The Microstructure of Secondary Securities Markets: A Comparative Historical Perspective

二级证券市场的微观结构：比较历史的视角

• 批准号: 9906164
• 负责人: Lance Davis
• 金额: $ 28.82万
• 依托单位: National Bureau of Economic Research Inc
• 依托单位国家: 美国
• 项目类别: Continuing Grant
• 财政年份: 1999
• 资助国家: 美国
• 起止时间: 1999-07-15 至 2005-06-30
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=9906164&HistoricalAwards=false
• 关键词: Microstructure; Secondary; Securities; Markets; Comparative

We propose examining the results of a natural experiment run by the world's leading stock exchanges from 1801 to 1971. In this period, the formal securities markets of London, New York, and Paris traded a broad set of similar securities while operating under distinctively different rules for governing their trading procedures and the flows of information among participants-what we call today the market's microstructure. We will combine a comparative with an historical analysis to assess the differential impact of alternative microstructures adopted by these markets, and to determine how and why they evolved. While the microstructures of established contemporary markets in the US, Britain, Europe, and Japan have been studied intensively, it is still not clear how market rules evolve and perform over long periods of time in different countries. In our study, we examine the effects of financial crises, war finance, changes in monetary regimes, improved communications technology, and the rise of new industries on the first emerging markets-London, Paris, and New York-from their formal beginnings at the beginning of the nineteenth century. By exploring how these earlier markets met precisely the challenges confronting regulators and practitioners in emerging markets today, we hope to show which forms of microstructure are most robust with respect to different legal, political, and financial systems. The time span covered by our natural experiment encompasses three distinct epochs, each one capable of yielding distinctive insights relevant to today's emerging markets. In the first period, 1801 to 1880, the three markets dealt with the problems of war and postwar finance on a massive scale. The transition economies emerging today from the economic rigors of the Cold War have much in common with the new nations that arose in Latin America and continental Europe in that much earlier period. The classic gold standard period of 1880-1914 was a period when a largely free international capital market emerged. The innovative products created in that period resemble in intent and effect many of the financial products that have been developed in past decades to minimize exchange rate risk, country risk, and interest rate risk. The years from 1914 to 1971 saw for all intents and purposes the abolition of free international capital markets. As individual governments respond differentially to the shocks of the global capital market today, we may expect to see many similar initiatives to constrain both capital movements and speculative activity. Economic theory helps to assess the likely impacts on trading behavior given the different incentives and quality of information that can be generated by alternative microstructures. What is missing to date is a systematic analysis of the impact of different microstructures on capital markets operating under alternative regulatory and legal environments. By contrast with the brief experience guiding practitioners and students of today's emerging markets, we are able to specify the evolving microstructures of each market and assess their effects on market liquidity, efficiency, trading costs, and volatility over the course of a century and three-quarters. The results of our project will be useful to practitioners, regulators, and researchers confronting the problems of designing securities markets both in the transition economies and in the less developed areas of the world, not to mention redesigning markets in the advanced economies.

我们建议研究1801年至1971年世界主要证券交易所进行的自然实验的结果。在这一时期，伦敦、纽约和巴黎的正式证券市场交易着大量类似的证券，但在管理交易程序和参与者之间信息流动的规则上却截然不同--我们今天称之为市场的微观结构。我们将结合联合收割机的比较与历史分析，以评估这些市场所采用的替代微观结构的差异影响，并确定它们是如何演变的，以及为什么演变。虽然美国、英国、欧洲和日本的现代市场的微观结构已经得到了深入的研究，但市场规则在不同国家的长期发展和表现仍然不清楚。在我们的研究中，我们研究了金融危机、战争财政、货币制度的变化、通信技术的改进以及新兴产业的兴起对第一批新兴市场（伦敦、巴黎和纽约）的影响，这些新兴市场从世纪初正式开始。通过探索这些早期的市场如何准确地应对当今新兴市场监管者和从业者所面临的挑战，我们希望展示出，在不同的法律的、政治的和金融体系中，哪种形式的微观结构最为稳健。 我们的自然实验所涵盖的时间跨度包括三个不同的时代，每个时代都能够产生与当今新兴市场相关的独特见解。在第一阶段，即1801年至1880年，三个市场大规模地处理战争和战后金融问题。今天从冷战的经济困境中出现的转型经济体与更早时期在拉丁美洲和欧洲大陆出现的新国家有许多共同之处。1880年至1914年的经典金本位时期是一个基本上自由的国际资本市场出现的时期。这一时期创造的创新产品在意图和效果上与过去几十年开发的许多金融产品相似，以最大限度地降低汇率风险，国家风险和利率风险。从1914年到1971年，自由国际资本市场被废除。由于各国政府对当今全球资本市场的冲击作出不同的反应，我们可以预期会看到许多类似的举措，以限制资本流动和投机活动。 经济理论有助于评估对交易行为的可能影响，因为不同的微观结构可以产生不同的激励和信息质量。迄今为止所缺少的是系统分析不同的微观结构对在不同的监管和法律的环境下运作的资本市场的影响。与指导当今新兴市场从业者和学生的简短经验相比，我们能够详细说明每个市场不断发展的微观结构，并评估它们对市场流动性，效率，交易成本和波动性的影响，在世纪和四分之三的过程中。我们的项目的结果将是有用的从业人员，监管机构和研究人员面临的问题，设计证券市场在转型经济体和欠发达地区的世界，更不用说重新设计市场在发达经济体。