitudes and directions of the equilibrium price adjustment due to error correction term. The Shanghai Composite Index, SZSE Component Index, and SME Index are found to lead in price discovery, while NTB exhibits the leadership on the GEM Index. Volume and volatility have significant influence on the price discovery contribution. The NTB contribution is positively related to its own trading activity, negatively related to the trading activity of Shanghai and Shenzhen stock markets, while negatively correlated with the volatility of both markets. In comparison, trading activity of SZSE Component Index and volatility of GEM Index have the greatest negative impacts on the contribution of NTB market. As an important part of China’s multi-level capital market, the pricing mechanism of the NTB market needs further to be improved.
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影响因子：
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