| 基于订单驱动市场下信息结构与金融资产价格均衡研究 |
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| 引用本文： | 王春峰,卢涛,房振明. 基于订单驱动市场下信息结构与金融资产价格均衡研究[J]. 中国管理科学, 2007, 15(5): 48-55 |
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| 作者姓名： | 王春峰 卢涛 房振明 |
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| 作者单位： | 天津大学管理学院天津大学金融工程研究中心 天津300072 |
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| 基金项目： | 国家自然科学基金;高等学校优秀青年教师教学科研奖励计划 |
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| 摘 要： | 依据我国证券市场订单驱动连续竞价交易机制,在引入信息结构及投资者看法差异的基础上建立序贯交易理论模型,研究金融资产价格的形成过程,并研究信息结构各方面对价格形成的影响。理论结果表明,信息存在、信息分布和信息组成对买卖价差产生不同影响,其影响结果不仅取决于信息结构自身,也受到投资者构成、看法差异以及信息量值的影响。随后基于中国证券市场进一步验证了理论模型的结论。
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| 关 键 词： | 信息结构 价格均衡 看法差异 订单驱动 序贯交易 |
| 文章编号： | 1003-207(2007)05-0048-08 |
| 收稿时间： | 2006-11-10 |
| 修稿时间： | 2006-11-10 |
Information Structure and Asset Price Equilibrium in Order-Driven Market |
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| WANG Chun-feng,LU Tao,FANG Zhen-ming. Information Structure and Asset Price Equilibrium in Order-Driven Market[J]. Chinese Journal of Management Science, 2007, 15(5): 48-55 |
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| Authors: | WANG Chun-feng LU Tao FANG Zhen-ming |
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| Affiliation: | 1. School of Management, Tianjin University, Tianjin 300072, China;2. Bohai Securities Mobile Postdoctoral Center, Tianjin 300072, China |
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| Abstract: | Based on the order-driven continuous security market,information structure and differences of opinion,the sequential trading model that researches the formation process of asset price and influences of each factor of information structure on price formation is presented. The conclusion is that the quote spread is impacted on the existence,dissemination and composition of information,which depends on them selves,composition of investors,differences of investors option and the value of information. Then, based on China stock market,the influence of the dissemination and composition of information on quote spread is found,which supports model. |
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| Keywords: | information structure asset price formation differences of option order-driven market Sequential trading |
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