另类交易系统交易制度的研究与启示——基于信息效率的视角
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引用本文:王宇琼,龚维进.另类交易系统交易制度的研究与启示——基于信息效率的视角[J].湖南大学学报社会科学版,2020,(1):67-74
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作者单位
王宇琼,龚维进 (中国社会科学院 财经战略研究院 北京 100028 ) 
中文摘要:以另类交易系统(ATS)为基础的证券场外交易网络成为近年美国证券交易的主流模式,文章构建了多时期序贯拍卖信息模型,对比ATS等多边交易网络与单边市场的信息效率;实证层面通过数字模拟做市商报价调整幅度λn和价格方差Σn以反映市场信息显示的充分度,研究显示拥有多个知情交易者的场外交易网络信息显示加快,市场信息效率更高。据此我国可构建类似美国OTC LINK和PORTAL联盟等机构间交易平台,作为多层次资本市场的重要组成。
中文关键词:另类交易系统  交易制度  信息模型  信息效率
 
Research on Trading Mechanism of Alternative Trading System ——Analysis Based on Information Percolation
Abstract:In recent years, the rapid rise of the Alternative Trading Platforms(ATS) become the mainstream of American OTC securities trading patterns, this article analyzes the improvement of information efficiency on ATS from the perspective of market micro structure : Firstly, through building a mufti-time sequential auction information model, this paper compares information efficiency of multilateral trading networks with unilateral trading system; Model shows multilateral trading network makes informed traders trade more competitive, thus private information reveals faster and more than in single trading counter. Then the empirical results confirm the theoretical study that multilateral trading network improves market efficiency. Based on the above analysis, China should build institutional market similar to OTC LINK and PORTAL Alliance. At last, the paper puts forward the corresponding suggestions.
keywords:Alternative Trading System  trading mechanism  information model  information efficiency
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