CAJ | 학술논문

2003年12月8日，上海证券交易所提供的报价实时行情由三档价格增加到五档价格，电子委托单薄向交易者提供的信息增多标志着市场透明度的提高。本文对在上海证券交易所交易的16G国债进行了实证研究，发现透明度增加之后，信息和价格有效性提高了，但是市场流动性变差了，价格波动性上升了，投资者的交易成本也上升了。交易者为了规避更高的交易成本，首先，选择了拆分委托单，隐藏真实的流动性需求，减少信息暴露；而委托单拆分的结果，导致交易执行时间变长：另外，交易者还倾向于将委托单的提交时间分散化，减少了大额委托单比例高的收盘期的大额委托单提交量，而相应的增加了大额委托单比例低的开盘期的大额委托单提交量。
2003년12월8일，상해증권교역소제공적보개실시행정유삼당개격증가도오당개격，전자위탁단박향교역자제공적신식증다표지착시장투명도적제고。본문대재상해증권교역소교역적16G국채진행료실증연구，발현투명도증가지후，신식화개격유효성제고료，단시시장류동성변차료，개격파동성상승료，투자자적교역성본야상승료。교역자위료규피경고적교역성본，수선，선택료탁분위탁단，은장진실적류동성수구，감소신식폭로；이위탁단탁분적결과，도치교역집행시간변장：령외，교역자환경향우장위탁단적제교시간분산화，감소료대액위탁단비례고적수반기적대액위탁단제교량，이상응적증가료대액위탁단비례저적개반기적대액위탁단제교량。
The real time market quotes provided by Shanghai stock exchange changed from three quoting prices to five quoting prices on 8th December 2003, which showed that market transparancy improved on the basis of more information on electronical order book provided to traders. This paper empirically studies 16 treasury bonds traded on Shanghai stock exchange, and finds that if transparency is increased, the efficiency of information and price would be improved, but with lower market liquidity, higher price volatility and higer investor transation costs. In order to avoid higher transaction costs, traders employ order splits to conceal the actual liquidity requirement and reduce information disclosure, which result in longer execution time. In addition, traders tend to decentralise the submission time of orders, which reduces the quantity of large orders during closing time, and increases the quantity of large orders during opening time.