INSTITUTE FOR MONETARY AND ECONOMIC STUDIES BANK OF JAPAN
INSTITUTE FOR MONETARY AND ECONOMIC STUDIES BANK OF JAPAN
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日本银行货币经济研究所
DOI：
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发表时间：
1999
期刊：
影响因子：
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通讯作者：
Tokiko Shimizu
中科院分区：
文献类型：
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作者：
Jun Muranaga;Tokiko Shimizu
本文利用人工市场的模拟模型探讨了影响市场流动性的因素。我们首先考察市场流动性的定义，并讨论市场流动性与市场效率或稳定性之间的关系。然后我们考虑连续拍卖市场并讨论影响市场流动性的因素。结合讨论，我们构建了一个人工市场模型并进行了各种模拟。我们发现，随着短期市场价格变动，市场参与者比例的增加会导致交易数量增加，同时累计订单流量减少。当市场参与者平均变得更加厌恶风险时，市场流动性就会减少。当市场参与者对未来价格的预期失去信心时，市场流动性就会急剧下降。交易者对市场信息敏感度的变化影响市场流动性，但市场各种流动性指标并不一定朝同一个方向变化。这些结果表明，市场流动性指标的变化可能并不总是一致的。 * 日本银行货币与经济研究所和金融市场部（电子邮件：jun.muranaga@boj.or.jp、tokiko.shimizu@boj.or.jp）本文是全球金融体系委员会（由十国集团中央银行行长设立的中央银行论坛）成立的市场流动性研究小组研究工作的一部分。国际清算银行将该小组的成果发布为“市场流动性：研究结果和选定的政策影响”报告。该报告可在 BIS 网站 (http://www.bis.org) 上获取。本文表达的观点仅代表作者的观点，并不一定代表日本央行、全球金融体系委员会或国际清算银行的观点。
This paper explores the factors affecting market liquidity using a simulation model of an artificial market. We first survey definition of market liquidity and discuss the relationship between market liquidity and market efficiency or stability. We then consider a continuous auction market and discuss factors affecting market liquidity. Incorporating the discussion, we construct an artificial market model and conduct various simulations. We find that an increase in the ratio of market participants following short-term market price movements results in an increase in the number of trades and at the same time a decrease in the volume of accumulated order flows. When market participants become more risk-averse on average, market liquidity decreases. A precipitous decrease in market liquidity results when market participants lose confidence in their expectations on future prices. Changes in the sensitivities of traders to market information affect market liquidity, but various market liquidity indicators do not necessarily move in the same direction. These results suggest that change in market liquidity indicators may not always be consistent. * Institute for Monetary and Economic Studies, and Financial Markets Department, Bank of Japan (E-mail: jun.muranaga@boj.or.jp, tokiko.shimizu@boj.or.jp) This paper is a part of the research effort of the study group on market liquidity established by the Committee on Global Financial System, a central bank forum established by the Governors of the G-10 Central Banks. The Bank for International Settlements has published the group’s output as a report on “Market Liquidity: Research Findings and Selected Policy Implications.” The report is available on the BIS web site (http://www.bis.org). Views expressed in this paper are those of the authors and not necessarily those of the Bank of Japan, the Committee on the Global Financial System, or the Bank for International Settlements.