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在中国将要推出的“按新体制运行”的二板市场微观结构设计中 ,是否引入交易商报价驱动型交易制度的关键在于 :该制度设计能否增进二板市场的效率。本文首先分析了交易商制度能增进市场效率的前提条件 :条件Ⅰ是 ,如果股票交易量较小 ,交易不活跃 ,买卖价差较大 ,交易商制度将从增进市场流动性和暂时平抑股价过度波动两方面增进市场效率 ,但在满足条件I时交易商有可能利用占优势的信息来获取垄断利润 ,降低股市效率 ,故必须满足条件Ⅱ ;条件Ⅱ是 ,由交易商买卖差价决定的利润收敛于保留成本 ,每个交易商只能获取正常利润。接着 ,本文证明了在中国现有给定的约束条件下 ,中国二板市场满足条件Ⅰ ,但不满足条件Ⅱ ,存在着两难选择 ,其最优解寄希望于深化改革“那片蓝色天空”
The key to whether or not to introduce the quotation-driven trading system in the microstructure design of the “second-board market” to be launched under the new system in China is whether the system design can enhance the efficiency of the second-board market. This paper first analyzes the prerequisites for the trader system to enhance the market efficiency: Condition I is that if the stock trading volume is small, the trading is not active and the trading spread is relatively large, the trader system will improve market liquidity and temporarily stabilize the stock price volatility However, when the condition I is satisfied, the trader may use the dominant information to obtain the monopoly profit and reduce the stock market efficiency. Therefore, the condition II must be satisfied. The condition II is that the profit determined by the trader’s bid-ask spread converges to Keep costs, each dealer can only get normal profits. Then, this paper proves that under the existing constraints given by China, China’s second-board market satisfies the condition I, but does not satisfy the condition II, there is a dilemma, and its optimal solution hopes to deepen the reform “that piece of blue sky ”