| Since the reform and opening up, China’s financial industry has made considerable progress along with the rapid development of China’s economy. Direct financial markets, represented by the stock markets and the bond markets, are playing an increasingly significant role in the national economy, and futures markets offer positive contributions for enterprises to evade price risks. Meanwhile, The development of financial markets act as an important indicator to measure a nation’s comprehensive competitiveness in today’s highly globalized economy. Developed and perfect financial markets can provide financial support for economic development. The party and state has fully realized the importance of development of financial markets. The signal of vigorous developing China’s financial markets has been clearly send out in the last the eighteenth Party congress, and the two sessions. To develop financial markets, what we can’t ignore is to understand, various types of financial markets, including not only the basic function of market and trading mechanism, but also the formation of the markets, the influence of the change of the transaction cost and trading mechanism from the microstructure view. A well comprehending of the microstructure of each market is beneficial to monitor financial markets, and to develop appreciating financial policy.This article concentrates on researching the microstructure of the securities and futures markets in our country, at the same time, discussing the influence on financial market microstructure caused by the change of transaction fees. Research of this paper is mainly based on the empirical analysis of the securities market trading data, which is mainly high-frequency trading data of the stock and futures markets. The use of high frequency trading data can help us to understand financial markets from micro fields, and enrich our understanding of the financial market in China. There are two main clues in this article:first, the research on the characteristics of the market microstructure, which is the foundation of financial research to understand the financial markets. Up to now, there are short of researches on microstructure of financial market in China, and the researches are mainly concentrated on the stock markets, while futures markets are important part of financial markets in China, my study can help us to better understand China’s futures markets. So in the third chapter of this article, I introduce the research reviews of the microstructure of China stock markets, then taking ZhengZhou future market as representative, I study the microstructure of China futures markets. This paper finds the specific characteristics of China futures markets, and reveals the relationship among some key variables in futures markets, meanwhile the information asymmetry o futures markets are studied for the first time. The results of this chapter make up for some lacks in current study of futures markets and the shortcomings in the previous study.After the fully understanding of the microstructure of the financial markets, I begin to study the influence of trading system changes on the microstructure of financial markets, which is the second clue of this paper and is important for each participant in the financial markets. For trading system contains a mass of complex content, this paper only concentrates on transaction costs, which is representative and controversial. Respectively in a transaction fee adjustment of Shanghai future exchange and two transaction tax rate adjustment of the stock markets for the event, this ariticle research the impact of transaction costs adjustment on the future markets and the stock markets, using simultaneous equations model and difference in difference model.This paper is the first the empirical literature to research the impact of transaction costs adjustment on futures markets microstructure. At the same time, its empirical results of this paper is the first time to find that the raise of transaction costs will increase the volatility of futures markets. Although many scholars have researched the effects of stock transaction tax adjustment on the stock markets, this paper recheck this problem from a more micro angle, and provides stronger micro foundation to previous researches. Simultaneously, the research method applied in the fourth chapter and the fifth chapter can be applied to the study of the impact of other trading rules’ change on the market microstructure.The conclusions of this study are the following:First, the daily change of the future market trading volume exists "U" or "L" trend, the daily changing curves of the transaction number is "U" trend, and the trend of bid-ask spread, price volatility and absolute yields is "L".Second, there are endogenous among transaction volume, bid-ask spread and price volatility, which is unscientific to research them separately. This article also finds that the bid-ask spread in future contract varies with trading time. At last, the asymmetric information research figures out that the asymmetric in futures markets is less than stock markets, meanwhile the more trading volumes, the less asymmetric in futures markets.Third, when I research the impact of the future trading fee’s adjustment on the future market, I figure out that the decrease of fees can restrain the volatility of the price of future contracts, but has little effect on the trading volume and bid-ask spread of future contracts. Up the transaction fee has more influence than down the fee.Fourth, lower transaction tax rate can improve the level of liquidity of stock, and reduces the price volatility. The influence on stock market will last for at least90days, and up the tax has more influence than down the tax.Fifth, considering the empirical influence of trading costs adjustment on stock markets and on futures markets, This article offers a policy suggestion that regulators of the securities market should further reduce transaction fees in the stocks markets and futures markets to promote the development of securities markets. |
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