| Behavioral finance theory tells us, it is asymmetrical characteristic that investors in the stock market whether their reaction to the information or the results of treatment, asymmetry of investors’ behavior will inevitably lead to the asymmetric rate of return of stock market, this conclusion has also been confirmed by a large number of empirical research. However, the theoretical analysis also shows that it is a necessary condition for effective market to keep the symmetrical distribution of rate of return of stock market, asymmetry of rate of return of stock market will inevitably lead the market to an efficiency market, which will be caused the market lose efficiency. Therefore, improving the symmetry of rate of return becomes the basis of improving the efficiency of capital markets, seeking the realistic path to improve the characteristics of symmetry distribution of rate of return will become a major theoretical issue in the capital market research.From a practical point of view, China’s capital market started late, but its’ development is very rapid, both in size and in the basic structure of the capital market system, we use less than two decades to finish the centuries development process of the mature markets. As of the beginning of this century, the stock market has been in the forefront of countries around the world stock markets, in recent years, along with the pilot of OCT market, a more perfect framework of multi-layer capital market system with motherboard market, the SME board market, the GEM market and the OTC market initially formed. With the rapid expansion of China’s stock market and the formation of multi-layer capital market system, in the process of capital market a number of issues not only fully exposed, but also become increasingly prominent, the capital market is also facing the significant problem of "structural upgrading ", namely the "extensive" development of capital market is no longer suitable for the basic pattern of China’s economic development and financial development, the development of capital markets must turn to "fine" development pattern, while the problem of "fine" development of capital markets essentially is a variety of scientific design of market rules; in addition, from the point of view of the existing unified limit price trading system of multi-layer capital market system, the complete reunification of the limit price trading system apparently neither can reflect the level of multi-layered capital market system, but also suit the characteristics of returns and risk with layers of capital market. Therefore, from the perspective of system designing to discuss the healthy and sustainable development of China’s capital market, it has become the major practical problems we are currently facing.In this paper, the limit price of trading system as the starting point, based on the rational discussion of limit price trading system, through the study of relationship between the distribution characteristics of rate of return and market efficiency, we explored the influence and effects of limit price of trading system to the distribution of rate of return, combined with the related theory and practice of investors’ asymmetrical behavior in behavioral finance, proposed the design system of asymmetry limit price trading system, and from the perspective of empirical analysis analyzed the effects of limit price trading system about China’s motherboard market and multi-layer capital market, based on the simulation analysis, constructed the specific programs of asymmetry limit price trading system in the motherboard market, the SME board market and GEM.The full paper composed by 8 chapters:The first chapter was introduction; this paper respectively analyzed and discussed the background, significance, applied methods and structure, and other aspects of the research. In addition, the paper reviewed the research status Domestic and foreign on this subject, clarified the context of the article, summarized the research framework, set the research contents, explored the specific methods which can be provided for reference study, and thought the related issues which need further study.The second chapter started from the efficient market theory, through the theoretical analysis of efficient market, showed the relationship between the distribution of rate of return and efficient markets and between the distribution of rate of return and market efficiency, we can see that the efficient market was Pareto efficient, it was a necessary condition for efficient markets with the theoretical analysis of symmetrical distribution of rate of return, while the asymmetry of rate of return would lead the market inefficient, then brought the efficiency losses.The third chapter analyzed Pareto efficient theoretically about our multi-level capital market in resource allocation and risk configurations, then by analyzing the basic conditions for effective market demonstrated the characteristics of asymmetric volatility would inevitably undermine the effectiveness of the market, made it impossible to achieve the Pareto optimal of resource allocation and risk configuration, and caused the multi-layer capital market efficiency losses.The fourth chapter by using the theory of behavioral finance, discussed investors’ investment psychology were asymmetry, which led to the trading asymmetry, and then reflected in the overall market with the performance of asymmetry rate of return, clearly it was not consistent with the present implementation symmetry trade mechanism, the current implementation symmetry trade mechanism not only failed to ease investors conduct asymmetric behavior, but also increased the asymmetry fluctuations.The fifth chapter first discussed the development process of China’s securities market from the perspective of fluctuation in-depth, and then analyzed the basic characteristics of multi-layer capital market in terms of rate of return, tested its stability; followed analyzed the regression of market; then tested the linkage and consistency within the market internal system.The sixth chapter further analyzed the problems appeared in the runtime of symmetry of trading mechanisms, built VF-EGARCH-M model, the construction of this model was based on the theoretical basis of the value function. The research further studied the asymmetric effect of limit price system on China’s capital markets, and combined with the extreme value theory closely, designed the optimal limit price system, the testing results after Monte Carlo simulation analysis showed that the optimal rise and decline of limit trading of the motherboard market should be adjusted the increase was 1.3 times to the decline.The seventh chapter based on the analysis and results of the design to asymmetry limit trading mechanism about the motherboard market in the last chapter, combined with the above mentioned related research conclusions about the multi-layered capital market system, focused on the asymmetric price trading mechanism design of multi-layer capital market system, the results showed that in the premise the selection of asymmetric limit trading system in the motherboard market (-10%+under 13%), the SME board and GEM asymmetric trade regime should be limitet at (-11.3%+17%) and (-14.3%+23%).The eighth chapter concluded the full paper; put forward proposals the creation of asymmetric implementation mechanism for China’s capital market, reflected the limitations of this study, and look forward this topic in the future research.Through further analysis and study, this paper obtained some valuable conclusions, and did some innovative work in the following areas.(1) With the economics analysis tools, the paper discussed the relationship between the efficient markets and Pareto efficient theoretically, the relationship between the efficient market and the distribution characteristics of rate of return, and the relationship between the distribution characteristics of rate of return and Pareto efficient;(2) This paper analyzed the Pareto effectiveness of resource allocation and risk configuration of multi-layer capital markets, and carried out it was a necessary condition to achieve Pareto efficient of symmetry rate of return;(3) It was analyzed on the relationship between asymmetry volatility characteristic stock market returns and symmetry trading mechanism through the use of prospect theory;(4) This study constructed a VF-EGARCH-M model on the basis of the value of the function, analyzed the asymmetric effects of symmetry limit price trading system of China’s capital market through the use of empirical research, designed the optical programs, and made a test of the effectiveness of the designed program by the use of Monte Carlo simulation.
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