统计研究
統計研究
통계연구
Statistical Research
2015年
4期
59~67
,共null页
多层资本市场体系 涨跌幅限价交易制度 非对称性效应 蒙特卡罗模拟
多層資本市場體繫 漲跌幅限價交易製度 非對稱性效應 矇特卡囉模擬
다층자본시장체계 창질폭한개교역제도 비대칭성효응 몽특잡라모의
Multi-layer capital market system; Price Limit trading system; asymmetric effect; Monte Carlo simulation
本文从我国多层资本市场实际运行状况出发,从实证分析的角度考察了我国多层资本市场各自的风险特征,分析了市场间收益与风险的替代关系,并依据不同市场的层级关系,在探讨我国多层资本市场对称性交易机制设计的基础上,通过对主板市场、中小板市场和创业板市场运行非对称效应的经验分析,进一步探讨了我国多层资本市场体系的非对称交易机制设计,提出了一套完善我国多层资本市场体系涨跌幅限价交易制度的系统优化方案。
本文從我國多層資本市場實際運行狀況齣髮,從實證分析的角度攷察瞭我國多層資本市場各自的風險特徵,分析瞭市場間收益與風險的替代關繫,併依據不同市場的層級關繫,在探討我國多層資本市場對稱性交易機製設計的基礎上,通過對主闆市場、中小闆市場和創業闆市場運行非對稱效應的經驗分析,進一步探討瞭我國多層資本市場體繫的非對稱交易機製設計,提齣瞭一套完善我國多層資本市場體繫漲跌幅限價交易製度的繫統優化方案。
본문종아국다층자본시장실제운행상황출발,종실증분석적각도고찰료아국다층자본시장각자적풍험특정,분석료시장간수익여풍험적체대관계,병의거불동시장적층급관계,재탐토아국다층자본시장대칭성교역궤제설계적기출상,통과대주판시장、중소판시장화창업판시장운행비대칭효응적경험분석,진일보탐토료아국다층자본시장체계적비대칭교역궤제설계,제출료일투완선아국다층자본시장체계창질폭한개교역제도적계통우화방안。
Based on the actual operating conditions of the multi-layer capital market in China this article empirically examines the risk characteristics, and analyzes the substitution of benefits and risks between markets. On the basis of the hierarchical relationships between different markets, it explores the symmetry trading mechanismof the multi-layer capital market in China. It empirically analyzes the running asymmetric effect of the Main-Board Market, the small and mediumsized market, as well as the Growth Enterprise Market, and puts forward a set of optimization plans for perfecting the multilayer capital market system with price limit trading system in China.
