| Tick-size的减小是否改进中国封闭式基金市场的质量？ |
| |
| 引用本文： | 赵震宇,杨之曙.Tick-size的减小是否改进中国封闭式基金市场的质量？[J].管理科学,2007,10(3):58-70. |
| |
| 作者姓名： | 赵震宇 杨之曙 |
| |
| 作者单位： | 清华大学经济管理学院,北京,100084 |
| |
| 摘 要： | 2003年3月3日沪深证券交易所对封闭式交易基金的最小报价单位进行改革,由过去的“1分钱”改为“0.1分钱”,旨在改善“夹板套利”、“流动性差”等市场弊端.通过对比改制前后衡量证券市场质量的三个指标:买卖价差、市场深度和成交量总体所表现出的状况,验证了“分改厘”政策在某种程度上确实改进封闭式基金市场的交易状况和流动性.
|
| 关 键 词： | 市场微观结构 封闭式基金 最小报价单位 市场质量 |
| 文章编号： | 1007-9807(2007)03-0058-13 |
| 修稿时间： | 2004年11月2日 |
Did reduction of tick size improve closed-end fund market quality in China? |
| |
| ZHAO Zhen-yu,YANG Zhi-shu.Did reduction of tick size improve closed-end fund market quality in China?[J].Management Sciences in China,2007,10(3):58-70. |
| |
| Authors: | ZHAO Zhen-yu YANG Zhi-shu |
| |
| Abstract: | From March 3rd 2003,a new tick size policy of closed-fund has been taken into effect at Shanghai and Shenzhen Stock Exchanges,which changed from "1 fen" to "0.1 fen".The new policy is aimed to improve the closed-fund market liquidity and "splint arbitrage mode".By comparing the difference of three market quality measurement indicators including bid-ask spread,depth and volume before and after the tick size changed,we found that to some extent the "0.1 fen" tick size improved the closed-fund market quality such as liquidity and trading activity. |
| |
| Keywords: | market microstructure closed-end fund tick size market quality |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
| 点击此处可从《管理科学》浏览原始摘要信息 |
| 点击此处可从《管理科学》下载免费的PDF全文 |
|
