股票市场透明度对价格发现效率的影响——基于开盘竞价方式转变的事件研究

在股票市场的交易机制设计中,股票市场透明度是一个重要的方面.有效的市场透明度能够促进价格发现效率,提高市场质量. 以上海证券交易所于2006年7月1日开盘集合竞价由封闭式转为开放式的事件,选择沪市上市公司为研究样本,运用无偏回归分析方法, 研究股票市场透明度对价格发现效率的影响,并从信息角度解释. 得到结论:市场透明度提高后市场流动性降低;知情交易者在开放式集合竞价期间的参与度降低,开盘价并没有反映出知情交易者的信息,阻碍了价格发现,导致开盘价格发现效率降低;这意味着开盘集合竞价透明度的提高并不能有效提高市场质量.

Impact of stock market transparency on price discovery efficiency: An event study on the change of open call auction

Stock market transparency is one of the very important aspects in the trading mechanisms design in stock market. Effective market transparency can enhance price discovery efficiency and improve the market quality. Based on the event of open call auction change from close to open in Shanghai Stock Exchange in July 1st, 2006, this study chose listed companies as research sample, using unbiased regression method, analyzed the impact of stock market transparency on price discovery efficiency, then explained the results from information perspective. The results show that market liquidity reduced after the market transparency was increased. Also, the informed traders' participation in the open call auction decreased, so the open price could not reflect the informed traders' information, hinder price discovery and decrease price discovery efficiency. This means that the increased transparency of open call auction may not improve the market quality to some extent.