股票市场透明度、信息份额与价格发现效率

股票市场透明度是交易机制设计的一个重要方面,这关系着资本市场能否有效促进价格发现及其效率。2003年12月8日深圳证券交易所买卖盘揭示范围由三档变为五档,股票市场透明度增加。基于信息份额模型,本文研究了市场透明度的增加对价格发现效率的影响。结果表明,新增加的两档报价向市场传递了边际信息含量,有助于投资者做出理性投资决策;同时,交易价格偏离有效价格的定价误差显著减小,收益自相关性程度降低,交易价格更加趋向于有效。因此,市场透明度的增加促进了资本市场价格发现及其效率的提高,为今后市场透明度的改革提供了有意义的参考意见。

Stock Market Transparency,Information Share and Price Discovery Efficiency

Stock market transparency is one of the important aspects in trading design because it determines the realization of price discovery function in capital market.On December 8,2003,the number of disclosed publicly prices in limit order is increased from three to five in Shenzhen Stock Exchange,which means the stock market transparency increases.Based on the information content model,the information contents of limit order book and its change are studied,and the increased transparency’s impact on price discovery efficiency is analyzed.The results show that the two new prices have margin information content,which is helpful for investors to make decisions.Also,the pricing error of transaction price deviates from efficient price and the return autocorrelation decreases significantly,so the price is more efficient.All in all,the increased transparency improves price discovery efficiency,enhances the price discovery function realization,and improves the market quality.Some good suggestions are also given for the reform of trading designs in the future.